BXRTCCST Shiller Barclays CAPE US Core Sector Index

On a monthly basis, the Index calculates the CAPE (Cyclically Adjusted Price Earnings) ratio of the nine GICS sectors of the S&P 500. As of today, there are actually eleven GICS sectors, but the Index looks at nine sectors because the real estate sector is combined with the financials sector and the telecommunications sector is combined with the technology sector. The Index ranks the nine sectors by the CAPE ratio, and selects the five sectors with the lowest CAPE ratio. The Index then ranks those five sectors based on price momentum over the past twelve months. The sector with the lowest ranking is eliminated from the Index. The Index then allocates an equally weighted notional long position in the total return version of the four remaining S&P 500 sector indexes.

As of 09/11/2017

Index Information
Provider:     Shiller Barclays
Category1:  US Equity
Category2:  Broad market
Category3:  Large cap
Currency:    USD
Inception date:  09/12/2012
Backtesting data exists:   Yes
Weighting methodology:   Equal weighted
Number of holdings:  4
Rebalanced:  Monthly
Reconstituted:  Monthly

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