The Ossiam Shiller Barclays CAPE US Market Neutral UCITS ETF implements a systematic long/short sector strategy across the S&P 500, seeking returns from relative sector performance rather than the direction of the US equity market.
Sector selection combines two signals. Relative CAPE assesses valuation using cyclically adjusted earnings, while 12-month price momentum provides a check against simply buying sectors that are cheap because their fundamentals or market leadership have deteriorated. Sectors judged relatively more attractive form the long book, with the remaining sectors used for the short book.
Portfolio construction then adds two further layers. Positions within the long and short books are weighted using sector volatility to balance their respective risk contributions. The notionals of the two legs are subsequently adjusted so that the overall portfolio is hedged against broad equity-market movements. These allocations are reassessed monthly across ten S&P 500 sector indices.
This makes the strategy materially different from a conventional value-factor ETF: valuation and momentum determine the relative sector views, while volatility and market-neutralisation determine how those views are expressed. The ETF tracks this leveraged strategy synthetically, primarily through swaps, rather than directly maintaining the underlying long and short sector positions.