CAPE vs. DSEEX
Compare and contrast key facts about iPath Shiller CAPE ETN (CAPE) and DoubleLine Shiller Enhanced CAPE (DSEEX).
CAPE is a passively managed fund by Barclays Capital that tracks the performance of the Shiller Barclays CAPE US Core Sector Index. It was launched on Oct 10, 2012. DSEEX is managed by DoubleLine. It was launched on Oct 31, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAPE or DSEEX.
Key characteristics
| CAPE | DSEEX | |
|---|---|---|
| YTD Return | 19.08% | 17.70% |
| 1Y Return | 31.60% | 31.06% |
| Sharpe Ratio | 2.75 | 2.71 |
| Sortino Ratio | 3.66 | 3.63 |
| Omega Ratio | 1.49 | 1.49 |
| Calmar Ratio | 5.79 | 0.86 |
| Martin Ratio | 18.14 | 16.39 |
| Ulcer Index | 1.84% | 2.00% |
| Daily Std Dev | 12.13% | 12.05% |
| Max Drawdown | -22.07% | -46.92% |
| Current Drawdown | 0.00% | -19.18% |
Correlation
The correlation between CAPE and DSEEX is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
CAPE vs. DSEEX - Performance Comparison
In the year-to-date period, CAPE achieves a 19.08% return, which is significantly higher than DSEEX's 17.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CAPE vs. DSEEX - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is lower than DSEEX's 0.54% expense ratio.
Risk-Adjusted Performance
CAPE vs. DSEEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and DoubleLine Shiller Enhanced CAPE (DSEEX). 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.
Dividends
CAPE vs. DSEEX - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.09%, less than DSEEX's 4.58% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.09% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DSEEX DoubleLine Shiller Enhanced CAPE | 4.58% | 4.60% | 3.87% | 1.63% | 1.73% | 2.74% | 3.38% | 2.16% | 2.12% | 2.88% | 2.61% | 0.48% |
Drawdowns
CAPE vs. DSEEX - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum DSEEX drawdown of -46.92%. Use the drawdown chart below to compare losses from any high point for CAPE and DSEEX. For additional features, visit the drawdowns tool.
Volatility
CAPE vs. DSEEX - Volatility Comparison
iPath Shiller CAPE ETN (CAPE) and DoubleLine Shiller Enhanced CAPE (DSEEX) have volatilities of 3.61% and 3.66%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.