Barclays Bank Plc, the sponsor behind the iPath family of ETNs,
today rolled out an equities-focused ETN using an index developed
by Yale finance professor Robert Shiller to target four sectors of
the S&P 500 that show relatively strong price momentum in the
most recent 12-month period.
The Barclays ETN+ Shiller CAPE ETN (NYSEArca:CAPE), the
first exchange-traded product to come out of Barclays' recently
announced indexing collaboration with Shiller, will have an annual
"investor fee" of 0.45 percent, according to a prospectus Barclays
filed with the Securities and Exchange Commission detailing the new
The ETN fits neatly into a broader trend in the exchange-traded
product industry toward so-called intelligent beta indexed
investment strategies that seek a quasi-active leg up on pure beta
products that use market-capitalization indexing methodologies.
One of the biggest ETF launches in the past 18 months was a
smart-beta fund cherry-picking lower-volatility stocks that are
part of the S&P 500. The PowerShares S&P 500 Low Volatility
Portfolio (NYSEArca:SPLV) has attracted almost $2.5 billion in
assets since coming to market in May 2011.
The new Barclays ETN uses an index that incorporates the
cyclically adjusted price earnings ratio, or CAPE ratio, to assess
equity market valuations of nine sectors on a monthly basis to
identify the relatively undervalued sectors represented in the
S&P 500, according to the prospectus.
The index then selects the top four undervalued sectors that
possess relatively stronger price momentum over the past 12 months
and allocates an equally weighted notional long position in the
total return version of the S&P Select Sector Indices
corresponding to the selected sectors.
The prospectus said the ETN will have an initial value of $50 a
ETNs are debt obligations backed by a bank, Barclays Bank in the
case of CAPE. That means that unlike ETFs, holders of ETNs can lose
their entire investment should the backing bank declare
Including CAPE, Barclays backs six ETNs under the Barclays
brand, and 72 in the U.S. under the iPath brand.
The distinction between the two brands is that 72 iPath ETNs are
marketed by BlackRock's iShares unit, the biggest ETF company in
the world, while Barclays markets the Barclays notes.
Permalink | 'copy; Copyright 2009 IndexUniverse LLC. All rights
Don't forget to check IndexUniverse.com's ETF Data
2012 IndexUniverse LLC
. All Rights Reserved.