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Barclays and Professor Robert Shiller Launch New Family of Equity Value-Based Indices

Single Stock Indices add to the existing range of jointly-developed indices based on the Cyclically Adjusted Price Earnings® (CAPE®) ratio 

Barclays today announced the launch of the Shiller Barclays CAPE® Single Stock Index Family, a new addition to the successful series of equity sector indices designed jointly by Professor Robert Shiller and Barclays.

Professor Shiller and Barclays began their collaboration in 2010, and in 2012 launched the Shiller Barclays CAPE® Sector Index Family. These indices use the Cyclically Adjusted Price Earnings® ratio (CAPE®), developed by Professor Robert Shiller and John Campbell in the 1980s, to identify long-term undervalued sectors in the US, Europe and Asia. The indices have been well-received by investors, with significant investment in products tracking them.

The new index range also uses the CAPE® ratio to determine valuation, but rather than sectors applies this to single stocks of established companies across various regions.

The new indices aim to provide an alternative to market capitalization weighted indices with a unique value bias based on the CAPE® Ratio and momentum. They will initially offer exposure to the United States and Eurozone regions with Japan and Asia ex-Japan to follow. In addition to the long-only Single Stock indices, there will be market-hedged Index versions, which hold a long position in the Shiller Barclays CAPE® US Single Stock Index and a beta-adjusted short position in the relevant benchmark index, aiming to provide a ‘market neutral value’ investment. This responds to investor interest in accessing the equity value risk premia.

“We seek to invest in seasoned companies - Old Standbys - that also show good value by the CAPE® ratio. This is a new and different approach to value investing that is designed to try to come closer to its original motivation: find stocks that are well established and relatively forgotten, with a long history of earnings but underpriced in the market,” said Professor Robert Shiller.

“Barclays is delighted to continue our long standing collaboration with renowned author and Yale economist Robert Shiller, producing indices which draw on some of his well-known investing concepts. This launch highlights Barclays’ commitment to bringing clients a full array of investable indices based on academic research,” said Ben Redmond, Director in EFS Solutions.

“The Shiller Barclays CAPE® Single Stock Index Family will offer investors a new way to gain exposure to underpriced stocks. Knowledge of the equity value premia has existed since the 1930s, and we believe this innovative take on it will allow investors a new way to access attractively priced shares,” said David Haefliger, EFS Solutions.

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The Shiller Barclays CAPE® Index Family has been developed in part by RSBB-I, LLC, the research principal of which is Robert J. Shiller. RSBB-I, LLC is not an investment advisor, and does not guarantee the accuracy or completeness of the Shiller Barclays CAPE®Index Family, or any data or methodology either included therein or upon which it is based. Neither RSBB-I, LLC nor Robert J. Shiller shall have any liability for any errors, omissions, or interruptions therein, and makes no warranties, express or implied, as to performance or results experienced by any party from the use of any information included therein or upon which it is based, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or losses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages, even if RSBB-I, LLC is advised of the possibility of same.

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