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. The most recent iteration of the index has 25% each exposure to Health Care, Financials, Technology and Energy, a far cry from the combined 57% weighting these sectors get in our broad benchmark. This exposure is dynamic, subject to a monthly rebalance that can give investors very different economic and risk exposure month to month. The note is less than 2 years old, but the early response from investors is underwhelming: CAPE has attracted less than $20M in AUM since its October 2012 launch. That low asset tally makes for thin trading volume, which, combined with its 45 bp expense ratio, makes it substantially more expensive than competing funds. (Insight updated 07/07/2014)

  • 1 Month

  • 3 Months

  • YTD

  • 1 Year

  • 3 Years

  • 5 Years

  • Max

Performance [as of 07/28/14] 1 Month 3 Month YTD 1 Year 3 Years 5 Years 10 Years

CAPE (Mkt)
0.93% 6.50% 9.62% 20.91% -- -- --

CAPE (NAV)

-- -- -- -- -- -- --

The Shiller Barclays CAPE US Core Sector Index

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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

Barclays Capital

A company that produces and manages ETFs.

10/11/12

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

Exchange-Traded Note

The organizational structure of the fund or ETN.

0.45%

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

$19.44 M

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

$94.68 K

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

0.08%

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 60 days, as a percent.

CAPE Portfolio Data

--

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

--

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

--

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

0.00%

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

--

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

--

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

The Shiller Barclays
CAPE US Core Sector Index

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

Tiered

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

Multi-Factor

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

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

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 45 bp expense ratio may be lower than other ETNs in the segment, but it's more than 10x as expensive as the cheapest funds in the segment. As an ETN, we expect CAPE to track its index tightly, but its asset tally of under $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 07/07/2014)


Total Return
  • 1 Month

  • 3 Months

  • YTD

  • 1 Year

  • 3 Years

  • 5 Years

  • Max

Performance [as of 07/28/14] 1 Month 3 Month YTD 1 Year 3 Years 5 Years 10 Years

CAPE (Mkt)
0.93% 6.50% 9.62% 20.91% -- -- --

CAPE (NAV)
-- -- -- -- -- -- --

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

MSCI USA Large Cap
1.16% 6.26% 7.90% 18.88% 16.84% 16.37% --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

CAPE Portfolio Management

0.45%

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

--

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.

--

Largest deviation in a positive direction of a fund's returns vs. its underlying index over the past 12 months.

--

Largest deviation in a negative direction of a fund's returns vs. its underlying index over the past 12 months.

CAPE Tax Exposures

20.00% / 39.60%

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

0.00%

The average capital gains paid out to shareholders in the past 36 months, measured as a percent of net asset value (NAV) at the time.

No distributions

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

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

Exchange-Traded Note

The organizational structure of the fund or ETN.

No

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

N/A

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

0% / 100%

The division of securities lending revenue between the fund and the issuer.

Barclays Capital Inc

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

Low

The risk of default by the ETN counterparty.

Low

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

None

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

N/A

The multiple of the underlying index which the fund aims to deliver. For funds that reset, the leverage factor holds true only for the reset period, often just 1 day.

N/A

The time period at which the fund “trues up” its leverage factor. For funds that reset, the reset period–often just 1 day–is the length of time over which the fund delivers its leverage factor.

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. Less than $50K worth of CAPE changes hands most days, although the average spread of 9 bps is reasonable. Institutions should get decent fills provided they work with market makers. (Insight updated 07/07/2014)

Average Spread

Premium/Discount

Volume

CAPE ETF.com/ Block LiquidityAs of 07/29/2014

5
4
3
2
1

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

CAPE Tradability

1,297

The average number of shares traded during a 60 day period.

$94.68 K

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

570

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

$41.18 K

Median dollar value of shares traded over the past 45 trading days.

0.08%

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 60 days, as a percent.

$0.06

The difference between the highest and lowest posted prices for an ETF, averaged over the past 60 days, in dollars.

-0.02%

The middle value in the ranked set of all premium/discount values over a 12-month period.

1.88% / -3.30%

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

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.

100.00%

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

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.

0.02

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.

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.

--

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.

--

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

$73.93

The total market value of the assets that an ETF holds less fund expenses.

5

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. The current mix is Energy, Financials, Health Care and Technology, which combine to account for just 57% of our benchmark. These sector differences will lead to major performance differences between CAPE and the broad market, with a dynamic correlation and relative risk profile, to boot. CAPE outperformed the market over the last year, but it's not a choice for those looking for a neutral take on large-caps. (Insight updated 07/07/2014)

CAPE Sector/Industry Breakdown

No data available

CAPE Top 10 Holdings

No data available

CAPE Geographic Exposure

CAPE Segment Benchmark
0.08% --
99.92% --

CAPE Segment Benchmark
0.08% --
99.92% --
100.00% / 0% -- / --

CAPE Performance Statistics

0.96

The degree to which the fund and its segment benchmark move up and down in unison.

1.02

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.

1.01

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.

1.00

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.

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.

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
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The average market capitalization of the firms in the portfolio based on each firm’s weighting in the portfolio.

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

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

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

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

N/AN/A

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