Shiller Enhanced CAPE®
Posted: Monday, June 13, 2016

Seeks total return which exceeds the benchmark index. The strategy maintains a core portfolio of debt instruments that focuses on global fixed income sector rotation while simultaneously obtaining exposure to the Shiller CAPE® US Sector TR USD Index. The rules-based index aims to identify undervalued sectors based on a modified CAPE® Ratio which then uses a momentum factor to mitigate the effects of potential value traps. Using both a value indicator and a momentum indicator, the Index aims to provide more stable and improved risk adjusted returns. By using an equity index swap, $1 invested in the strategy provides approximately $1 of exposure to each market.



2002 N. Tampa St.
Suite 200
FL 33602



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