BMO's U.S. equity ETF employs Shiller's cyclical price-earnings screens

MSCI value and high-yield index strategies also launched.

Rudy Luukko 11 October, 2017 | 5:00PM

BMO's sprawling family of exchange-traded funds grew larger today with the launch of five new ETFs, most notably a U.S. equity strategy based on the research of the prominent academic and Nobel laureate Robert Shiller.

BMO Shiller Select US Index (ZEUS) invests in U.S. equities that score well according to the Cyclically Adjusted Price Earnings (CAPE) methodology created by Shiller, a professor of economics and finance at Yale University. The ETF's reference index is the Shiller Barclays CAPE US Single Stock Index, which combines value and momentum criteria.

The CAPE methodology seeks to capture the performance of long-term undervalued U.S. securities, subject to minimum criteria for market capitalization and liquidity. "It is a different approach to value investing and was designed to identify stocks that are well established and relatively forgotten, with a long history of earnings but underpriced in the market," Shiller is quoted as saying in a BMO Asset Management Inc. release.

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Rudy Luukko

Rudy Luukko  Rudy Luukko is a freelance writer who contributes to Morningstar.ca on topics involving fund industry trends and regulatory issues. He retired in May 2018 from his position as editor, investment and personal finance, at Morningstar Canada, where he had worked since 2004. He has also worked as an editor and writer for various general, specialty and institutional media, and he has co-authored courses for the Canadian Securities Institute. Follow Rudy on Twitter: @RudyLuukko.

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