Ossiam has launched an exchange traded fund (ETF) that tracks Professor Robert Shiller’s new index, using the cyclically adjusted price-to-earnings ratio to measure valuations and rotate equity sectors.
The Ossiam Shiller Barclays CAPE Europe Sector Value UCITS ETF is the first ETF in the world to track this index. It costs 0.65 percent in annual management fees and was seeded with €28 million assets.
Originally the CAPE ratio came about in 1981, according to Ossiam, and is typically used to discover whether equities are over or under valued. It compares the current value of a portfolio to inflation-adjusted earnings of its constituents over ten years to remove the effects of business cycles.
Overall the new ETF aims to pick the right sectors at the right point in time by avoiding overvalued sectors or value traps.
Bruno Poulin, chief executive of Ossiam, said the long term partnership with Shiller and Barclays means there will be more product launches in the future.
“The Ossiam Shiller Barclays CAPE Europe Sector Value TR ETF gives investors with a long-term horizon the ability to invest systematically in European undervalued equity sectors using a highly reputable index in a way that has not been achieved with other fundamental alternatively-weighted index methodologies,” he said.
The ETF listed today on the London Stock Exchange and trades in euros (ticker CAPE) or GBP (LCPE). The fund is distributed in the UK by Natixis Global Asset Management.