Barclays has licenced its European sector value index to investment manager Ossiam for an ETF which targets undervalued sectors in the region.
The UCITS-compliant exchange traded fund will be called the Ossiam Shiller Barclays CAPE Europe Sector Value TR Fund, and will use the Shiller Barclays CAPE Europe Sector Value Index to systematically identify and allocate to the four most undervalued sectors.
The ETF’s release date is yet to be confirmed, but Barclays said it will be listed on the LSE, Euronext, Borsa Italiana, Deutsche Borse, and the Six Swiss Exchange. It is currently being passported in “various European countries”.
The Shiller Barclays Index has delivered an annualised return of 14% since going live, which compares to 13% for the MSCI Europe Index.
An alternative version of the index has been used in a previous fund called the Shinko-Shiller CAPE US and European Equity Strategic Fund. The product has found success in Japan, where it has attracted over $600m in assets since being launched in March.
Fabien Labouret, head of quantitative investment strategies at Barclays, said: “We have seen considerable interest in the Shiller Barclays indices from clients looking to diversify their equity beta and gain exposure to undervalued stocks and sectors.
“Our partnership with Ossiam will make this innovative investment strategy available to a wider range of investors through a highly liquid and UCITS-compliant product.”
Bruno Poulin, chief executive at Ossiam added: “Licensing of the new index gives Ossiam the ability to develop an ETF for systematic investment in European undervalued sectors with a long-term investment horizon in a way not met by other fundamental smart beta methodologies.”