CAPE vs. SPY
Compare and contrast key facts about iPath Shiller CAPE ETN (CAPE) and SPDR S&P 500 ETF (SPY).
CAPE and SPY 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both CAPE and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CAPE or SPY.
Key characteristics
| CAPE | SPY | |
|---|---|---|
| YTD Return | 18.01% | 26.01% |
| 1Y Return | 26.50% | 33.73% |
| Sharpe Ratio | 2.29 | 2.82 |
| Sortino Ratio | 3.06 | 3.76 |
| Omega Ratio | 1.40 | 1.53 |
| Calmar Ratio | 4.73 | 4.05 |
| Martin Ratio | 14.82 | 18.33 |
| Ulcer Index | 1.84% | 1.86% |
| Daily Std Dev | 11.93% | 12.07% |
| Max Drawdown | -22.07% | -55.19% |
| Current Drawdown | -0.89% | -0.90% |
Correlation
The correlation between CAPE and SPY is 0.90, 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.
Performance
CAPE vs. SPY - Performance Comparison
In the year-to-date period, CAPE achieves a 18.01% return, which is significantly lower than SPY's 26.01% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CAPE vs. SPY - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
CAPE vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and SPDR S&P 500 ETF (SPY). 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.
Dividends
CAPE vs. SPY - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.10%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.10% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
CAPE vs. SPY - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CAPE and SPY. For additional features, visit the drawdowns tool.
Volatility
CAPE vs. SPY - Volatility Comparison
iPath Shiller CAPE ETN (CAPE) and SPDR S&P 500 ETF (SPY) have volatilities of 3.79% and 3.84%, 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.