CAPE Fund Description

The Barclays ETN+ Shiller CAPE ETN tracks an index that selects 4 sectors in the S&P 500 using long-term relative value and price momentum. The 4 sectors are equal weighted. Stocks in each sector are cap-weighted.

CAPE ETF.com Insight

CAPE is a unique offering in the Large Cap segment, as it covers just four of the nine S&P 500 sectors at any time. The underlying index equally weights the four sectors with theCAPE covers just 4 of the 9 S&P 500 sectors at any time. strongest relative strength and momentum. This exposure is dynamic, subject to a monthly rebalance that can give investors very different economic and risk exposure month to month. One flaw: CAPE does a poor job disclosing its current exposure. The note is about 2 years old, but CAPE has attracted less than $20M in AUM since its October 2012 launch. That low asset tally makes for thin trading volume, and risk that the note might be delisted. (Insight updated 11/17/2014)

  • 1 Month

  • 3 Months

  • YTD

  • 1 Year

  • 3 Years

  • 5 Years

  • Max

Performance [as of 12/18/14]
1 Month
3 Month
YTD
1 Year
3 Years
5 Years
10 Years

CAPE
-2.04% 1.90% 12.51% 15.01% -- -- --

CAPE (NAV)
1.12% 4.55% 15.95% 18.22% -- -- --

The Shiller Barclays CAPE US Core Sector Index
-- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

CAPE Top 10 Countries

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CAPE Top 10 Sectors

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CAPE Top 10 Holdings

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CAPE Summary Data

Issuer Barclays Capital

A company that produces and manages ETFs.

Inception Date 10/11/12

The first date of a fund's operations, as documented by the issuer.

Legal Structure Exchange-Traded Note

The organizational structure of the fund or ETN.

Expense Ratio 0.45%

The net total annual fee a fund holder pays to the issuer.

Assets Under Management $23.39 M

The market value of total assets that a fund has accumulated and now manages on behalf of investors.

Average Daily $ Volume $126.64 K

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

(%) | The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent." href="javascript:void(0)" class="term">Average Spread (%) 0.07%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent.

CAPE Portfolio Data

Weighted Average Market Cap --

Describes the average of each stock's market cap (share price x shares outstanding) scaled by its weight in the portfolio.

Price / Earnings Ratio --

Weighted average ratio of prices of a fund’s stocks to trailing earnings of underlying stocks.

Price / Book Ratio --

Weighted average ratio of prices of a fund’s stocks to the book value of underlying equity.

Distribution Yield 0.00%

The ratio of distributions paid by the fund over the past 12 months, divided by the fund’s NAV.

Next Ex-Dividend Date N/A

The date on which a security's price excludes an upcoming dividend.

Number of Holdings --

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

CAPE Index Data

Index Tracked The Shiller Barclays
CAPE US Core Sector Index

This is the benchmark an ETF is desigend to track or replicate.

Index Weighting Methodology Tiered

A set of rules that the underlying index provider follows to weight its constituent securities.

Index Selection Methodology Multi-Factor

A set of rules that the underlying index provider follows to select its constituent securities.

Segment Benchmark MSCI USA Large Cap

This is the index that we have chosen as the best-in-class gauge for each segment's broad market.

Related ETFs to CAPE

Top Competing ETFs EEH, FEX, FMK

ETFs from within the same segment or closely related segments with similar investment objectives or market exposures.

CAPE ETF.com Efficiency Insight

CAPE's expense ratio is lower than other ETNs in the segment, but it's much more expensive as the cheapest funds in the segment. As an ETN, we expect CAPE to track its index tightly, but its asset tally of about $20M means the threat of closure (or de-listing) will hang over the note regardless of the fact that running ETNs is a low-cost endeavor. (Insight updated 11/17/2014)


Total Return - 12/18/2014

  • 1 Month

  • 3 Months

  • YTD

  • 1 Year

  • 3 Years

  • 5 Years

  • Max

Performance [as of 12/18/14]
1 Month
3 Month
YTD
1 Year
3 Years
5 Years
10 Years

CAPE
-2.04% 1.90% 12.51% 15.01% -- -- --

CAPE (NAV)
1.12% 4.55% 15.95% 18.22% -- -- --

The Shiller Barclays CAPE US Core Sector Index
-- -- -- -- -- -- --

MSCI USA Large Cap
0.58% 2.73% 13.02% 15.41% 20.83% 14.71% --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

CAPE Portfolio Management

Expense Ratio 0.45%

The net annual fee a fund holder pays to the issuer.

(12 Mo) | Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results." href="javascript:void(0)" class="term">Median Tracking Difference (12 Mo) --

Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results.

CAPE Tax Exposures

Max LT/ST Capital Gains Rate 20.00% / 39.60%

The maximum long-term and short-term U.S. tax rates applicable to a realized capital gain.

Tax on Distributions No distributions

IRS treatment of the majority of the fund's distributions.

Distributes K1 No

ETFs that are structured as commodities pools and classified as limited partnerships by the IRS will issue K-1 forms to holders.

CAPE Fund Structure

Legal Structure Exchange-Traded Note

The organizational structure of the fund or ETN.

