Shiller Barclays Global Index

Finding Value on a Global Scale

Leverage Insights from a Pioneer of Value Investing and Barclays

Robert J. Shiller, Ph.D.

Sterling Professor of Economics and Professor of Finance at Yale University
Best-selling author of Irrational Exuberance
One of the world’s most influential economists¹

A pioneer of value investing, Professor Robert Shiller helped design a systematic way to identify undervalued assets to help investors buy when the price is low and sell when the price is high.

Professor Shiller’s Cyclically Adjusted Price to Earnings Ratio (commonly known as the CAPE® ratio) has become a benchmark for finding values among global asset classes.

With global financial services firm Barclays, Professor Shiller applied some of his latest insights to create the Shiller Global Index. Barclays has a quantitative research team that worked closely with Professor Shiller to develop the methodology. This global, multi-asset index is designed to leverage diversification, value investing and momentum to create consistent appreciation through a variety of markets.

Key Terms and Resources

CAPE^® RATIO – A statistical tool used to identify potential values, the CAPE^® Ratio compares the current price to the average earnings over 10 years, adjusted for inflation.

MOMENTUM – An indicator of a positive or negative trend in an asset’s price movement over time. Momentum is calculated by comparing the asset class’s current price to the price of the asset class six months earlier.

Shiller Barclays Global Index Brochure

Finding Global Value

The Index is designed to provide global diversification from the world’s three largest developed markets: the United States, Eurozone and Japan. Asset classes in stocks, bonds and commodities offer opportunities for growth in a variety of market conditions.

Leverage Diversified Global Asset Classes

Individual Stocks as of 12/18. Number of individual stocks are evaluated quarterly and subject to change.

Professor Shiller’s and Barclays Process for Finding Global Value

The Index is designed to identify undervalued stocks in three regions — the U.S., Eurozone and Japan — using CAPE ratio and strongest momentum. Professor Shiller and Barlcays designed this monthly process to find stocks that are well-established and relatively forgotten, with a long history of earnings but underpriced in the market.

Identifying Best Values With Strongest Momentum

Multi-Asset Allocation

The Index evaluates and rebalances stocks, bonds and undervalued commodities monthly with the aim to respond to changing market conditions. Barclays and Professor Shiller’s global stocks are always included in the allocation, with other asset classes included when they show positive momentum.

Designed to Navigate Global Markets

If volatility falls below the 6% annualized volatility target, the index may increase its allocation to the selected asset classes up to 150%. If daily volatility is greater than 6%, exposure to the allocation may be reduced with the remainder allocated to cash.

The Benefit of Global Values

Strategies developed by Barclays and Professor Robert Shiller help allocate global asset classes using principles of value investing and momentum to create an opportunity for stable appreciation through a variety of market environments. The graph below shows how the Shiller Barclays Global Index would have performed over the more than 21 years of turbulent global markets.

Shiller Barclays Global Index

Hypothetical Assumptions: Index Value of the Shiller Barclays Global Index from 8/1/02 to 12/31/23. The Shiller Barclays Global Index was established on 2/1/19. Performance shown before this date is back-tested by applying the index strategy, which was designed with the benefit of hindsight, to historical financial data. Back-tested performance is hypothetical and has been provided for informational purposes only. Past performance is not indicative of nor does it guarantee future performance or results. The foregoing performance information does not include any relevant costs, participation rates and charges associated with the BCA suite of FIAs or any other financial product linked to the Shiller Barclays Global Index. For more information on the BCA suite of FIAs and performance of the Shiller Barclays Global Index, ask your insurance professional for an illustration.

The Shiller Barclays Global Index is available with all BCA 2.0 FIAs. Rates and product availability will vary by state and results may be higher or lower. See your insurance professional for detailed information.

¹ Source: IDEAS, as of 10/15/18. Based on a statistical analysis of published literature and citations.

² Individual Stocks as of 12/18. Number of individual stocks are evaluated quarterly and subject to change.

³ The maximum weight for U.S. and Eurozone stocks is 40% and for Japanese stocks is 20% of the allocation.

May not be available for use in all states.

