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Barclays Launches ETN Based On Shiller CAPEEveryday Finance • Mon, Oct 15, 2012
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Barclays Launches ETN Based On Shiller RatioTom Lydon • Fri, Oct 12, 2012
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CAPE vs. ETF Alternatives
CAPE Description
The return of the ETNs is linked to the performance of the Shiller Barclays
CAPETM US Core Sector Index (the “Index”).
The return on the ETNs is linked to the performance of the Index. The Index seeks to provide a notional long exposure to the top four relatively undervalued US equity sectors that also exhibit relatively strong price momentum. The Index incorporates the CAPE (Cyclically Adjusted Price Earnings) ratio to assess equity market
valuations of nine sectors on a monthly basis and to identify the relatively undervalued sectors represented in the S&P 500®. The S&P 500® is intended to provide an indication of the pattern of stock price movement in the U.S. equities
market. The Index then selects the top four undervalued sectors that possess relatively stronger price momentum over the past twelve months and allocates an equally weighted notional long position in the total return version of the S&P
Select Sector Indices (each, a “Sector Index”) corresponding to the selected sectors. We refer herein to the Sector Indices represented in the Index at any given time collectively as the “Index Constituents”. The Index Constituents are
calculated, maintained and published by Standard & Poor’s Financial Services LLC (“S&P” or the “sector index sponsor”).
See more details on sponsor's website
See more details on sponsor's website
Country: United States
Key Info
- In Your Portfolio: A Guide to Strategy ETFs
- Asset Class Performance: Strategies
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- | On the move
- Thursday, October 11, 2012, 11:19 AM The Barclays ETN + Shiller CAPE ETN (CAPE) opens for trade. The note tracks an index using Shiller's cyclically adjusted PE ratio (CAPE) to identify relatively undervalued sectors of the S&P. The index then buys the undervalued sectors with the strongest price momentum over the past year. Comment! [Quick Ideas]
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