The new index extends the Shiller Barclays CAPE® methodology to U.S. small and mid-cap (SMID) equities, offering systematic sector exposure with a value-oriented bias.
Barclays today announced the launch of the Shiller Barclays CAPE® US SMID Sector Index, expanding its long-standing Shiller Barclays CAPE® index family to U.S. small and mid-cap equities.
The index is designed to provide systematic exposure to U.S. SMID equity sectors using the Cyclically Adjusted Price Earnings (CAPE®) methodology developed by economist Professor Robert Shiller, targeting long term value opportunities across market cycles while incorporating momentum signals to help mitigate value traps.
U.S. small and mid-cap equities have historically exhibited distinct valuation and revenue characteristics compared with large cap stocks, including greater exposure to domestic economic activity and differing valuation dynamics. In an environment of elevated market concentration and widening valuation dispersion, investors have increasingly reassessed allocations beyond traditional large cap indexes.
The Shiller Barclays CAPE® US SMID Sector Index adapts the established Shiller Barclays CAPE® sector framework previously applied across U.S. large cap, global, European and Japanese equity markets to the SMID universe. It evaluates a defined set of U.S. SMID sectors using relative CAPE® measures and momentum indicators, selecting a subset of sectors and rebalancing at regular intervals in line with transparent, rules-based mechanics.
The index is built on custom MSCI USA SMID Sector Indexes developed by MSCI, which provide the underlying sector universe for the Shiller Barclays CAPE® methodology.
Benedict Redmond, Managing Director, Head of EMEA QIS Structuring: "The US mid and small cap area present an interesting opportunity for investors to get a different exposure to US markets. We are excited to see that our successful strategy, built together with Professor Shiller and team, can again provide investors a way to potentially outperform the wider market and be selective around what sectors they are exposed to."
Robert J. Shiller, Sterling Professor Emeritus of Economics, Yale University: "Much of the innovation that shapes the future economy begins in US smaller and mid-sized companies before it becomes widely recognized. This new index reflects the idea that careful attention to valuation, using the CAPE Ratio, may help investors gain exposure to parts of the American economy where entrepreneurial activity and long-term growth opportunities may exist."
Axel Kilian, Chief Client Officer, MSCI: "The expansion of this index family into U.S. small and mid-cap equities is an exciting next step for one of the most academically distinguished index methodologies. We have invested significantly in creating and maintaining the long-dated sector data that makes this step possible, and we are proud that our custom MSCI USA SMID Sector Indexes provide the foundation for this launch."
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Sofia Rehman
sofia.rehman@barclays.com
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