PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
CAPE vs. QUAL
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CAPE vs. QUAL

Last updated Jun 4, 2026

CAPE (iPath Shiller CAPE ETN) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - CAPE is a Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. Both are passively managed. Over the past 3 years, CAPE returned 12.19%/yr vs 19.66%/yr for QUAL. Their correlation of 0.82 suggests significant overlap in exposure. CAPE charges 0.45%/yr vs 0.15%/yr for QUAL.

Performance

CAPE vs. QUAL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Quality Factor ETF (QUAL). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, CAPE achieves a -1.70% return, which is significantly lower than QUAL's 8.80% return.

CAPE

1D
-0.48%
1M
-1.99%
YTD
-1.70%
6M
-1.38%
1Y
3.29%
3Y*
12.19%
5Y*
—
10Y*
—

QUAL

1D
-0.07%
1M
4.62%
YTD
8.80%
6M
8.86%
1Y
21.68%
3Y*
19.66%
5Y*
11.96%
10Y*
14.27%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CAPE vs. QUAL - Yearly Performance Comparison

2026 (YTD)2025202420232022
CAPE
iPath Shiller CAPE ETN		-1.70%9.10%14.40%27.65%-15.28%
QUAL
iShares MSCI USA Quality Factor ETF		8.80%12.65%22.29%30.88%-15.14%

Correlation

The correlation between CAPE and QUAL is 0.68, 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

0.68

Correlation (3Y)
Calculated over the trailing 3-year period

0.74

Correlation (All Time)
Calculated using the full available price history since Apr 5, 2022

0.82

The correlation between CAPE and QUAL shifts across timeframes, from 0.68 (1 year) to 0.82 (all time), reflecting how their relationship changes across market environments.

CAPE vs. QUAL - Sectors Allocation Comparison

Sectors
CAPE
QUAL

Consumer Defensive

25.9%
4.9%

Communication Services

25.2%
11.1%

Healthcare

25.0%
9.0%

Consumer Cyclical

24.8%
9.3%

Real Estate

24.7%
1.8%

Financial Services

23.2%
11.5%

Basic Materials

22.0%
1.7%

Technology

0.2%
36.5%

Industrials

0.0%
8.2%

Energy

-

4.0%

Utilities

-

1.9%

Consumer Defensive

CAPE
25.9%
QUAL
4.9%

Communication Services

CAPE
25.2%
QUAL
11.1%

Healthcare

CAPE
25.0%
QUAL
9.0%

Consumer Cyclical

CAPE
24.8%
QUAL
9.3%

Real Estate

CAPE
24.7%
QUAL
1.8%

Financial Services

CAPE
23.2%
QUAL
11.5%

Basic Materials

CAPE
22.0%
QUAL
1.7%

Technology

CAPE
0.2%
QUAL
36.5%

Industrials

CAPE
0.0%
QUAL
8.2%

Energy

CAPE

-

QUAL
4.0%

Utilities

CAPE

-

QUAL
1.9%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iPath Shiller CAPE ETN

iShares MSCI USA Quality Factor ETF

Often compared with CAPE:
CAPE vs. SPYCAPE vs. VOOCAPE vs. SCHDCAPE vs. DSEEXCAPE vs. YACKXCAPE vs. TQQQCAPE vs. MDY
Often compared with QUAL:
QUAL vs. SPHQQUAL vs. SPYQUAL vs. MTUMQUAL vs. USMVQUAL vs. VOOQUAL vs. IVVQUAL vs. SCHD

Return for Risk

CAPE vs. QUAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CAPE
CAPE Risk / Return Rank: 1313
Overall Rank
CAPE Sharpe Ratio Rank: 1313
Sharpe Ratio Rank
CAPE Sortino Ratio Rank: 1212
Sortino Ratio Rank
CAPE Omega Ratio Rank: 1212
Omega Ratio Rank
CAPE Calmar Ratio Rank: 1313
Calmar Ratio Rank
CAPE Martin Ratio Rank: 1515
Martin Ratio Rank
QUAL
QUAL Risk / Return Rank: 5353
Overall Rank
QUAL Sharpe Ratio Rank: 5353
Sharpe Ratio Rank
QUAL Sortino Ratio Rank: 5353
Sortino Ratio Rank
QUAL Omega Ratio Rank: 5151
Omega Ratio Rank
QUAL Calmar Ratio Rank: 4848
Calmar Ratio Rank
QUAL Martin Ratio Rank: 6060
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CAPE vs. QUAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Quality Factor ETF (QUAL). 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.

