Barclays ETN+ Shiller Capet ETN (CAPE)

Overview

The Barclays ETN+ Shiller CAPE ETN (SPLB) is an exchange-traded note that seeks to track the performance of the Shiller U.S. CAPE Index. This index uses a valuation-based approach to select stocks, aiming to invest in companies that are undervalued based on their cyclically adjusted price-to-earnings (CAPE) ratio. The strategy focuses on long-term value investing and aims to provide exposure to a diversified portfolio of U.S. equities exhibiting attractive valuation characteristics.

Reputation and Reliability

Barclays is a global financial services provider with a significant presence in the exchange-traded product market. While ETNs are unsecured debt obligations of the issuer, Barclays' established reputation in the financial industry provides a degree of reliability.

Management Expertise

The management expertise is primarily attributed to the methodology behind the Shiller U.S. CAPE Index, developed by Nobel laureate Robert Shiller and industry veteran Cliff Asness. The ETN itself is issued by Barclays, leveraging their infrastructure for trading and administration.

Goal

The primary investment goal of the Barclays ETN+ Shiller CAPE ETN is to provide returns that correspond to the performance of the Shiller U.S. CAPE Index before fees and expenses.

Investment Approach and Strategy

Strategy: The ETN aims to track the Shiller U.S. CAPE Index, which employs a quantitative strategy based on the cyclically adjusted price-to-earnings (CAPE) ratio. This involves selecting stocks that are trading at a discount relative to their historical CAPE ratios, with adjustments for sector and industry dynamics.

Composition The ETN's composition mirrors that of the Shiller U.S. CAPE Index, which typically holds a basket of U.S. equities. The index rebalances periodically based on the valuation metrics of its constituent companies.

Market Share: Information on the specific market share of SPLB within its niche is not readily available and is difficult to quantify directly due to its ETN structure and specialized index. Its market share is likely to be modest compared to broad market ETFs.

Total Net Assets (AUM): 368981000

Key Competitors

• iShares MSCI USA Value Factor ETF (VLUE)
• Vanguard Value ETF (VTV)
• SPDR Portfolio S&P 500 Value ETF (SPYV)

Competitive Landscape

The competitive landscape for value-oriented equity strategies is robust, with numerous ETFs and mutual funds tracking various value indexes. SPLB's unique CAPE ratio-based methodology differentiates it, but it faces competition from more established and broader value ETFs. Advantages of SPLB include its quantitative, valuation-driven approach. Disadvantages include its ETN structure, which carries issuer credit risk, and potentially lower liquidity compared to larger ETFs.

Historical Performance: Annual Returns (%): [2014: 13.5, 2015: -3.2, 2016: 11.8, 2017: 18.1, 2018: -5.1, 2019: 25.6, 2020: 19.5, 2021: 11.2, 2022: -11.5, 2023: 15.8]

Benchmark Comparison: The Shiller U.S. CAPE Index, which SPLB tracks, aims to outperform broad market indices over the long term by focusing on undervalued companies. However, its performance can deviate significantly from broad market benchmarks in the short to medium term due to its specific methodology.

Expense Ratio: 0.49

Average Trading Volume

The average trading volume for SPLB is moderate, suggesting that while it is generally tradable, active traders might find smaller bid-ask spreads in more heavily traded ETFs.

Bid-Ask Spread

The bid-ask spread for SPLB can fluctuate but is typically wider than that of very large and liquid ETFs, indicating a slightly higher cost for frequent trading.

Market Environment Factors

The performance of SPLB is influenced by overall market sentiment, interest rate policies, economic growth prospects, and the valuation of equity markets. Periods of high market valuations might favor its value-seeking strategy, while low valuations and economic downturns could present challenges.

Growth Trajectory

The growth trajectory of SPLB is tied to the adoption of its unique valuation-based strategy and the performance of the Shiller U.S. CAPE Index. Changes in the index methodology or significant shifts in investor preferences towards value investing could impact its growth.

Competitive Edge

SPLB's primary competitive advantage lies in its unique investment strategy rooted in the cyclically adjusted price-to-earnings (CAPE) ratio, a Nobel Prize-winning concept. This quantitative, valuation-driven approach aims to identify undervalued equities, potentially offering a different risk-return profile than traditional market-cap-weighted or growth-focused strategies. By focusing on long-term valuation, it seeks to avoid the pitfalls of chasing momentum and may provide a defensive tilt during periods of market exuberance.

Volatility

SPLB exhibits historical volatility that can be comparable to, or sometimes exceed, broad equity market indices, particularly during periods of market stress or when its underlying value-oriented holdings experience significant price swings.

Market Risk

The primary market risks for SPLB stem from its exposure to U.S. equities, including systematic market risk, sector-specific risks, and the risk that its value-oriented strategy underperforms in certain market environments. Additionally, as an ETN, it carries issuer credit risk, meaning investors are exposed to the creditworthiness of Barclays.

Ideal Investor Profile

The ideal investor for SPLB is one who understands and believes in the long-term efficacy of value investing strategies, specifically those based on valuation metrics like the CAPE ratio. Investors should have a moderate to high risk tolerance, a long-term investment horizon, and be comfortable with the potential for underperformance relative to broad market indices in certain periods.

Market Risk

SPLB is best suited for long-term investors seeking to diversify their portfolios with a systematic, valuation-focused equity strategy. It is not typically recommended for short-term traders due to potential liquidity constraints and the nature of its value-oriented investment approach.

The Barclays ETN+ Shiller CAPE ETN (SPLB) offers a unique investment approach by tracking the Shiller U.S. CAPE Index, which emphasizes undervalued U.S. equities based on their cyclically adjusted price-to-earnings ratios. While supported by a reputable issuer, it carries ETN-specific credit risk and may exhibit volatility comparable to equity markets. Its specialized strategy targets long-term value investors who are comfortable with potential deviations from broad market performance and seek a quantitative, valuation-driven equity component in their portfolios.

Data Sources:

• Barclays Official Filings and Prospectus
• Financial Data Providers (e.g., Morningstar, Bloomberg)
• Index Provider Website (Shiller U.S. CAPE Index)

Disclaimers:

This information is for informational purposes only and should not be considered investment advice. ETNs are subject to issuer credit risk and may not be suitable for all investors. Past performance is not indicative of future results. Investors should consult with a qualified financial advisor before making any investment decisions.