CAPE vs. DJP
CAPE (iPath Shiller CAPE ETN) and DJP (iPath Bloomberg Commodity Index Total Return ETN) are both exchange-traded funds - CAPE is a Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index, while DJP is a Commodities fund tracking the Bloomberg Commodity Index. Both are passively managed. Over the past 3 years, CAPE returned 12.19%/yr vs 17.94%/yr for DJP. At a 0.18 correlation, their price movements are largely independent. CAPE charges 0.45%/yr vs 0.70%/yr for DJP.
Performance
CAPE vs. DJP - Performance Comparison
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Returns By Period
In the year-to-date period, CAPE achieves a -1.70% return, which is significantly lower than DJP's 30.63% return.
CAPE
- 1D
- -0.48%
- 1M
- -1.99%
- YTD
- -1.70%
- 6M
- -1.38%
- 1Y
- 3.29%
- 3Y*
- 12.19%
- 5Y*
- —
- 10Y*
- —
DJP
- 1D
- 0.02%
- 1M
- -3.31%
- YTD
- 30.63%
- 6M
- 29.34%
- 1Y
- 44.52%
- 3Y*
- 17.94%
- 5Y*
- 12.46%
- 10Y*
- 7.36%
CAPE vs. DJP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -1.70% | 9.10% | 14.40% | 27.65% | -15.28% |
DJP iPath Bloomberg Commodity Index Total Return ETN | 30.63% | 17.20% | 5.59% | -9.85% | -9.82% |
Correlation
The correlation between CAPE and DJP is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Apr 5, 2022 | 0.18 |
The correlation between CAPE and DJP shifts across timeframes, from -0.07 (1 year) to 0.18 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CAPE vs. DJP — Risk / Return Rank
CAPE
DJP
CAPE vs. DJP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and iPath Bloomberg Commodity Index Total Return ETN (DJP). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| CAPE | DJP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.06 | ||
| Sortino ratioReturn per unit of downside risk | -2.43 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.42 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | 0.34 | 5.20 | -4.86 |
| Martin ratioReturn relative to average drawdown | 1.24 | 13.30 | -12.05 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CAPE | DJP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.30 | 2.36 | -2.06 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.66 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.43 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.00 | +0.41 |
Drawdowns
CAPE vs. DJP - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum DJP drawdown of -78.35%. Use the drawdown chart below to compare losses from any high point for CAPE and DJP.
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Drawdown Indicators
| CAPE | DJP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -78.35% | +56.28% |
Max Drawdown (1Y)Largest decline over 1 year | -9.68% | -8.61% | -1.07% |
Max Drawdown (3Y)Largest decline over 3 years | -14.32% | -13.41% | -0.91% |
Max Drawdown (5Y)Largest decline over 5 years | — | -28.98% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -38.36% | — |
Current DrawdownCurrent decline from peak | -4.83% | -32.82% | +27.99% |
Average DrawdownAverage peak-to-trough decline | -4.93% | -50.86% | +45.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 3.36% | -0.71% |
Volatility
CAPE vs. DJP - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 2.63%, while iPath Bloomberg Commodity Index Total Return ETN (DJP) has a volatility of 5.85%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than DJP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPE | DJP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.63% | 5.85% | -3.22% |
Volatility (6M)Calculated over the trailing 6-month period | 8.04% | 16.64% | -8.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.89% | 18.92% | -8.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.93% | 18.96% | -2.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.93% | 17.06% | -0.13% |
CAPE vs. DJP - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is lower than DJP's 0.70% expense ratio.
Dividends
CAPE vs. DJP - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.41%, while DJP has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.41% | 1.39% | 1.23% | 1.01% | 0.80% |
DJP iPath Bloomberg Commodity Index Total Return ETN | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CAPE and DJP have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DJP has higher volatility (5.85%) compared to CAPE (2.63%). In terms of maximum drawdown, CAPE dropped -22.07% vs DJP's -78.35%.
On 3-year performance, DJP leads with 17.94% vs 12.19% for CAPE. On fees, CAPE is cheaper at 0.45% per year. On volatility, CAPE has been the lower-risk option at 2.63%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DJP has performed better with a 17.94% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAPE is cheaper with a 0.45% expense ratio, compared with 0.70% for DJP.
CAPE has the higher dividend yield at 1.41%, compared with 0.00% for DJP.
CAPE is categorized as Global Equities, while DJP is Commodities. CAPE tracks Shiller Barclays CAPE US Core Sector Index, while DJP tracks Bloomberg Commodity Index. Their fees differ too: 0.45% for CAPE and 0.70% for DJP.
DJP currently has the higher Sharpe Ratio (2.36 vs 0.30), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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