CAPE vs. MDY
Compare and contrast key facts about iPath Shiller CAPE ETN (CAPE) and SPDR S&P MidCap 400 ETF (MDY).
CAPE and MDY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. MDY is a passively managed fund by State Street that tracks the performance of the S&P MidCap 400 Index. It was launched on May 4, 1995. Both CAPE and MDY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAPE or MDY.
Key characteristics
| CAPE | MDY | |
|---|---|---|
| YTD Return | 18.83% | 18.85% |
| 1Y Return | 28.23% | 30.82% |
| Sharpe Ratio | 2.59 | 2.19 |
| Sortino Ratio | 3.46 | 3.10 |
| Omega Ratio | 1.46 | 1.38 |
| Calmar Ratio | 5.43 | 3.22 |
| Martin Ratio | 17.03 | 13.01 |
| Ulcer Index | 1.84% | 2.76% |
| Daily Std Dev | 12.13% | 16.38% |
| Max Drawdown | -22.07% | -55.33% |
| Current Drawdown | -0.20% | -1.61% |
Correlation
The correlation between CAPE and MDY is 0.85, 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. MDY - Performance Comparison
The year-to-date returns for both investments are quite close, with CAPE having a 18.83% return and MDY slightly higher at 18.85%. 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. MDY - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is higher than MDY's 0.23% expense ratio.
Risk-Adjusted Performance
CAPE vs. MDY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and SPDR S&P MidCap 400 ETF (MDY). 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. MDY - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.10%, which matches MDY's 1.10% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.10% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MDY SPDR S&P MidCap 400 ETF | 1.10% | 1.21% | 1.37% | 0.96% | 1.12% | 1.34% | 1.39% | 1.18% | 1.31% | 1.35% | 1.17% | 1.07% |
Drawdowns
CAPE vs. MDY - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum MDY drawdown of -55.33%. Use the drawdown chart below to compare losses from any high point for CAPE and MDY. For additional features, visit the drawdowns tool.
Volatility
CAPE vs. MDY - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 3.71%, while SPDR S&P MidCap 400 ETF (MDY) has a volatility of 5.28%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than MDY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.