CAPE vs. DSEEX
CAPE (iPath Shiller CAPE ETN) and DSEEX (DoubleLine Shiller Enhanced CAPE) are both funds - CAPE is a Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index, while DSEEX is a Large Cap Blend Equities fund managed by DoubleLine. Over the past 3 years, CAPE returned 11.38%/yr vs 10.15%/yr for DSEEX. With a 0.96 correlation, they move nearly in lockstep. CAPE charges 0.45%/yr vs 0.54%/yr for DSEEX.
Performance
CAPE vs. DSEEX - Performance Comparison
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Returns By Period
In the year-to-date period, CAPE achieves a -1.42% return, which is significantly higher than DSEEX's -2.11% return.
CAPE
- 1D
- -0.28%
- 1M
- -2.34%
- YTD
- -1.42%
- 6M
- -1.48%
- 1Y
- 4.08%
- 3Y*
- 11.38%
- 5Y*
- —
- 10Y*
- —
DSEEX
- 1D
- -0.26%
- 1M
- -2.22%
- YTD
- -2.11%
- 6M
- -2.48%
- 1Y
- 3.44%
- 3Y*
- 10.15%
- 5Y*
- 5.61%
- 10Y*
- 12.03%
CAPE vs. DSEEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -1.42% | 9.10% | 14.40% | 27.65% | -15.28% |
DSEEX DoubleLine Shiller Enhanced CAPE | -2.11% | 9.49% | 12.84% | 27.03% | -19.65% |
Correlation
The correlation between CAPE and DSEEX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.98 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Apr 4, 2022 | 0.96 |
The correlation between CAPE and DSEEX has been stable across timeframes, ranging from 0.95 to 0.98 - a consistent structural relationship.
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Return for Risk
CAPE vs. DSEEX — Risk / Return Rank
CAPE
DSEEX
CAPE vs. DSEEX - Risk-Adjusted Trends 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CAPE | DSEEX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.09 | ||
| Sortino ratioReturn per unit of downside risk | +0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.06 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 0.42 | 0.30 | +0.12 |
| Martin ratioReturn relative to average drawdown | 1.50 | 1.05 | +0.45 |
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Drawdowns
CAPE vs. DSEEX - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum DSEEX drawdown of -41.66%. Use the drawdown chart below to compare losses from any high point for CAPE and DSEEX.
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Drawdown Indicators
| CAPE | DSEEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -41.66% | +19.59% |
Max Drawdown (1Y)Largest decline over 1 year | -9.68% | -10.80% | +1.12% |
Max Drawdown (3Y)Largest decline over 3 years | -14.32% | -14.57% | +0.25% |
Max Drawdown (5Y)Largest decline over 5 years | — | -41.66% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.66% | — |
Current DrawdownCurrent decline from peak | -4.56% | -5.39% | +0.83% |
Average DrawdownAverage peak-to-trough decline | -4.90% | -8.45% | +3.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.72% | 3.09% | -0.37% |
Volatility
CAPE vs. DSEEX - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 3.28%, while DoubleLine Shiller Enhanced CAPE (DSEEX) has a volatility of 3.75%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than DSEEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPE | DSEEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.28% | 3.75% | -0.47% |
Volatility (6M)Calculated over the trailing 6-month period | 8.49% | 8.77% | -0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.08% | 11.42% | -0.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.88% | 22.87% | -5.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.88% | 21.73% | -4.85% |
CAPE vs. DSEEX - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is lower than DSEEX's 0.54% expense ratio.
Dividends
CAPE vs. DSEEX - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.40%, less than DSEEX's 5.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.40% | 1.39% | 1.23% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DSEEX DoubleLine Shiller Enhanced CAPE | 5.05% | 4.93% | 4.92% | 4.59% | 16.41% | 28.54% | 1.73% | 7.57% | 15.27% | 9.09% | 4.09% | 4.43% |
Frequently Asked Questions
With a correlation of 0.98, CAPE and DSEEX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
DSEEX has higher volatility (3.75%) compared to CAPE (3.28%). In terms of maximum drawdown, CAPE dropped -22.07% vs DSEEX's -41.66%.
CAPE currently has the higher Sharpe Ratio (0.37 vs 0.29), 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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