VMOT vs. CAPE
Compare and contrast key facts about Alpha Architect Value Momentum Trend ETF (VMOT) and iPath Shiller CAPE ETN (CAPE).
VMOT and CAPE are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. VMOT is a passively managed fund by EMPIRICAL FINANCE LLC that tracks the performance of the Alpha Architect Value Momentum Trend Index. It was launched on May 3, 2017. 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. Both VMOT and CAPE are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
VMOT vs. CAPE - Performance Comparison
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VMOT vs. CAPE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
VMOT Alpha Architect Value Momentum Trend ETF | 6.19% | 18.54% | 12.07% | -0.74% | -3.67% |
CAPE iPath Shiller CAPE ETN | -4.29% | 9.10% | 14.40% | 27.65% | -15.28% |
Returns By Period
In the year-to-date period, VMOT achieves a 6.19% return, which is significantly higher than CAPE's -4.29% return.
VMOT
- 1D
- 3.68%
- 1M
- -7.57%
- YTD
- 6.19%
- 6M
- 11.24%
- 1Y
- 30.33%
- 3Y*
- 13.80%
- 5Y*
- 5.09%
- 10Y*
- —
CAPE
- 1D
- 2.22%
- 1M
- -7.33%
- YTD
- -4.29%
- 6M
- -4.53%
- 1Y
- 2.96%
- 3Y*
- 12.22%
- 5Y*
- —
- 10Y*
- —
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VMOT vs. CAPE - Expense Ratio Comparison
VMOT has a 1.75% expense ratio, which is higher than CAPE's 0.45% expense ratio.
Return for Risk
VMOT vs. CAPE — Risk / Return Rank
VMOT
CAPE
VMOT vs. CAPE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Alpha Architect Value Momentum Trend ETF (VMOT) 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.
| VMOT | CAPE | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.62 | 0.20 | +1.42 |
Sortino ratioReturn per unit of downside risk | 2.21 | 0.40 | +1.81 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.05 | +0.29 |
Calmar ratioReturn relative to maximum drawdown | 2.38 | 0.37 | +2.00 |
Martin ratioReturn relative to average drawdown | 10.49 | 1.50 | +8.99 |
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
| VMOT | CAPE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.62 | 0.20 | +1.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.33 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.28 | 0.39 | -0.11 |
Correlation
The correlation between VMOT and CAPE is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
VMOT vs. CAPE - Dividend Comparison
VMOT's dividend yield for the trailing twelve months is around 1.93%, more than CAPE's 1.46% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMOT Alpha Architect Value Momentum Trend ETF | 1.93% | 2.05% | 2.54% | 4.13% | 2.24% | 0.82% | 0.00% | 1.76% | 0.93% | 0.81% |
CAPE iPath Shiller CAPE ETN | 1.46% | 1.39% | 1.23% | 1.01% | 0.80% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
VMOT vs. CAPE - Drawdown Comparison
The maximum VMOT drawdown since its inception was -34.71%, which is greater than CAPE's maximum drawdown of -22.07%. Use the drawdown chart below to compare losses from any high point for VMOT and CAPE.
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Drawdown Indicators
| VMOT | CAPE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.71% | -22.07% | -12.64% |
Max Drawdown (1Y)Largest decline over 1 year | -13.08% | -10.89% | -2.19% |
Max Drawdown (5Y)Largest decline over 5 years | -23.73% | — | — |
Current DrawdownCurrent decline from peak | -7.57% | -7.33% | -0.24% |
Average DrawdownAverage peak-to-trough decline | -13.55% | -5.00% | -8.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 2.71% | +0.25% |
Volatility
VMOT vs. CAPE - Volatility Comparison
Alpha Architect Value Momentum Trend ETF (VMOT) has a higher volatility of 8.08% compared to iPath Shiller CAPE ETN (CAPE) at 5.09%. This indicates that VMOT'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.
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Volatility by Period
| VMOT | CAPE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.08% | 5.09% | +2.99% |
Volatility (6M)Calculated over the trailing 6-month period | 11.74% | 8.01% | +3.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.83% | 15.07% | +3.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.65% | 17.14% | -1.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.82% | 17.14% | -2.32% |