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Shiller Enhanced International CAPE®
Posted: Tuesday, June 25, 2019

Total return which exceeds the total return of its benchmark index over a full market cycle. Maintain a core portfolio of debt instruments that focuses on global fixed income sector rotation while simultaneously obtaining exposure to a European Equity sector rotation strategy via Shiller Barclays CAPE® Europe Net TR Index (the “Index”). The Index aims to identify undervalued sectors based on a modified CAPE® Ratio, and then uses a momentum factor to seek to mitigate the effects of potential value traps. Using an equity index swap, $1 invested in the strategy provides approximately $1 of exposure to each market.

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