Ossiam, today announced that the Ossiam Shiller Barclays CAPE® US Sector Value TR ETF passed the $1bn assets under management milestone in June.....
Bruno Poulin, CEO of Ossiam
The ETF, available in three share classes (USD, EUR and EUR-hedged) listed on the London Stock Exchange, XETRA, Euronext Paris, Borsa Italiana and SIX Swiss Exchange, tracks the Shiller Barclays CAPE® US Sector Value Net TR Index.
Its strategy is one of two Ossiam strategies tracking Shiller Barclays CAPE® Sector Value indices. The indices, developed jointly by Barclays and Professor Robert Shiller, use the Cyclically Adjusted Price-to-Earnings (CAPE®) ratio as a valuation driver in a sector rotational strategy. Since its inception two years ago, the strategy has attracted allocations from a range of investors, including insurance companies, pension funds and discretionary wealth managers based in Europe and Latin America.
The EUR and USD share classes were launched in June 2015. A third EUR-hedged share class was launched in May 2017 following investor demand. Since launching in June 2015, the fund has returned 30.84%, in comparison to the 17.67% delivered by the S&P 500 Net TR Index over the same period*.
Professor Shiller said, “The U.S. stock market appears expensive by world standards right now, but not all sectors in it are. It makes sense to hold part of a diversified portfolio in the U.S. with a focus on value, as provided by the Ossiam-Shiller-Barclays CAPE® U.S. products. I feel grateful to the people at Ossiam and at Barclays for the careful work they have done to make the CAPE® products a reality for so many people.”
Bruno Poulin, CEO of Ossiam, said, “This ETF is one of our most popular with investors, which we attribute to consistent positive returns through a range of market conditions since its launch using the highly-regarded CAPE® ratio as the basis of valuation for the strategy. We are proud that our partnership with Professor Shiller and Barclays Bank has become a durable success.”
“We are delighted to see that our long-standing collaboration with Ossiam has attracted considerable interest from clients,” said Nicolas Aractingi, Director in the Quantitative Investment Strategies team at Barclays. “The success of the two products shows that the Ossiam Shiller Barclays CAPE® ETFs are a popular way for many clients to access this family of smart beta indices.”
Robert Shiller, with his graduate student John Campbell, devised the original CAPE® ratio in 1988. 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.
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.
*as of COB 30 June 2017 for the UCITS ETF 1C (USD) share class.