CAPE vs. YCS
CAPE (iPath Shiller CAPE ETN) and YCS (ProShares UltraShort Yen) are both exchange-traded funds - CAPE is a Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index, while YCS is a Leveraged Currency fund tracking the USD/JPY Exchange Rate (-200%). Both are passively managed. Over the past 3 years, CAPE returned 12.19%/yr vs 19.84%/yr for YCS. At a correlation of -0.12, they often move in opposite directions. CAPE charges 0.45%/yr vs 1.00%/yr for YCS.
Performance
CAPE vs. YCS - Performance Comparison
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Returns By Period
In the year-to-date period, CAPE achieves a -1.70% return, which is significantly lower than YCS's 7.17% return.
CAPE
- 1D
- -0.48%
- 1M
- -1.99%
- YTD
- -1.70%
- 6M
- -1.38%
- 1Y
- 3.29%
- 3Y*
- 12.19%
- 5Y*
- —
- 10Y*
- —
YCS
- 1D
- 0.17%
- 1M
- 4.42%
- YTD
- 7.17%
- 6M
- 10.05%
- 1Y
- 32.82%
- 3Y*
- 19.84%
- 5Y*
- 23.54%
- 10Y*
- 12.34%
CAPE vs. YCS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | -1.70% | 9.10% | 14.40% | 27.65% | -15.28% |
YCS ProShares UltraShort Yen | 7.17% | 9.04% | 35.41% | 28.70% | 13.62% |
Correlation
The correlation between CAPE and YCS is -0.34, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.34 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.14 |
Correlation (All Time) Calculated using the full available price history since Apr 5, 2022 | -0.12 |
Over the past year, the inverse relationship between CAPE and YCS has strengthened: their correlation has moved from -0.12 to -0.34, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
CAPE vs. YCS — Risk / Return Rank
CAPE
YCS
CAPE vs. YCS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iPath Shiller CAPE ETN (CAPE) and ProShares UltraShort Yen (YCS). 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 | YCS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.62 | ||
| Sortino ratioReturn per unit of downside risk | -1.92 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.35 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | 0.34 | 3.97 | -3.63 |
| Martin ratioReturn relative to average drawdown | 1.24 | 12.40 | -11.15 |
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 | YCS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.30 | 1.92 | -1.62 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 1.12 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.65 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.33 | +0.09 |
Drawdowns
CAPE vs. YCS - Drawdown Comparison
The maximum CAPE drawdown since its inception was -22.07%, smaller than the maximum YCS drawdown of -49.56%. Use the drawdown chart below to compare losses from any high point for CAPE and YCS.
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Drawdown Indicators
| CAPE | YCS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.07% | -49.56% | +27.49% |
Max Drawdown (1Y)Largest decline over 1 year | -9.68% | -8.30% | -1.38% |
Max Drawdown (3Y)Largest decline over 3 years | -14.32% | -23.05% | +8.73% |
Max Drawdown (5Y)Largest decline over 5 years | — | -27.32% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -27.32% | — |
Current DrawdownCurrent decline from peak | -4.83% | 0.00% | -4.83% |
Average DrawdownAverage peak-to-trough decline | -4.93% | -19.93% | +15.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 2.66% | -0.01% |
Volatility
CAPE vs. YCS - Volatility Comparison
iPath Shiller CAPE ETN (CAPE) and ProShares UltraShort Yen (YCS) have volatilities of 2.63% and 2.75%, 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 | YCS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.63% | 2.75% | -0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 8.04% | 12.32% | -4.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.89% | 17.27% | -6.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.93% | 21.10% | -4.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.93% | 19.01% | -2.08% |
CAPE vs. YCS - Expense Ratio Comparison
CAPE has a 0.45% expense ratio, which is lower than YCS's 1.00% expense ratio.
Dividends
CAPE vs. YCS - Dividend Comparison
CAPE's dividend yield for the trailing twelve months is around 1.41%, while YCS has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CAPE iPath Shiller CAPE ETN | 1.41% | 1.39% | 1.23% | 1.01% | 0.80% |
YCS ProShares UltraShort Yen | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CAPE and YCS have a correlation of -0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
YCS has higher volatility (2.75%) compared to CAPE (2.63%). In terms of maximum drawdown, CAPE dropped -22.07% vs YCS's -49.56%.
On 3-year performance, YCS leads with 19.84% vs 12.19% for CAPE. On fees, CAPE is cheaper at 0.45% 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, YCS has performed better with a 19.84% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CAPE is cheaper with a 0.45% expense ratio, compared with 1.00% for YCS.
CAPE has the higher dividend yield at 1.41%, compared with 0.00% for YCS.
CAPE is categorized as Global Equities, while YCS is Leveraged Currency. CAPE tracks Shiller Barclays CAPE US Core Sector Index, while YCS tracks USD/JPY Exchange Rate (-200%). They also come from different issuers: Barclays Capital and ProShares. Their fees differ too: 0.45% for CAPE and 1.00% for YCS.
YCS currently has the higher Sharpe Ratio (1.92 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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