Can someone please explain to me how the underlying index selects the sectors to invest in? I can't quite figure it out from the key investor information: "The Shiller Barclays CAPE® US Sector Value Net TR Index reflects the performance of a dynamic long position in four U.S. equity sectors selected monthly based on their relative CAPE® ratio (cyclically adjusted P/E ratio) and price fluctuations over the previous 12 months (the "12-month price momentum")." Does that mean it invests in the 4 sectors with the lowest P/E ratios and the largest price declines over the previous 12 months?

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Kate💎 🙌.@Iwanowitsch

2Mon

Thanks for sharing 😇

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Stulle 🥪@Stullen-Portfolio

2Mon

@Iwanowitsch
Wow, thank you, dear Kate. ☺️

...and merry christmas 🎄🍾

Greetings
🥪

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Epi@Epi

1Yr

Interesting part. Good luck with it!

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Stulle 🥪@Stullen-Portfolio

1Yr

Thank you, @Epi. Yes, I actually find the concept behind it very exciting. ...similar exciting as the GTAA approach you are following - of course aware that $216361 doesn't have all the "dimensions" of GTAA you describe in https://getqu.in/QyYFftJa4bV1/gj9PsZf4V2/ I see the biggest advantage of CAPE in the easy/passive implementation 🤷‍♂️

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Epi@Epi

1Yr

@Stullen-Portfolio Yes, I think the concept is great, too. Definitely a serious alternative to the SP500. Hopefully it will be available internationally soon, then it would be even more awesome! 😅

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Stulle 🥪@Stullen-Portfolio

1Yr

@Epi The concept is also available in all kinds of other versions, including Europe and each as "SRI". Since the end of '22 also global...but not (yet) UCITS...🤷‍♂️

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Stulle 🥪@Stullen-Portfolio

1Yr

ISIN@globaleVariante LU2555926372

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Epi@Epi

1Yr

@Stullen-Portfolio Thanks for the tip!

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Epi@Epi

1Yr

@Stullen-Portfolio Why did you choose the US variant and not the world variant?

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Stulle 🥪@Stullen-Portfolio

1Yr

@Epi The application of the Shiller P/E principle to the relatively defined area of the S&P 500 convinced me much more than its application to a less defined/definable area of the large and mid caps of all industrialized countries. The application of this principle is somehow based on the homogeneity of the respective sectors, and for me, this homogeneity is greater in the US than globally.

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Epi@Epi

1Yr

@Stullen-Portfolio Sounds plausible. Do you have empirical support for this intuition, which I would share?

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Stulle 🥪@Stullen-Portfolio

1Yr

Nope, no empiricism on my part at all.

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Epi@Epi

1Yr

@Stullen-Portfolio I find the problem with my intuition is that I can usually find good reasons for its opposite as well. For example, one could just as easily argue that by expanding a sector to the whole world, the nation and currency factors are eliminated and the sector is played pure, so to speak. 🤷

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