DJP vs. CAPE

Last updated Jun 4, 2026

DJP (iPath Bloomberg Commodity Index Total Return ETN) and CAPE (iPath Shiller CAPE ETN) are both exchange-traded funds - DJP is a Commodities fund tracking the Bloomberg Commodity Index, while CAPE is a Global Equities fund tracking the Shiller Barclays CAPE US Core Sector Index. Both are passively managed. Over the past 3 years, DJP returned 17.94%/yr vs 12.19%/yr for CAPE. At a 0.18 correlation, their price movements are largely independent. DJP charges 0.70%/yr vs 0.45%/yr for CAPE.

Performance

DJP vs. CAPE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iPath Bloomberg Commodity Index Total Return ETN (DJP) and iPath Shiller CAPE ETN (CAPE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DJP achieves a 30.63% return, which is significantly higher than CAPE's -1.70% return.

DJP

• 1D: 0.02%
• 1M: -3.31%
• YTD: 30.63%
• 6M: 29.34%
• 1Y: 44.52%
• 3Y*: 17.94%
• 5Y*: 12.46%
• 10Y*: 7.36%

CAPE

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

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

DJP vs. CAPE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
DJP iPath Bloomberg Commodity Index Total Return ETN	30.63%	17.20%	5.59%	-9.85%	-9.82%
CAPE iPath Shiller CAPE ETN	-1.70%	9.10%	14.40%	27.65%	-15.28%

Correlation

The correlation between DJP and CAPE is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.07
Correlation (3Y) Calculated over the trailing 3-year period	0.06
Correlation (All Time) Calculated using the full available price history since Apr 5, 2022	0.18

The correlation between DJP and CAPE shifts across timeframes, from -0.07 (1 year) to 0.18 (all time), reflecting how their relationship changes across market environments.

Return for Risk

DJP vs. CAPE — Risk / Return Rank

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

DJP

DJP Risk / Return Rank: 72
DJP Sharpe Ratio Rank: 71
DJP Sortino Ratio Rank: 62
DJP Omega Ratio Rank: 69
DJP Calmar Ratio Rank: 88
DJP Martin Ratio Rank: 71

CAPE

CAPE Risk / Return Rank: 13
CAPE Sharpe Ratio Rank: 13
CAPE Sortino Ratio Rank: 12
CAPE Omega Ratio Rank: 12
CAPE Calmar Ratio Rank: 13
CAPE Martin Ratio Rank: 15

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.

DJP vs. CAPE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iPath Bloomberg Commodity Index Total Return ETN (DJP) and iPath Shiller CAPE ETN (CAPE). 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.

	DJP	CAPE	Difference
Sharpe ratio Return per unit of total volatility	2.36	0.30	+2.06
Sortino ratio Return per unit of downside risk	2.95	0.52	+2.43
Omega ratio Gain probability vs. loss probability	1.42	1.06	+0.36
Calmar ratio Return relative to maximum drawdown	5.20	0.34	+4.86
Martin ratio Return relative to average drawdown	13.30	1.24	+12.05
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DJP vs. CAPE - Sharpe Ratio Comparison

The current DJP Sharpe Ratio is 2.36, which is higher than the CAPE Sharpe Ratio of 0.30. The chart below compares the historical Sharpe Ratios of DJP and CAPE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DJP	CAPE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.36	0.30	+2.06
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.43	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.00	0.42	-0.41

Drawdowns

DJP vs. CAPE - Drawdown Comparison

The maximum DJP drawdown since its inception was -78.35%, which is greater than CAPE's maximum drawdown of -22.07%. Use the drawdown chart below to compare losses from any high point for DJP and CAPE.

Drawdown Indicators

	DJP	CAPE	Difference
Max Drawdown Largest peak-to-trough decline	-78.35%	-22.07%	-56.28%
Max Drawdown (1Y) Largest decline over 1 year	-8.61%	-9.68%	+1.07%
Max Drawdown (3Y) Largest decline over 3 years	-13.41%	-14.32%	+0.91%
Max Drawdown (5Y) Largest decline over 5 years	-28.98%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-38.36%	—	—
Current Drawdown Current decline from peak	-32.82%	-4.83%	-27.99%
Average Drawdown Average peak-to-trough decline	-50.86%	-4.93%	-45.93%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.36%	2.65%	+0.71%

Volatility

DJP vs. CAPE - Volatility Comparison

iPath Bloomberg Commodity Index Total Return ETN (DJP) has a higher volatility of 5.85% compared to iPath Shiller CAPE ETN (CAPE) at 2.63%. This indicates that DJP's price experiences larger fluctuations and is considered to be riskier than CAPE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DJP	CAPE	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.85%	2.63%	+3.22%
Volatility (6M) Calculated over the trailing 6-month period	16.64%	8.04%	+8.60%
Volatility (1Y) Calculated over the trailing 1-year period	18.92%	10.89%	+8.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.96%	16.93%	+2.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.06%	16.93%	+0.13%

DJP vs. CAPE - Expense Ratio Comparison

DJP has a 0.70% expense ratio, which is higher than CAPE's 0.45% expense ratio.

Dividends

DJP vs. CAPE - Dividend Comparison

DJP has not paid dividends to shareholders, while CAPE's dividend yield for the trailing twelve months is around 1.41%.

Position	TTM	2025	2024	2023	2022
CAPE iPath Shiller CAPE ETN	1.41%	1.39%	1.23%	1.01%	0.80%
DJP iPath Bloomberg Commodity Index Total Return ETN	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DJP and CAPE in my portfolio?

DJP and CAPE have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DJP or CAPE?

DJP has higher volatility (5.85%) compared to CAPE (2.63%). In terms of maximum drawdown, DJP dropped -78.35% vs CAPE's -22.07%.

Which ETF is better, DJP or CAPE?

On 3-year performance, DJP leads with 17.94% 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.

Which ETF has performed better, DJP or CAPE?

Over the 3-year period, DJP has performed better with a 17.94% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DJP or CAPE?

CAPE is cheaper with a 0.45% expense ratio, compared with 0.70% for DJP.

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

CAPE has the higher dividend yield at 1.41%, compared with 0.00% for DJP.

What is the main difference between DJP and CAPE?

DJP is categorized as Commodities, while CAPE is Global Equities. DJP tracks Bloomberg Commodity Index, while CAPE tracks Shiller Barclays CAPE US Core Sector Index. Their fees differ too: 0.70% for DJP and 0.45% for CAPE.

Which has better risk-adjusted returns?

DJP currently has the higher Sharpe Ratio (2.36 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.