Ossiam Shiller Barclays CAPE Europe Sector Value TR UCITS ETF 1C (EUR)
| Issuer: Ossiam |
| Asset Class: Equity |
| TER: 65bps |
| Trading Currency: GBX |
| Pays Income: False |
| Listing Date: 16 Feb 2015 |
| Ticker: LCPE |
| ISIN: LU1079842321 |
This fund offers a systematic, rules-based approach to investing in the European equity market. Instead of picking individual stocks, it focuses on selecting entire sectors based on relative value. The methodology leverages the Cyclically Adjusted Price-to-Earnings (CAPE) ratio, a valuation measure developed by Nobel laureate Professor Robert Shiller, which smooths out earnings over a ten-year period to provide a more stable assessment of long-term value. The strategy systematically selects the most undervalued sectors within the European market, aiming to capture potential upside as these sectors revert to their historical mean valuations.
Each month, the methodology identifies the five cheapest European equity sectors based on a modified CAPE ratio. To avoid "value traps"—sectors that are cheap for a reason and continue to underperform—a momentum filter is applied. Only the four sectors with the strongest 12-month price momentum among the five cheapest are included in the portfolio. This dual-factor approach of combining value and momentum seeks to enhance returns by investing in sectors that are not only attractively priced but also demonstrating positive market sentiment. The portfolio is rebalanced monthly to maintain its exposure to the most promising sectors according to these criteria.
This investment provides a unique way to access European equities, moving beyond traditional market-cap-weighted indices. By systematically tilting towards undervalued sectors with positive momentum, it aims to generate outperformance over a full market cycle. It could be suitable for investors looking for a sophisticated, factor-based strategy to complement their core European equity holdings or for those who believe in the long-term efficacy of value investing, enhanced with a momentum overlay to mitigate risk. The rules-based nature removes emotional decision-making from the investment process.
