Ossiam launches US sector value ETF based on Shiller Barclays CAPE index

Jul 22nd, 2015 | By | Category: Equities

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Ossiam, a leading provider of smart beta exchange-traded funds, has unveiled the Ossiam Shiller Barclays CAPE US Sector Value TR UCITS ETF on the London Stock Exchange, the latest in a suite of ETFs tracking Shiller Barclays CAPE Sector Indices.

Ossiam launches US Value ETF based on Shiller CAPE ratio

Ossiam has announced the launch of the Ossiam Shiller Barclays CAPE US Sector Value TR UCITS ETF in collaboration with Robert Shiller and Barclays. (File image)

The new ETF tracks the Shiller Barclays CAPE US Sector Value Index, and builds upon the success of Ossiam’s European sector value ETF which was listed in February 2015: the Ossiam Shiller Barclays CAPE Europe Sector Value TR UCITS ETF.

The indices use the Cyclically Adjusted Price-to-Earnings (CAPE) ratio to time a sector-rotation strategy. The ratio, devised by Nobel Prize-winning economist Robert Shiller and his graduate student John Campbell, is a widely used metric for determining if equities are over- or under-valued.

The ratio is calculated by dividing the current market value of a group of companies’ shares, to their average, inflation-adjusted earnings over ten years. By comparing this figure to historical averages or other groups, the ratio provides insight into how the companies are relatively valued.

In collaboration with Barclays, Robert Shiller has extended the CAPE metric to measure the relative value of equity sectors. Through this, the index attempts to identify and favour those sectors which are undervalued and avoid those sectors which are overvalued. There is a risk that some undervalued companies will not perform well over time, as some may be destined to stay undervalued or perhaps even fall in value if the underlying fundamentals of the business deteriorate. In order to avoid these companies the indices apply a momentum filter to identify those which appear to be rising in value. The output of this methodology should be a portfolio with a value bias that aims to pick the right sectors at the right point in time.

Bruno Poulin, CEO of Ossiam, said: “We are very pleased to continue our association with Barclays and Professor Robert Shiller. Our launch of the first Ossiam Shiller Barclays CAPE ETF has gathered a lot of interest from the UK market and we expect the latest ETF to continue this trend.”

The Ossiam Shiller Barclays CAPE US Sector Value TR UCITS ETF (traded in USD [UCAP LN] and in GBP [CAPU LN]) and the Ossiam Shiller Barclays CAPE Europe Sector Value TR UCITS ETF (traded in EUR [CAPE LN] and in GBP [LCPE LN]) are listed on the LSE and carry a total expense ratio of 0.65% per annum.

As of end of June 2015, Paris-based Ossiam had $2.41 billion (€2.17 billion) in assets under management, consisting of ETFs and institutional mandates.

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