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CAPE vs. SPGM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CAPE vs. SPGM

Last updated Jun 4, 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 AC World IMI. Both are passively managed. Over the past 3 years, CAPE returned 12.19%/yr vs 21.46%/yr for SPGM. Their correlation of 0.82 suggests significant overlap in exposure. 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.

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Returns By Period

In the year-to-date period, CAPE achieves a -1.70% return, which is significantly lower than SPGM's 12.88% return.

CAPE

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

SPGM

1D
-0.87%
1M
4.94%
YTD
12.88%
6M
13.62%
1Y
31.70%
3Y*
21.46%
5Y*
11.48%
10Y*
12.95%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CAPE vs. SPGM - Yearly Performance Comparison

2026 (YTD)2025202420232022
CAPE
iPath Shiller CAPE ETN		-1.70%9.10%14.40%27.65%-15.28%
SPGM
SPDR Portfolio MSCI Global Stock Market ETF		12.88%23.62%16.75%21.34%-14.07%

Correlation

The correlation between CAPE and SPGM is 0.64, 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

0.64

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 SPGM shifts across timeframes, from 0.64 (1 year) to 0.82 (all time), reflecting how their relationship changes across market environments.

CAPE vs. SPGM - Sectors Allocation Comparison

Sectors
CAPE
SPGM

Consumer Defensive

25.9%
4.8%

Communication Services

25.2%
8.5%

Healthcare

25.0%
8.2%

Consumer Cyclical

24.8%
9.2%

Real Estate

24.7%
1.9%

Financial Services

23.2%
16.4%

Basic Materials

22.0%
3.9%

Technology

0.2%
27.4%

Industrials

0.0%
13.1%

Energy

-

4.5%

Utilities

-

2.2%

Consumer Defensive

CAPE
25.9%
SPGM
4.8%

Communication Services

CAPE
25.2%
SPGM
8.5%

Healthcare

CAPE
25.0%
SPGM
8.2%

Consumer Cyclical

CAPE
24.8%
SPGM
9.2%

Real Estate

CAPE
24.7%
SPGM
1.9%

Financial Services

CAPE
23.2%
SPGM
16.4%

Basic Materials

CAPE
22.0%
SPGM
3.9%

Technology

CAPE
0.2%
SPGM
27.4%

Industrials

CAPE
0.0%
SPGM
13.1%

Energy

CAPE

-

SPGM
4.5%

Utilities

CAPE

-

SPGM
2.2%

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

SPDR Portfolio MSCI Global Stock Market ETF

Often compared with CAPE:
CAPE vs. SPYCAPE vs. VOOCAPE vs. SCHDCAPE vs. DSEEXCAPE vs. YACKXCAPE vs. TQQQCAPE vs. MDY
Often compared with SPGM:
SPGM vs. VTSPGM vs. VOOSPGM vs. VXUSSPGM vs. CWISPGM vs. QWLDSPGM vs. SWRD.ASSPGM vs. SPGP

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: 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
SPGM
SPGM Risk / Return Rank: 7373
Overall Rank
SPGM Sharpe Ratio Rank: 7474
Sharpe Ratio Rank
SPGM Sortino Ratio Rank: 7373
Sortino Ratio Rank
SPGM Omega Ratio Rank: 7474
Omega Ratio Rank
SPGM Calmar Ratio Rank: 6666
Calmar Ratio Rank
SPGM Martin Ratio Rank: 7777
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. 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.

CAPESPGMDifference
Sharpe ratioReturn per unit of total volatility
0.30
2.47

-2.17

Sortino ratioReturn per unit of downside risk
0.52
3.39

-2.87

Omega ratioGain probability vs. loss probability

1.06

1.45

-0.39

Calmar ratioReturn relative to maximum drawdown

0.34

3.35

-3.01

Martin ratioReturn relative to average drawdown

1.24

15.14

-13.90

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. SPGM - Sharpe Ratio Comparison

The current CAPE Sharpe Ratio is 0.30, which is lower than the SPGM Sharpe Ratio of 2.47. 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.

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Sharpe Ratios by Period

CAPESPGMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.30

2.47

-2.17

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

—

0.72

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.74

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.42

0.66

-0.24

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.

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Drawdown Indicators

CAPESPGMDifference

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

-4.83%

-0.87%

-3.96%

Average Drawdown

Average peak-to-trough decline

-4.93%

-4.81%

-0.12%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.65%

2.10%

+0.55%

Volatility

CAPE vs. SPGM - Volatility Comparison

The current volatility for iPath Shiller CAPE ETN (CAPE) is 2.63%, while SPDR Portfolio MSCI Global Stock Market ETF (SPGM) has a volatility of 3.92%. This indicates that CAPE experiences smaller price fluctuations and is considered to be less risky than SPGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

CAPESPGMDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.63%

3.92%

-1.29%

Volatility (6M)

Calculated over the trailing 6-month period

8.04%

10.35%

-2.31%

Volatility (1Y)

Calculated over the trailing 1-year period

10.89%

12.88%

-1.99%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.93%

16.03%

+0.90%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.93%

17.57%

-0.64%

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 1.41%, less than SPGM's 1.79% 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%
SPGM
SPDR Portfolio MSCI Global Stock Market ETF		1.79%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

CAPE and SPGM have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPGM has higher volatility (3.92%) compared to CAPE (2.63%). In terms of maximum drawdown, CAPE dropped -22.07% vs SPGM's -33.97%.

On 3-year performance, SPGM leads with 21.46% vs 12.19% for CAPE. On fees, SPGM is cheaper at 0.09% per year. On volatility, CAPE has been the lower-risk option at 2.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 3-year period, SPGM has performed better with a 21.46% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

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

SPGM has the higher dividend yield at 1.79%, compared with 1.41% for CAPE.

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

SPGM currently has the higher Sharpe Ratio (2.47 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.

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