Barclays ETN+ Shiller Capet ETN

10-Year Study

CAPE.US · · US · ETF

Executive Summary: Barclays ETN+ Shiller Capet ETN has compounded at 9.6% annually over the last 10 years, with a maximum drawdown of 14.9% and an annualized volatility of 12.8%.

1Y CAGR
+6.8%
3Y CAGR
+14.8%
5Y CAGR
+9.6%
10Y CAGR
+9.6%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
14.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.39
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2023 · +27.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 0.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20262.21.0-7.65.7————————0.9%
20253.32.1-3.9-0.83.02.7-0.73.00.5-3.13.5-0.69.1%
2024-1.14.22.4-5.43.41.42.92.91.10.18.5-6.114.4%
20239.9-2.30.40.6-1.08.83.8-2.0-4.8-1.78.85.527.6%
2022————-2.3-9.712.0-3.7-10.67.16.4-7.3-10.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 12.8%. The dominant macroeconomic risk driver is VNQ.US, accounting for 32.7% of variance. Idiosyncratic stock-specific factors contribute 7.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2022-04-0110000
2022-05-019765.507422071823
2022-06-018815.67154934982
2022-07-019877.753563287917
2022-08-019514.510250112377
2022-09-018506.873160505716
2022-10-019107.051762007022
2022-11-019686.358525029653
2022-12-018981.67763995397
2023-01-019875.143207601343
2023-02-019652.417127557152
2023-03-019691.320148228917
2023-04-019749.601440259305
2023-05-019648.892343021565
2023-06-0110495.28683897272
2023-07-0110892.46054260684
2023-08-0110676.484302177756
2023-09-0110163.377954356623
2023-10-019991.21047603557
2023-11-0110865.812561898578
2023-12-0111465.049640362755
2024-01-0111339.724626525667
2024-02-0111819.416220155857
2024-03-0112100.31606217134
2024-04-0111451.28071263811
2024-05-0111841.220268044497
2024-06-0112010.630066031075
2024-07-0112358.77006271712
2024-08-0112721.688245635232
2024-09-0112860.770333489661
2024-10-0112867.74285346337
2024-11-0113964.529982301568
2024-12-0113116.169464325041
2025-01-0113552.107330916813
2025-02-0113835.290704974688
2025-03-0113301.311671981503
2025-04-0113200.814248088442
2025-05-0113594.029660177071
2025-06-0113960.035733847355
2025-07-0113856.123595557941
2025-08-0114278.381437229837
2025-09-0114345.309162043652
2025-10-0113904.308069047169
2025-11-0114393.474161585167
2025-12-0114309.920765586927
2026-01-0114626.873658361423
2026-02-0114780.02267614207
2026-03-0113662.25432958776
2026-04-0114440.430624865641
Annual Return Matrix
YearAnnual Return
20230.2764931118616176
20240.14401331662355066
20250.09101371437055583
20260.009120236332305076
Total Factor Risk
0.12805929688415987
VTI.US Exposure
0.05371315022359006
VEA.US Exposure
-0.010586363637824746
VWO.US Exposure
-0.05298452343091006
QQQ.US Exposure
0.20721178970441093
VTV.US Exposure
0.13903586684716496
IJR.US Exposure
0.08738752661901653
QUAL.US Exposure
0.12480447833697973
SHV.US Exposure
0.032671059062533335
TLT.US Exposure
-0.020653437060910773
LQD.US Exposure
-0.01442297526518989
HYG.US Exposure
0.052088185674653203
GLD.US Exposure
0.0029722582069873766
USO.US Exposure
0.011734390818599305
VNQ.US Exposure
0.32744270246698387
BTC-USD.CC Exposure
-0.004352040785894254
CPER.US Exposure
0.009644459100879462
VIX.INDX Exposure
-0.02886255303890694
UUP.US Exposure
0.02575801909046717
TIP.US Exposure
-0.015532877966219206
Idiosyncratic Exposure
0.07293088503359
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
16.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.8%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.35%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$34
Avg Yield on Cost
0.34%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$33.740.34%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.5%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
2.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.88
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Barclays ETN+ Shiller Capet ETN a high-risk investment?

Barclays ETN+ Shiller Capet ETN (CAPE.US) has an annualized volatility of 12.8% and experienced a maximum drawdown of 14.9% over the last 10 years. Its primary macro risk driver is VNQ.US.

What is the 10-year return of CAPE.US?

Over the past 10 years, CAPE.US has generated a Compound Annual Growth Rate (CAGR) of 9.6%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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