CAPE vs. SPGM

Last updated Jul 15, 2026

CAPE (iPath Shiller CAPE ETN) and SPGM (SPDR Portfolio MSCI Global Stock Market ETF) are both Global Equities funds - CAPE tracks the Shiller Barclays CAPE US Core Sector Index while SPGM tracks the MSCI ACWI IMI Index. Both are passively managed. Over the past 3 years, CAPE returned 10.97%/yr vs 19.37%/yr for SPGM. A 0.79 correlation means they provide meaningful diversification when combined. CAPE charges 0.45%/yr vs 0.09%/yr for SPGM.

Performance

CAPE vs. SPGM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Shiller CAPE ETN (CAPE) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CAPE achieves a 1.57% return, which is significantly lower than SPGM's 12.31% return.

CAPE

• 1D: -0.28%
• 1M: 0.07%
• 6M: 0.35%
• YTD: 1.57%
• 1Y: 3.39%
• 3Y*: 10.97%
• 5Y*: —
• 10Y*: —

SPGM

• 1D: 0.49%
• 1M: 0.47%
• 6M: 9.50%
• YTD: 12.31%
• 1Y: 25.35%
• 3Y*: 19.37%
• 5Y*: 11.31%
• 10Y*: 12.68%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CAPE vs. SPGM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
CAPE iPath Shiller CAPE ETN	1.57%	9.10%	14.40%	27.65%	-15.28%
SPGM SPDR Portfolio MSCI Global Stock Market ETF	12.31%	23.62%	16.75%	21.34%	-13.50%

Correlation

The correlation between CAPE and SPGM is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.49
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (All Time) Calculated using the full available price history since Apr 4, 2022	0.79

Over the past year, the correlation between CAPE and SPGM has dropped to 0.49 - well below their long-term average of 0.79, suggesting their price drivers have been diverging.

CAPE vs. SPGM - Sectors Allocation Comparison

Sectors	CAPE	SPGM
Financial Services	24.6%	15.7%
Consumer Defensive	24.6%	4.5%
Real Estate	24.5%	1.8%
Healthcare	23.6%	7.9%
Communication Services	21.7%	8.2%
Technology	3.9%	30.7%
Basic Materials	0.3%	3.8%
Consumer Cyclical	0.2%	9.0%
Industrials	0.0%	12.5%
Energy	-	4.0%
Utilities	-	2.0%

Return for Risk

CAPE vs. SPGM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CAPE

CAPE Risk / Return Rank: 14
CAPE Sharpe Ratio Rank: 15
CAPE Sortino Ratio Rank: 13
CAPE Omega Ratio Rank: 13
CAPE Calmar Ratio Rank: 14
CAPE Martin Ratio Rank: 16

SPGM

SPGM Risk / Return Rank: 72
SPGM Sharpe Ratio Rank: 73
SPGM Sortino Ratio Rank: 71
SPGM Omega Ratio Rank: 71
SPGM Calmar Ratio Rank: 67
SPGM Martin Ratio Rank: 78

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. SPGM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and SPDR Portfolio MSCI Global Stock Market ETF (SPGM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CAPE	SPGM	Difference
Sharpe ratio: Return per unit of total volatility	0.30	1.85	-1.55
Sortino ratio: Return per unit of downside risk	0.51	2.54	-2.03
Omega ratio: Gain probability vs. loss probability	1.06	1.33	-0.27
Calmar ratio: Return relative to maximum drawdown	0.35	2.68	-2.33
Martin ratio: Return relative to average drawdown	1.24	11.56	-10.32

CAPE vs. SPGM - Sharpe Ratio Comparison

The current CAPE Sharpe Ratio is 0.30, which is lower than the SPGM Sharpe Ratio of 1.85. The chart below compares the historical Sharpe Ratios of CAPE and SPGM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CAPE vs. SPGM - Drawdown Comparison

The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum SPGM drawdown of -33.97%. Use the drawdown chart below to compare losses from any high point for CAPE and SPGM.

Drawdown Indicators

	CAPE	SPGM	Difference
Max Drawdown Largest peak-to-trough decline	-22.07%	-33.97%	+11.90%
Max Drawdown (1Y) Largest decline over 1 year	-9.68%	-9.50%	-0.18%
Max Drawdown (3Y) Largest decline over 3 years	-14.32%	-16.90%	+2.58%
Max Drawdown (5Y) Largest decline over 5 years	—	-25.93%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.97%	—
Current Drawdown Current decline from peak	-1.87%	-1.36%	-0.51%
Average Drawdown Average peak-to-trough decline	-4.85%	-4.78%	-0.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.75%	2.20%	+0.55%

Volatility

CAPE vs. SPGM - Volatility Comparison

iPath Shiller CAPE ETN (CAPE) has a higher volatility of 4.56% compared to SPDR Portfolio MSCI Global Stock Market ETF (SPGM) at 4.01%. This indicates that CAPE's price experiences larger fluctuations and is considered to be riskier than SPGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CAPE	SPGM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.56%	4.01%	+0.55%
Volatility (6M) Calculated over the trailing 6-month period	9.19%	11.58%	-2.39%
Volatility (1Y) Calculated over the trailing 1-year period	11.36%	13.78%	-2.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.87%	16.17%	+0.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.87%	17.43%	-0.56%

CAPE vs. SPGM - Expense Ratio Comparison

CAPE has a 0.45% expense ratio, which is higher than SPGM's 0.09% expense ratio.

Dividends

CAPE vs. SPGM - Dividend Comparison

CAPE's dividend yield for the trailing twelve months is around 1.38%, less than SPGM's 1.80% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAPE iPath Shiller CAPE ETN	1.38%	1.39%	1.23%	1.01%	0.80%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPGM SPDR Portfolio MSCI Global Stock Market ETF	1.80%	1.89%	1.98%	2.09%	2.37%	1.94%	1.45%	2.46%	1.89%	2.29%	1.87%	3.70%

Frequently Asked Questions

Can I hold both CAPE and SPGM in my portfolio?

CAPE and SPGM have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CAPE or SPGM?

CAPE has higher volatility (4.56%) compared to SPGM (4.01%). In terms of maximum drawdown, CAPE dropped -22.07% vs SPGM's -33.97%.

Which ETF is better, CAPE or SPGM?

On 3-year performance, SPGM leads with 19.37% vs 10.97% for CAPE. On fees, SPGM is cheaper at 0.09% per year. On volatility, SPGM has been the lower-risk option at 4.01%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CAPE or SPGM?

Over the 3-year period, SPGM has performed better with a 19.37% return vs 10.97%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CAPE or SPGM?

SPGM is cheaper with a 0.09% expense ratio, compared with 0.45% for CAPE.

Which ETF pays a higher dividend yield, CAPE or SPGM?

SPGM has the higher dividend yield at 1.80%, compared with 1.38% for CAPE.

What is the main difference between CAPE and SPGM?

CAPE tracks Shiller Barclays CAPE US Core Sector Index, while SPGM tracks MSCI ACWI IMI Index. They also come from different issuers: Barclays Capital and State Street. Their fees differ too: 0.45% for CAPE and 0.09% for SPGM.

Which has better risk-adjusted returns?

SPGM currently has the higher Sharpe Ratio (1.85 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.