DSEEX vs. SPY
Compare and contrast key facts about DoubleLine Shiller Enhanced CAPE (DSEEX) and 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DSEEX or SPY.
Key characteristics
| DSEEX | SPY | |
|---|---|---|
| YTD Return | 17.70% | 27.16% |
| 1Y Return | 31.06% | 37.73% |
| 3Y Return (Ann) | -6.75% | 10.28% |
| 5Y Return (Ann) | 3.23% | 15.97% |
| 10Y Return (Ann) | 6.23% | 13.38% |
| Sharpe Ratio | 2.71 | 3.25 |
| Sortino Ratio | 3.63 | 4.32 |
| Omega Ratio | 1.49 | 1.61 |
| Calmar Ratio | 0.86 | 4.74 |
| Martin Ratio | 16.39 | 21.51 |
| Ulcer Index | 2.00% | 1.85% |
| Daily Std Dev | 12.05% | 12.20% |
| Max Drawdown | -46.92% | -55.19% |
| Current Drawdown | -19.18% | 0.00% |
Correlation
The correlation between DSEEX and SPY is 0.93, 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. SPY - Performance Comparison
In the year-to-date period, DSEEX achieves a 17.70% return, which is significantly lower than SPY's 27.16% return. Over the past 10 years, DSEEX has underperformed SPY with an annualized return of 6.23%, while SPY has yielded a comparatively higher 13.38% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
DSEEX vs. SPY - Expense Ratio Comparison
DSEEX has a 0.54% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
DSEEX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DoubleLine Shiller Enhanced CAPE (DSEEX) 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
DSEEX vs. SPY - Dividend Comparison
DSEEX's dividend yield for the trailing twelve months is around 4.58%, more than SPY's 1.17% 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% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DSEEX vs. SPY - Drawdown Comparison
The maximum DSEEX drawdown since its inception was -46.92%, 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. For additional features, visit the drawdowns tool.
Volatility
DSEEX vs. SPY - Volatility Comparison
The current volatility for DoubleLine Shiller Enhanced CAPE (DSEEX) is 3.66%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. 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.