DSEEX vs. CAPE
Compare and contrast key facts about DoubleLine Shiller Enhanced CAPE (DSEEX) and iPath Shiller CAPE ETN (CAPE).
DSEEX is managed by DoubleLine. It was launched on Oct 31, 2013. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DSEEX or CAPE.
Key characteristics
| DSEEX | CAPE | |
|---|---|---|
| YTD Return | 17.70% | 19.08% |
| 1Y Return | 31.06% | 31.60% |
| Sharpe Ratio | 2.71 | 2.75 |
| Sortino Ratio | 3.63 | 3.66 |
| Omega Ratio | 1.49 | 1.49 |
| Calmar Ratio | 0.86 | 5.79 |
| Martin Ratio | 16.39 | 18.14 |
| Ulcer Index | 2.00% | 1.84% |
| Daily Std Dev | 12.05% | 12.13% |
| Max Drawdown | -46.92% | -22.07% |
| Current Drawdown | -19.18% | 0.00% |
Correlation
The correlation between DSEEX and CAPE is 0.97, 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
DSEEX vs. CAPE - Performance Comparison
In the year-to-date period, DSEEX achieves a 17.70% return, which is significantly lower than CAPE's 19.08% 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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DSEEX vs. CAPE - Expense Ratio Comparison
DSEEX has a 0.54% expense ratio, which is higher than CAPE's 0.45% expense ratio.
Risk-Adjusted Performance
DSEEX vs. CAPE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DoubleLine Shiller Enhanced CAPE (DSEEX) 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.
Dividends
DSEEX vs. CAPE - Dividend Comparison
DSEEX's dividend yield for the trailing twelve months is around 4.58%, more than CAPE's 1.09% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DSEEX DoubleLine Shiller Enhanced CAPE | 4.58% | 4.60% | 3.87% | 1.63% | 1.73% | 2.74% | 3.38% | 2.16% | 2.12% | 2.88% | 2.61% | 0.48% |
CAPE iPath Shiller CAPE ETN | 1.09% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DSEEX vs. CAPE - Drawdown Comparison
The maximum DSEEX drawdown since its inception was -46.92%, which is greater than CAPE's maximum drawdown of -22.07%. Use the drawdown chart below to compare losses from any high point for DSEEX and CAPE. For additional features, visit the drawdowns tool.
Volatility
DSEEX vs. CAPE - Volatility Comparison
DoubleLine Shiller Enhanced CAPE (DSEEX) and iPath Shiller CAPE ETN (CAPE) have volatilities of 3.66% and 3.61%, 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.