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Ossiam launches Shiller Barclays CAPE Sector Value Europe ETF


Smart beta investment manager Ossiam has listed a new UCITS-compliant exchange-traded fund (ETF) that tracks the Shiller Barclays CAPE Europe Sector Value Net TR Index on the London Stock Exchange 

The new fund is the first ETF globally to be based on the Shiller Barclays CAPE Sector indices, which has been developed jointly by Barclays and Professor Robert Shiller and uses the Cyclically Adjusted Price-to-Earnings (CAPE) ratio as a valuation driver in a sector rotational strategy. Ossiam plans to launch further ETFs based on the Shiller Barclays CAPE Sector indices later this year.

Robert Shiller, with his graduate student John Campbell, devised the original CAPE ratio in 1981. The CAPE ratio is a widely used valuation metric providing a view on equities being over- or under-valued. The ratio compares the current value of a portfolio to inflation-adjusted aggregated earnings of its constituents averaged over ten years to remove the effects of business cycles. This makes the ratio suitable for investment decisions with a long-term focus.

Professor Shiller extended the CAPE measure to equity sectors and, in collaboration with Barclays, designed a sector selection strategy based on this ratio. The strategy uses the Relative CAPE indicator, a normalised version of the CAPE ratio, supplemented with a momentum filter. The strategy aims to avoid overvalued sectors as well as eliminating potential value traps, creating a sector portfolio with value bias that helps to pick the right industries at the right point in time.

Bruno Poulin, CEO of Ossiam, says: “We are proud of our association with Barclays and Professor Robert Shiller which has enabled the development of the latest addition to our range of innovative funds. This is a long-term partnership we intend to continue for future projects. The Ossiam Shiller Barclays CAPE Europe Sector Value TR ETF gives investors with a long-term horizon the ability to invest systematically in European undervalued equity sectors using a highly reputable index in a way that has not been achieved with other fundamental alternatively-weighted index methodologies.“
The ETF has 28 million euros in assets under management and is traded on the London Stock Exchange in euros (TIDM: CAPE) and in GBP (TIDM: LCPE). It carries a Total Expense Ratio of 0.65% p.a. and is an ideal substitute for, or supplement to, a value portfolio or a sector rotation strategy.

The ETF is distributed and marketed in the United Kingdom through Natixis Global Asset Management.

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