CAPE vs. MTUM
Compare and contrast key facts about iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Momentum Factor ETF (MTUM).
CAPE and MTUM 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. MTUM is a passively managed fund by iShares that tracks the performance of the MSCI USA Momentum SR Variant Index. It was launched on Apr 16, 2013. Both CAPE and MTUM are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
CAPE vs. MTUM - Performance Comparison
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CAPE vs. MTUM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -4.29% | 9.10% | 14.40% | 27.65% | -15.28% |
MTUM iShares MSCI USA Momentum Factor ETF | -4.04% | 22.15% | 32.89% | 9.15% | -12.99% |
Returns By Period
In the year-to-date period, CAPE achieves a -4.29% return, which is significantly lower than MTUM's -4.04% return.
CAPE
- 1D
- 2.22%
- 1M
- -7.33%
- YTD
- -4.29%
- 6M
- -4.53%
- 1Y
- 2.96%
- 3Y*
- 12.22%
- 5Y*
- —
- 10Y*
- —
MTUM
- 1D
- 4.00%
- 1M
- -5.04%
- YTD
- -4.04%
- 6M
- -6.08%
- 1Y
- 19.69%
- 3Y*
- 21.05%
- 5Y*
- 9.22%
- 10Y*
- 13.84%
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CAPE vs. MTUM - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is higher than MTUM's 0.15% expense ratio.
Return for Risk
CAPE vs. MTUM — Risk / Return Rank
CAPE
MTUM
CAPE vs. MTUM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Momentum Factor ETF (MTUM). 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 | MTUM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.20 | 0.86 | -0.66 |
Sortino ratioReturn per unit of downside risk | 0.40 | 1.32 | -0.92 |
Omega ratioGain probability vs. loss probability | 1.05 | 1.19 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 0.37 | 1.67 | -1.30 |
Martin ratioReturn relative to average drawdown | 1.50 | 6.31 | -4.81 |
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 | MTUM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.20 | 0.86 | -0.66 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.45 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.67 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.39 | 0.72 | -0.33 |
Correlation
The correlation between CAPE and MTUM is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
CAPE vs. MTUM - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.46%, more than MTUM's 0.82% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.46% | 1.39% | 1.23% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.82% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
Drawdowns
CAPE vs. MTUM - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum MTUM drawdown of -34.08%. Use the drawdown chart below to compare losses from any high point for CAPE and MTUM.
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Drawdown Indicators
| CAPE | MTUM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -34.08% | +12.01% |
Max Drawdown (1Y)Largest decline over 1 year | -10.89% | -12.26% | +1.37% |
Max Drawdown (5Y)Largest decline over 5 years | — | -32.28% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.08% | — |
Current DrawdownCurrent decline from peak | -7.33% | -8.01% | +0.68% |
Average DrawdownAverage peak-to-trough decline | -5.00% | -6.28% | +1.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.71% | 3.24% | -0.53% |
Volatility
CAPE vs. MTUM - Volatility Comparison
The current volatility for iPath Shiller CAPE ETN (CAPE) is 5.09%, while iShares MSCI USA Momentum Factor ETF (MTUM) has a volatility of 8.55%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than MTUM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPE | MTUM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.09% | 8.55% | -3.46% |
Volatility (6M)Calculated over the trailing 6-month period | 8.01% | 14.58% | -6.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.07% | 22.93% | -7.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.14% | 20.38% | -3.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.14% | 20.82% | -3.68% |