CAPE vs. GSWO
CAPE (iPath Shiller CAPE ETN) and GSWO (Goldman Sachs ActiveBeta World Equity ETF) are both Global Equities funds - CAPE tracks the Shiller Barclays CAPE US Core Sector Index while GSWO tracks the Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net. Both are passively managed. Over the past 3 years, CAPE returned 12.19%/yr vs 18.70%/yr for GSWO. Their correlation of 0.82 suggests significant overlap in exposure. CAPE charges 0.45%/yr vs 0.25%/yr for GSWO.
Performance
CAPE vs. GSWO - 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 GSWO's 11.00% return.
CAPE
- 1D
- -0.48%
- 1M
- -1.99%
- YTD
- -1.70%
- 6M
- -1.38%
- 1Y
- 3.29%
- 3Y*
- 12.19%
- 5Y*
- —
- 10Y*
- —
GSWO
- 1D
- -0.71%
- 1M
- 4.81%
- YTD
- 11.00%
- 6M
- 11.56%
- 1Y
- 20.17%
- 3Y*
- 18.70%
- 5Y*
- —
- 10Y*
- —
CAPE vs. GSWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -1.70% | 9.10% | 14.40% | 27.65% | -15.28% |
GSWO Goldman Sachs ActiveBeta World Equity ETF | 11.00% | 18.97% | 15.29% | 16.28% | -8.28% |
Correlation
The correlation between CAPE and GSWO is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.78 |
Correlation (All Time) Calculated using the full available price history since Apr 5, 2022 | 0.82 |
The correlation between CAPE and GSWO has been stable across timeframes, ranging from 0.75 to 0.82 - a consistent structural relationship.
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Return for Risk
CAPE vs. GSWO — Risk / Return Rank
CAPE
GSWO
CAPE vs. GSWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and Goldman Sachs ActiveBeta World Equity ETF (GSWO). 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 | GSWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.58 | ||
| Sortino ratioReturn per unit of downside risk | -2.25 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.35 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | 0.34 | 2.27 | -1.93 |
| Martin ratioReturn relative to average drawdown | 1.24 | 10.87 | -9.62 |
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 | GSWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.30 | 1.88 | -1.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.99 | -0.58 |
Drawdowns
CAPE vs. GSWO - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, which is greater than GSWO's maximum drawdown of -17.77%. Use the drawdown chart below to compare losses from any high point for CAPE and GSWO.
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Drawdown Indicators
| CAPE | GSWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -17.77% | -4.30% |
Max Drawdown (1Y)Largest decline over 1 year | -9.68% | -8.93% | -0.75% |
Max Drawdown (3Y)Largest decline over 3 years | -14.32% | -9.97% | -4.35% |
Current DrawdownCurrent decline from peak | -4.83% | -0.71% | -4.12% |
Average DrawdownAverage peak-to-trough decline | -4.93% | -3.25% | -1.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 1.86% | +0.79% |
Volatility
CAPE vs. GSWO - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 2.63%, while Goldman Sachs ActiveBeta World Equity ETF (GSWO) has a volatility of 3.22%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than GSWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPE | GSWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.63% | 3.22% | -0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 8.04% | 9.02% | -0.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.89% | 10.75% | +0.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.93% | 12.96% | +3.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.93% | 12.96% | +3.97% |
CAPE vs. GSWO - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is higher than GSWO's 0.25% expense ratio.
Dividends
CAPE vs. GSWO - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.41%, less than GSWO's 1.61% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.41% | 1.39% | 1.23% | 1.01% | 0.80% |
GSWO Goldman Sachs ActiveBeta World Equity ETF | 1.61% | 1.74% | 1.75% | 2.06% | 1.73% |
Frequently Asked Questions
CAPE and GSWO have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GSWO has higher volatility (3.22%) compared to CAPE (2.63%). In terms of maximum drawdown, CAPE dropped -22.07% vs GSWO's -17.77%.
On 3-year performance, GSWO leads with 18.70% vs 12.19% for CAPE. On fees, GSWO is cheaper at 0.25% 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, GSWO has performed better with a 18.70% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GSWO is cheaper with a 0.25% expense ratio, compared with 0.45% for CAPE.
GSWO has the higher dividend yield at 1.61%, compared with 1.41% for CAPE.
CAPE tracks Shiller Barclays CAPE US Core Sector Index, while GSWO tracks Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net. They also come from different issuers: Barclays Capital and Goldman Sachs. Their fees differ too: 0.45% for CAPE and 0.25% for GSWO.
GSWO currently has the higher Sharpe Ratio (1.88 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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