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.
For more information please visit indices.barclays.
Disclaimer
This communication has been prepared by Barclays. “Barclays”
means any entity within the Barclays Group of companies, where
“Barclays Group” means Barclays Bank PLC, Barclays PLC and any of
their subsidiaries, affiliates, ultimate holding company and any
subsidiaries or affiliates of such holding company.
BARCLAYS IS A FULL SERVICE INVESTMENT BANK. In the normal course
of offering investment banking products and services to clients,
Barclays may act in several capacities (including issuer, market
maker and/or liquidity provider, underwriter, distributor, index
sponsor, swap counterparty and calculation agent) simultaneously
with respect to a product, giving rise to potential conflicts of
interest which may impact the performance of a product.
Barclays may at any time acquire, hold or dispose of long or
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or otherwise effect transactions for their own account or the
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Barclays is not offering to sell or seeking offers to buy any
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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
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services.
All opinions and estimates are given as of the date hereof and
are subject to change. The value of any investment may also
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Barclays offers premier investment banking products and services
to its clients through Barclays Bank PLC. Barclays Bank PLC is
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the Financial Conduct Authority and the Prudential Regulation
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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
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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
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version on businesswire.com: http://www.businesswire.com/news/home/20170502005875/en/
BarclaysAndrea Colvile, +44 (0)
20-3134-8776andrea.colvile@barclays.comorAndrew Smith,
+1-212-412-7521andrew.x.smith@barclays.com
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