CAPE vs. QUAL
Compare and contrast key facts about iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Quality Factor ETF (QUAL).
CAPE and QUAL 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. QUAL is a passively managed fund by iShares that tracks the performance of the MSCI USA Sector Neutral Quality Index. It was launched on Jul 18, 2013. Both CAPE and QUAL 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. QUAL - Performance Comparison
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CAPE vs. QUAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -3.63% | 9.10% | 14.40% | 27.65% | -15.28% |
QUAL iShares MSCI USA Quality Factor ETF | -2.74% | 12.65% | 22.29% | 30.88% | -15.14% |
Returns By Period
In the year-to-date period, CAPE achieves a -3.63% return, which is significantly lower than QUAL's -2.74% return.
CAPE
- 1D
- 0.69%
- 1M
- -6.03%
- YTD
- -3.63%
- 6M
- -3.26%
- 1Y
- 3.45%
- 3Y*
- 12.48%
- 5Y*
- —
- 10Y*
- —
QUAL
- 1D
- 0.50%
- 1M
- -5.52%
- YTD
- -2.74%
- 6M
- -1.05%
- 1Y
- 13.65%
- 3Y*
- 17.10%
- 5Y*
- 10.71%
- 10Y*
- 12.99%
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CAPE vs. QUAL - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is higher than QUAL's 0.15% expense ratio.
Return for Risk
CAPE vs. QUAL — Risk / Return Rank
CAPE
QUAL
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.
| CAPE | QUAL | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.23 | 0.79 | -0.56 |
Sortino ratioReturn per unit of downside risk | 0.45 | 1.24 | -0.79 |
Omega ratioGain probability vs. loss probability | 1.06 | 1.18 | -0.12 |
Calmar ratioReturn relative to maximum drawdown | 0.34 | 1.21 | -0.87 |
Martin ratioReturn relative to average drawdown | 1.34 | 5.50 | -4.16 |
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 | QUAL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.23 | 0.79 | -0.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.62 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.72 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.75 | -0.35 |
Correlation
The correlation between CAPE and QUAL is 0.83, 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.
Dividends
CAPE vs. QUAL - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.44%, more than QUAL's 0.98% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.44% | 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 | 0.98% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
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.
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Drawdown Indicators
| CAPE | QUAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -34.06% | +11.99% |
Max Drawdown (1Y)Largest decline over 1 year | -10.89% | -11.52% | +0.63% |
Max Drawdown (5Y)Largest decline over 5 years | — | -28.23% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.06% | — |
Current DrawdownCurrent decline from peak | -6.69% | -5.97% | -0.72% |
Average DrawdownAverage peak-to-trough decline | -5.01% | -4.15% | -0.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.75% | 2.53% | +0.22% |
Volatility
CAPE vs. QUAL - Volatility Comparison
iPath Shiller CAPE ETN (CAPE) and iShares MSCI USA Quality Factor ETF (QUAL) have volatilities of 5.18% and 5.36%, 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.
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Volatility by Period
| CAPE | QUAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.18% | 5.36% | -0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 8.03% | 9.30% | -1.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.05% | 17.46% | -2.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.13% | 17.34% | -0.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.13% | 18.08% | -0.95% |