Shiller Barclays CAPE® Allocator 6 Index
Dec 2, 2020
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.
- 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
† Data sources listed below