Single Stock Indices add to the existing range of jointly-developed indices based on the Cyclically Adjusted Price Earnings® (CAPE®) ratio
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.
For more information please visit indices.barclays.
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Neither Barclays nor any of its directors, officers, employees, representatives or agents, accepts any liability whatsoever for any direct, indirect or consequential losses (in contract, tort or otherwise) arising from the use of this communication or its contents or reliance on the information contained herein, except to the extent this would be prohibited by law or regulation.
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All opinions and estimates are given as of the date hereof and are subject to change. The value of any investment may also fluctuate as a result of market changes. Barclays is not obliged to inform the recipients of this communication of any change to such opinions or estimates.
Barclays offers premier investment banking products and services to its clients through Barclays Bank PLC. Barclays Bank PLC is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and is a member of the London Stock Exchange. Barclays Bank PLC is registered in England No. 1026167 with its registered office at 1 Churchill Place, London E14 5HP.
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.
Barclays is a transatlantic consumer, corporate and investment bank offering products and services across personal, corporate and investment banking, credit cards and wealth management, with a strong presence in our two home markets of the UK and the US. With over 325 years of history and expertise in banking, Barclays operates in over 40 countries and employs approximately 120,000 people. Barclays moves, lends, invests and protects money for customers and clients worldwide. For further information about Barclays, please visit our website home.barclays.
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