Barclays has launched a range of value indices within equity in partnership with Robert Shiller, the Nobel Prize winning finance professor who developed the Cape ratio.
The Shiller Barclays CAPE Single Stock Index Family builds on the index series launched between Shiller and Barclays in 2012 – the Shiller Barclays CAPE Sector Index Family.
The indices, which aim to provide an alternative to market capitalisation weighted indices, will initially offer exposure to the US and Eurozone with Japan and Asia to follow.
Rather than focus on sectors, the index will focus on stocks of established companies – the “Old Standbys”.
Shiller, who developed Cape with John Campbell in the 1980s, says: “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.”
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.
David Haefliger, from Barclays’ EFS solutions team, says: “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.”