CAPEQUALDifference
Sharpe ratioReturn per unit of total volatility
0.30
1.84

-1.54

Sortino ratioReturn per unit of downside risk
0.52
2.62

-2.11

Omega ratioGain probability vs. loss probability

1.06

1.32

-0.27

Calmar ratioReturn relative to maximum drawdown

0.34

2.41

-2.07

Martin ratioReturn relative to average drawdown

1.24

11.00

-9.75

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CAPE vs. QUAL - Sharpe Ratio Comparison

The current CAPE Sharpe Ratio is 0.30, which is lower than the QUAL Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of CAPE and QUAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Sharpe Ratios by Period

CAPEQUALDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.30

1.84

-1.54

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

—

0.69

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.79

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.42

0.80

-0.38

Drawdowns

CAPE vs. QUAL - Drawdown Comparison

The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for CAPE and QUAL.

Loading charts...

Drawdown Indicators

CAPEQUALDifference

Max Drawdown

Largest peak-to-trough decline

-22.07%

-34.06%

+11.99%

Max Drawdown (1Y)

Largest decline over 1 year

-9.68%

-9.03%

-0.65%

Max Drawdown (3Y)

Largest decline over 3 years

-14.32%

-18.00%

+3.68%

Max Drawdown (5Y)

Largest decline over 5 years

—

-28.23%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.06%

—

Current Drawdown

Current decline from peak

-4.83%

-0.16%

-4.67%

Average Drawdown

Average peak-to-trough decline

-4.93%

-4.11%

-0.82%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.65%

1.98%

+0.67%

Volatility

CAPE vs. QUAL - Volatility Comparison

iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Quality Factor ETF (QUAL) have volatilities of 2.63% and 2.51%, 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.

Loading charts...

Volatility by Period

CAPEQUALDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.63%

2.51%

+0.12%

Volatility (6M)

Calculated over the trailing 6-month period

8.04%

9.03%

-0.99%

Volatility (1Y)

Calculated over the trailing 1-year period

10.89%

11.83%

-0.94%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.93%

17.33%

-0.40%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.93%

18.10%

-1.17%

CAPE vs. QUAL - Expense Ratio Comparison

CAPE has a 0.45% expense ratio, which is higher than QUAL's 0.15% expense ratio.

Dividends

CAPE vs. QUAL - Dividend Comparison

CAPE's dividend yield for the trailing twelve months is around 1.41%, more than QUAL's 0.88% yield.

PositionTTM20252024202320222021202020192018201720162015
CAPE
iPath Shiller CAPE ETN		1.41%1.39%1.23%1.01%0.80%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QUAL
iShares MSCI USA Quality Factor ETF		0.88%0.94%1.02%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%

Frequently Asked Questions

CAPE and QUAL have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

CAPE has higher volatility (2.63%) compared to QUAL (2.51%). In terms of maximum drawdown, CAPE dropped -22.07% vs QUAL's -34.06%.

On 3-year performance, QUAL leads with 19.66% vs 12.19% for CAPE. On fees, QUAL is cheaper at 0.15% per year. On volatility, QUAL has been the lower-risk option at 2.51%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 3-year period, QUAL has performed better with a 19.66% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QUAL is cheaper with a 0.15% expense ratio, compared with 0.45% for CAPE.

CAPE has the higher dividend yield at 1.41%, compared with 0.88% for QUAL.

CAPE is categorized as Global Equities, while QUAL is Large Cap Blend Equities. CAPE tracks Shiller Barclays CAPE US Core Sector Index, while QUAL tracks MSCI USA Sector Neutral Quality Index. They also come from different issuers: Barclays Capital and iShares. Their fees differ too: 0.45% for CAPE and 0.15% for QUAL.

QUAL currently has the higher Sharpe Ratio (1.84 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.

Portfolio Optimizer

Find the right allocation for CAPE and QUAL

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer