NZAC vs. CAPE

Last updated Jun 4, 2026

NZAC (SPDR MSCI ACWI Climate Paris Aligned ETF) and CAPE (iPath Shiller CAPE ETN) are both Global Equities funds - NZAC tracks the MSCI ACWI Climate Paris Aligned Index while CAPE tracks the Shiller Barclays CAPE US Core Sector Index. Both are passively managed. Over the past 3 years, NZAC returned 19.06%/yr vs 12.19%/yr for CAPE. A 0.78 correlation means they provide meaningful diversification when combined. NZAC charges 0.12%/yr vs 0.45%/yr for CAPE.

Performance

NZAC vs. CAPE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) 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, NZAC achieves a 8.83% return, which is significantly higher than CAPE's -1.70% return.

NZAC

• 1D: -0.82%
• 1M: 4.49%
• YTD: 8.83%
• 6M: 9.51%
• 1Y: 24.74%
• 3Y*: 19.06%
• 5Y*: 9.88%
• 10Y*: 12.16%

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)

NZAC vs. CAPE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
NZAC SPDR MSCI ACWI Climate Paris Aligned ETF	8.83%	20.55%	16.67%	23.22%	-15.97%
CAPE iPath Shiller CAPE ETN	-1.70%	9.10%	14.40%	27.65%	-15.28%

Correlation

The correlation between NZAC and CAPE is 0.62, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.70
Correlation (All Time) Calculated using the full available price history since Apr 5, 2022	0.78

The correlation between NZAC and CAPE shifts across timeframes, from 0.62 (1 year) to 0.78 (all time), reflecting how their relationship changes across market environments.

NZAC vs. CAPE - Sectors Allocation Comparison

Sectors	NZAC	CAPE
Technology	34.3%	0.2%
Financial Services	13.1%	23.2%
Communication Services	8.5%	25.2%
Consumer Cyclical	8.2%	24.8%
Healthcare	7.8%	25.0%
Industrials	7.3%	0.0%
Real Estate	5.2%	24.7%
Basic Materials	1.9%	22.0%
Utilities	1.4%	-
Energy	1.2%	-
Consumer Defensive	1.0%	25.9%

Return for Risk

NZAC vs. CAPE — Risk / Return Rank

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

NZAC

NZAC Risk / Return Rank: 56
NZAC Sharpe Ratio Rank: 56
NZAC Sortino Ratio Rank: 57
NZAC Omega Ratio Rank: 55
NZAC Calmar Ratio Rank: 49
NZAC Martin Ratio Rank: 60

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.

NZAC vs. CAPE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) 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.

	NZAC	CAPE	Difference
Sharpe ratio: Return per unit of total volatility	1.92	0.30	+1.62
Sortino ratio: Return per unit of downside risk	2.71	0.52	+2.19
Omega ratio: Gain probability vs. loss probability	1.34	1.06	+0.28
Calmar ratio: Return relative to maximum drawdown	2.46	0.34	+2.12
Martin ratio: Return relative to average drawdown	10.68	1.24	+9.44
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NZAC vs. CAPE - Sharpe Ratio Comparison

The current NZAC Sharpe Ratio is 1.92, which is higher than the CAPE Sharpe Ratio of 0.30. The chart below compares the historical Sharpe Ratios of NZAC 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

	NZAC	CAPE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.92	0.30	+1.62
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.59	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.71	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.61	0.42	+0.20

Drawdowns

NZAC vs. CAPE - Drawdown Comparison

The maximum NZAC drawdown since its inception was -33.72%, which is greater than CAPE's maximum drawdown of -22.07%. Use the drawdown chart below to compare losses from any high point for NZAC and CAPE.

Drawdown Indicators

	NZAC	CAPE	Difference
Max Drawdown Largest peak-to-trough decline	-33.72%	-22.07%	-11.65%
Max Drawdown (1Y) Largest decline over 1 year	-10.10%	-9.68%	-0.42%
Max Drawdown (3Y) Largest decline over 3 years	-16.19%	-14.32%	-1.87%
Max Drawdown (5Y) Largest decline over 5 years	-28.31%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-33.72%	—	—
Current Drawdown Current decline from peak	-0.82%	-4.83%	+4.01%
Average Drawdown Average peak-to-trough decline	-5.32%	-4.93%	-0.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	2.65%	-0.33%

Volatility

NZAC vs. CAPE - Volatility Comparison

SPDR MSCI ACWI Climate Paris Aligned ETF (NZAC) has a higher volatility of 3.72% compared to iPath Shiller CAPE ETN (CAPE) at 2.63%. This indicates that NZAC'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

	NZAC	CAPE	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.72%	2.63%	+1.09%
Volatility (6M) Calculated over the trailing 6-month period	10.34%	8.04%	+2.30%
Volatility (1Y) Calculated over the trailing 1-year period	12.94%	10.89%	+2.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.81%	16.93%	-0.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.14%	16.93%	+0.21%

NZAC vs. CAPE - Expense Ratio Comparison

NZAC has a 0.12% expense ratio, which is lower than CAPE's 0.45% expense ratio.

Dividends

NZAC vs. CAPE - Dividend Comparison

NZAC's dividend yield for the trailing twelve months is around 2.04%, more than CAPE's 1.41% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAPE iPath Shiller CAPE ETN	1.41%	1.39%	1.23%	1.01%	0.80%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
NZAC SPDR MSCI ACWI Climate Paris Aligned ETF	2.04%	1.90%	1.88%	1.65%	1.81%	1.62%	1.59%	2.17%	2.53%	2.20%	2.00%	2.40%

Frequently Asked Questions

Can I hold both NZAC and CAPE in my portfolio?

NZAC and CAPE have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NZAC or CAPE?

NZAC has higher volatility (3.72%) compared to CAPE (2.63%). In terms of maximum drawdown, NZAC dropped -33.72% vs CAPE's -22.07%.

Which ETF is better, NZAC or CAPE?

On 3-year performance, NZAC leads with 19.06% vs 12.19% for CAPE. On fees, NZAC is cheaper at 0.12% 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, NZAC or CAPE?

Over the 3-year period, NZAC has performed better with a 19.06% return vs 12.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, NZAC or CAPE?

NZAC is cheaper with a 0.12% expense ratio, compared with 0.45% for CAPE.

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

NZAC has the higher dividend yield at 2.04%, compared with 1.41% for CAPE.

What is the main difference between NZAC and CAPE?

NZAC tracks MSCI ACWI Climate Paris Aligned Index, while CAPE tracks Shiller Barclays CAPE US Core Sector Index. They also come from different issuers: State Street and Barclays Capital. Their fees differ too: 0.12% for NZAC and 0.45% for CAPE.

Which has better risk-adjusted returns?

NZAC 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.