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Barclays Shiller Launch Value Focused Equity Sector Indices

Written by Journal of Indexes Europe Staff

  
October 29, 2012

Barclays has announced the launch of a family of equity indices with a value tilt. The indices are designed in partnership with Yale economics professor Robert Shiller and filter sectors in connection with changes in price/earnings ratios.

The Shiller Barclays CAPE Index Family uses the cyclically adjusted price-to-earnings ratio (CAPE) as the key driver for the valuation of sectors. The indices are designed for buy-and-hold investors with a multi-year time horizon, say the promoters. The first of the indices to be launched will be based on US equity sectors, but over coming months European versions of the sector indices will follow.

“The CAPE ratio, which factors in an average of 10 years earnings data to allow for mean reversion of earnings and long-term earnings cycles, is a recognized long-term measure of equity market valuation,” Shiller said in a press release.

The CAPE index family will “create a value-oriented sector strategy that has the desirable characteristics of value investing while seeking to minimize underperformance during growth-driven markets,” Anthony Lazanas, Barclays’ head of Portfolio Modelling and Index Strategies, said in the statement.

The Shiller Barclays CAPE Index Family uses a modified version of the original CAPE ratio, adapting the ratio for individual sectors to account for differences in corporate payout policy, accounting standards and growth prospects.


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