Shiller Barclays CAPE® Allocator 6 Index

Bloomberg Ticker
Asset Classes
Live Date
Dec 2, 2020
Volatility Target


The Shiller Barclays CAPE® Allocator 6 Index is a member of the Barclays family of Shiller Barclays CAPE® indices, which are based on principles of long-term investing distilled by Professor Robert Shiller and expressed through the Cyclically Adjusted Price to Earnings (or CAPE®) ratio.

This index aims to provide exposure to US sectors that appear to be undervalued according to their Relative CAPE® ratio and a basket of US Treasuries.

Key Features

  • Systematically analyzes and weights an Equity Component and a Treasury Component to determine the optimal combination 
  • Equity Component consists of four undervalued US Equity Sectors chosen monthly, based on their Relative CAPE® ratios and momentum
  • When the trend signal is positive, the Treasury Component consists of an equally weighted basket of indices tracking the 2, 5, 10 and 30-year US Treasury futures
  • Seeks to maintain a 6% volatility target by adjusting exposure to the base index daily


Index Level: -
Year-to-Date -
One Month -
1 Year -
2 Year (annualized) -
5 Year (annualized) -
10 Year (annualized) -

† Data sources listed below

Time Period
Market Scenario


Annualized: -