This web page was designed to provide information on the Shiller Barclays Global Index and should be used only in conjunction with the BCA® suite of Fixed Indexed Annuities (FIAs) from Athene Annuity and Life Company, including BCA 2.0 and Athene® Velocity. Barclays is not the issuer or producer of the BCA suite of FIAs. Barclays’ relationship to the products described in this brochure is only licensing the index to Athene in exchange for a fee for use in connection with the products. Fixed indexed annuities are not an investment and do not directly invest in the stock market or any index. It is not possible to directly invest in an index. Please ask your insurance professional and refer to the fixed indexed annuity product brochure and inserts for more information on fees, restrictions and limitations.

Because the Shiller Barclays Global Index is denominated in US dollars, profits and losses generated by underlying equity indices in foreign currencies are converted to dollars on a daily basis. Costs and fees equal to Libor plus 0.55% per annum are deducted from the performance of each Equity Component.

Fees equal to 0.55% per annum are deducted from the performance of the Commodity Index.

Fees equal to 0.22% per annum are deducted from the performance of the Fixed Income Components.

Barclays Capital Inc. and its affiliates (“Barclays”) is not the issuer or producer of the Products referenced herein and Barclays has no responsibilities, obligations or duties to purchasers in these Products. The Shiller Barclays CAPE^® US Sector Risk Controlled 10% USD Total Return Index and the Shiller Barclays Global Index (collectively, the “Indices”) are trademarks owned by Barclays Bank PLC and licensed for use by Athene Annuity and Life promoted by Barclays and Barclays makes no representation regarding the advisability of the Product(s) or use of the Indices or any data included therein. Barclays shall not be liable in any way to the issuer or to other third parties in respect of the use or accuracy of the Indices or any data included therein or in connection with the administration, marketing, purchasing or performance of the Product(s).

The Shiller Barclays CAPE^® US Sector Risk Controlled 10% USD Total Return Index and the Shiller Barclays Global Index (collectively, the “Indices”) have been developed in part by RSBB, LLC, the research principal of which is Robert J. Shiller. RSBB, LLC is not an investment advisor and does not guarantee the accuracy and completeness of the Indices or any data or methodology either included therein or upon which it is based. RSBB, LLC shall have no liability for any errors, omissions or interruptions therein and makes no warranties expressed or implied, as to the performance or results experienced by any party from the use of any information included therein or upon which it is based, and expressly disclaims all warranties of the merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or loses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages even, if RSBB, LLC is advised of the possibility of same. Company (“Athene”) as the issuer of one or more fixed indexed annuities (the “Product(s)”). Barclays’ only relationship to Athene is the licensing of the Indices which is determined, composed and calculated by Barclays without regard to Athene or the Product(s). While Athene may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Product(s), purchasers acquire the Product(s) from Athene and purchasers neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Barclays upon making a purchase of the Product(s). The Product(s) are not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability of the Product(s) or use of the Indices or any data included therein. Barclays shall not be liable in any way to the issuer or to other third parties in respect of the use or accuracy of the Indices or any data included therein or in connection with the administration, marketing, purchasing or performance of the Product(s).

The Shiller Barclays CAPE® US Sector Risk Controlled 10% USD Total Return Index and the Shiller Barclays Global Index (collectively, the “Indices”) have been developed in part by RSBB, LLC, the research principal of which is Robert J. Shiller. RSBB, LLC is not an investment advisor and does not guarantee the accuracy and completeness of the Indices or any data or methodology either included therein or upon which it is based. RSBB, LLC shall have no liability for any errors, omissions or interruptions therein and makes no warranties expressed or implied, as to the performance or results experienced by any party from the use of any information included therein or upon which it is based, and expressly disclaims all warranties of the merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or losses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages even, if RSBB, LLC is advised of the possibility of same.

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This material is a general description intended for general public use. Athene Annuity and Life Company (61689), headquartered in West Des Moines, Iowa, and issuing annuities in 49 states (excluding NY) and D.C., and Athene Annuity & Life Assurance Company of New York (68039), headquartered in Pearl River, New York, and issuing annuities in New York, are not undertaking to provide investment advice for any individual or in any individual situation, and therefore nothing in this should be read as investment advice. Please reach out to your insurance professional if you have any questions about Athene products or their features.

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(02/24)