CAPD and CAPE Trading Symbols

BenWP

It appears that DoubleLine, which manages the CAPE-Shiller strategy in a new ETF, got the desirable trading symbol away from Barclays. From my observations, Barclays ran the ETN under the symbol CAPE for several years, but it had to change its symbol to CAPD when the Gundlach team got into the ETF game. DoubleLine has run the MF versions of the strategy since inception, I believe. No idea how this played out behind the scenes. Maybe Barclays isn’t as big a gorilla as the US firm.

msf

Maybe, though recognize that correlation is not causation.

DoubleLine has not especially impressed with its enhanced version of CAPE (DSEEX). It has generated negative "enhancement" relative to CAPD over the past five years (11.13% vs. 12.50%), three years (11.35% vs. 13.50%), and one year (-8.01% vs. -5.86%).

No matter, they've both underperformed the S&P 500 over the past five years (13.09% return), three years (14.62%), one year (-1.23%). All figures from M*, through June 8th. At least through the last quarter (March 31st), CAPD has outperformed the S&P 500 over the past five, three, and one year periods, though DSEEX remains the worst of the three.

http://performance.morningstar.com/fund/performance-return.action?t=DSEEX
(Add CAPD for performance comparisons)

FWIW, M* reclassified DSEEX as large cap blend in 2019. Until then it had considered the fund to be a large cap value fund. In contrast, CAPD (formerly CAPE) maintains its classification as large cap value.
https://www.morningstar.com/etfs/arcx/capd/performance

DoubleLine could be taking a reputational risk as a bond house by starting a CAPE ETF that might outperform the bond-enhanced DSEEX, just as CAPD has outperformed DSEEX. Or perhaps not, since its CAPE ETF is not going to track the CAPE index (unlike the equity portion of DSEEX).

The ETF's stated "objective is to seek total return which exceeds the total return of the S&P 500 index." (One might ask why then is it using the Schiller CAPE index as a reference, since that's underperformed the S&P 500 for years; but that's a separate question.)

The ETF merely "considers the underlying constituents of the Shiller Barclays CAPE® US TR USD index ... Because the Fund is actively managed, the Adviser has the discretion to invest in securities not included in the index and may over or underweight a particular sector as it deems appropriate in seeking the Fund's investment objective."

In short, "the Fund does not seek to track or replicate the Index."

CAPE ETF Summary Prospectus

MikeM

Any time I see a post about DSEEX or CAPE I think of poster @davidmoran, who from my memory was the first to bring attention to these funds years ago. I don't catch everything here, but I haven't seen David post lately. Hope all is ok.

yogibearbull

@DavidRMoran? Profile shows last post in late March but active THIS AM.

BenWP

@davidmoran is doing fine.

There are several discussion threads on CAPE and DE_SX dating back to the market collapse in March of 2020. More than one board member became disenchanted with the DoubleLine versions because the « special bond sauce » proved to exacerbate rather than protect against losses. These days, with the apparent surrender of the symbol CAPE, the strategy pursued by CAPD, the ETN, strikes me as a « purer » application of the Schiller theory, at least because it is an equity allocation, untainted by bond holdings. Were I to buy into the CAPE strategy again, it would certainly be via CAPD.

I’m not sure who on MFO was first to buy DE_SX, but it could have been @davidmoran.

BaluBalu

I sold DSEEX likely in 2018, after holding it for 5 yrs. After that I experimented with CAPE during which time I noticed that the published sector allocation of CAPE was somewhat (25%) different from that of DSEEX. DoubleLine had an explanation for the difference, as in the index followed was slightly different. Pl check if the sector allocations / index currently followed by the two is the same.