OTC Derivative Use No

An indicator of whether a fund uses over-the-counter derivatives such as swaps or forwards to achieve its objectives.

Securities Lending Active N/A

An indicator of whether or not a fund actively lends its portfolio holdings.

ETN Counterparty Barclays Capital Inc

The institution responsible for providing the return of the stated index and whose credit is the sole backing of the ETN.

ETN Counterparty Risk Low

The risk of default by the ETN counterparty.

Fund Closure Risk High

The likelihood that an issuer will shut down a fund for business or regulatory reasons.

Portfolio Disclosure None

The frequency of an issuer's disclosure of all fund holdings.

CAPE ETF.com Tradability Insight

Use care: CAPE's modest asset tally means there are few shares outstanding to be traded on a daily basis. Volume is modest, and while spreads are low on average, we've seen massive spikes at times. Trade with limit orders to manage the spreads. (Insight updated 11/17/2014)

Average Spread

Premium/Discount

Volume

CAPE ETF.com/ Block LiquidityAs of 12/19/2014

5
4
3
2
1

This measurement shows how easy it is to trade 25,000 shares of CAPE. CAPE is rated a 0 out of 5.

CAPE Tradability

Avg. Daily Share Volume 1,713

It is the daily number of shares traded, averaged over the past 45 trading days.

Average Daily $ Volume $126.64 K

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

Median Daily Share Volume 1,013

Median number of shares traded over the past 45 trading days.

(%) | The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent." href="javascript:void(0)" class="term">Average Spread (%) 0.07%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent.

($) | The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars." href="javascript:void(0)" class="term">Average Spread ($) $0.05

The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars.

(12 Mo) | The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period." href="javascript:void(0)" class="term">Max. Premium / Discount (12 Mo) 1.88% / -3.07%

The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period.

Impediment to Creations None

This flags whether there is currently a systemic issue that has restricted the ability to create or redeem shares of the fund. This may be imposed by the fund's issuer, or by external circumstances.

Market Hours Overlap 100.00%

The percent of time that the underlying securities of an ETF are open to trading while US exchanges are open.

(Shares) | The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund." href="javascript:void(0)" class="term">Creation Unit Size (Shares) 25,000

The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund.

(45 Day Average) | The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots." href="javascript:void(0)" class="term">Creation Unit/Day (45 Day Average) 0.04

The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots.

(%) | The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit." href="javascript:void(0)" class="term">Creation Unit Cost (%) 0.00%

The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit.

Underlying Volume / Unit --

This metric serves as a way of understanding the impact of executing 1 creation unit worth of an ETF in terms of the volume of its underlying components.

Open Interest on ETF Options --

The total number of net outstanding options contracts for an ETF.

ETF.com Implied Liquidity 0

An estimate of liquidity for the underlying baskets of securities, scaled 1 to 5.

CAPE ETF.com Fit Insight

CAPE's sector rotation strategy centers on just four equally weighted sectors.  These sector concentrations lead to performance differences between CAPE and the broad market, but the divergence is less than one might expect. CAPE's returns align with our benchmark reaonably well for better or worse. Still, CAPE is not a choice for those looking for a neutral take on large-caps. (Insight updated 11/17/2014)

CAPE Sector/Industry Breakdown

No data available

CAPE Top 10 Holdings

No data available

CAPE Geographic Exposure

Countries CAPE Segment Benchmark
Singapore 0.14% --

United States 99.86% --

Regions CAPE Segment Benchmark
Asia-Pacific 0.14% --

North America 99.86% --

Developed /
Emerging Split
100.00% / 0% -- / --

CAPE Performance Statistics

Beta 1.01

The sensitivity of the returns of the fund to the movement of the ETF.com segment benchmark. Beta of 1.0 means magnitude of fund returns equals that of IU benchmark returns.

Up Beta 0.98

The comparison of a fund's return to our benchmark's for days when the benchmark is up. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

Down Beta 1.01

The comparison of a fund's return to our benchmark's for days when the benchmark is down. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

Downside Standard Deviation 0.14%

A measure of the variability between the fund's returns and the ETF.com segment benchmark returns on days when the fund underperforms the benchmark.

Segment Benchmark MSCI USA Large Cap

This is the index that we have chosen as the best-in-class gauge for each segment's broad market.

CAPE Benchmark Comparison

CAPE
0 Holdings
Segment Benchmark
0 Constituents
Shared Holdings
0 (Count)
 
0.00% (Weight)
CAPESegment Benchmark
Size Split

The breakdown of the portfolio’s holdings into each market capitalization bucket based on each firm’s weighting in the portfolio.

Large (>12.9B)----
Mid (>2.7B)----
Small (>600M)----
Micro (<600M)----
Price / Book Ratio----

Weighted average ratio of prices of a fund’s stocks to the book value of underlying equity.

Dividend Yield----

The weighted average of the current yield on the portfolio’s holdings.

Holdings | The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper." href="javascript:void(0)" class="term">Number Of
Holdings
00

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

ConcentrationN/AN/A

The level of return contribution attributable to the average portfolio constituent.