DSEEX vs. SPY
Compare and contrast key facts about DoubleLine Shiller Enhanced CAPE (DSEEX) and State Street SPDR S&P 500 ETF (SPY).
DSEEX is managed by DoubleLine. It was launched on Oct 31, 2013. 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.
Performance
DSEEX vs. SPY - Performance Comparison
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DSEEX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DSEEX DoubleLine Shiller Enhanced CAPE | -7.19% | 9.49% | 12.84% | 27.03% | -23.24% | 24.91% | 16.27% | 37.28% | -3.99% | 21.61% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, DSEEX achieves a -7.19% return, which is significantly lower than SPY's -4.37% return. Over the past 10 years, DSEEX has underperformed SPY with an annualized return of 11.57%, while SPY has yielded a comparatively higher 13.98% annualized return.
DSEEX
- 1D
- 0.55%
- 1M
- -10.31%
- YTD
- -7.19%
- 6M
- -7.49%
- 1Y
- 0.03%
- 3Y*
- 10.31%
- 5Y*
- 5.62%
- 10Y*
- 11.57%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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DSEEX vs. SPY - Expense Ratio Comparison
DSEEX has a 0.54% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
DSEEX vs. SPY — Risk / Return Rank
DSEEX
SPY
DSEEX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DoubleLine Shiller Enhanced CAPE (DSEEX) and State Street 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.
| DSEEX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.07 | 0.93 | -0.86 |
Sortino ratioReturn per unit of downside risk | 0.21 | 1.45 | -1.24 |
Omega ratioGain probability vs. loss probability | 1.03 | 1.22 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | -0.05 | 1.53 | -1.57 |
Martin ratioReturn relative to average drawdown | -0.18 | 7.30 | -7.48 |
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
| DSEEX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.07 | 0.93 | -0.86 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.25 | 0.69 | -0.44 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.54 | 0.78 | -0.25 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.56 | +0.02 |
Correlation
The correlation between DSEEX 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.
Dividends
DSEEX vs. SPY - Dividend Comparison
DSEEX's dividend yield for the trailing twelve months is around 4.86%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DSEEX DoubleLine Shiller Enhanced CAPE | 4.86% | 4.93% | 4.92% | 4.59% | 16.41% | 28.54% | 1.73% | 7.57% | 15.27% | 9.09% | 4.09% | 4.43% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
DSEEX vs. SPY - Drawdown Comparison
The maximum DSEEX drawdown since its inception was -41.66%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DSEEX and SPY.
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Drawdown Indicators
| DSEEX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.66% | -55.19% | +13.53% |
Max Drawdown (1Y)Largest decline over 1 year | -10.96% | -12.05% | +1.09% |
Max Drawdown (5Y)Largest decline over 5 years | -41.66% | -24.50% | -17.16% |
Max Drawdown (10Y)Largest decline over 10 years | -41.66% | -33.72% | -7.94% |
Current DrawdownCurrent decline from peak | -10.31% | -6.24% | -4.07% |
Average DrawdownAverage peak-to-trough decline | -8.54% | -9.09% | +0.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 2.52% | +0.35% |
Volatility
DSEEX vs. SPY - Volatility Comparison
The current volatility for DoubleLine Shiller Enhanced CAPE (DSEEX) is 4.34%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that DSEEX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DSEEX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.34% | 5.31% | -0.97% |
Volatility (6M)Calculated over the trailing 6-month period | 7.73% | 9.47% | -1.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.18% | 19.05% | -3.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.82% | 17.06% | +5.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.68% | 17.92% | +3.76% |