Category Review
US multifactor funds ran 30 points apart
DoubleLine Shiller CAPE U.S. Equities ETF
$31.81+0.08 (+0.25%)
- 0.65%
- $207M
- +2.3%
- 1.59%
- 0M sh
- $31.50
- low $29.74high $34.25
The ETF.net CAPE Grade
D
Score 28 out of 100
- 93 of 99
Score 28 of 100 falls in the D band. A is 70 or higher, B 55 to under 70, C 40 to under 55, D 25 to under 40, F under 25.
Cost
The fund’s net expense ratio, ranked against its category.F6 out of 100Rank 92 of 99Mission
Whether the fund did what it promised, tested against its stated mandate.C40 out of 100Rank 82 of 86Risk
How the fund held up when markets fell: downside volatility, drawdowns and tail loss.C45 out of 100Rank 54 of 97Tradability
How easy the fund is to trade: daily volume, and how far its price strays from net asset value.D34 out of 100Rank 72 of 99Holdings
How concentrated the fund is, and how complete and current its disclosed holdings are.D35 out of 100Rank 84 of 98Durability
Whether the fund is likely to stay open, judged by its age, its assets and its issuer’s assets.F21 out of 100Rank 94 of 99
Our read on CAPE
DNobel laureate Robert Shiller's CAPE ratio, wired into an ETF: each month it ranks the 11 US sectors on valuation, throws out the one with the worst momentum, and holds the four cheapest survivors in equal weight.
The fund seeks total returns above the S&P 500 by investing in the four cheapest U.S. large-cap sectors selected through modified CAPE valuation and momentum-based value-trap mitigation.
Why people hold it
- The rulebook is legible: five cheapest sectors by a modified CAPE ratio, minus the weakest 12-month performer, equal weight across the four left standing, rebalanced monthly.doubleline.com
- Four equal-weight sector sleeves out of eleven is a genuinely different shape from the cap-weighted S&P 500 the fund names as its benchmark.doubleline.com
- The momentum screen exists for one job: keeping the portfolio out of sectors that are cheap because something is broken, not because they are overlooked.doubleline.com
- DoubleLine runs it actively against an index it built with Barclays and Shiller, live in ETF form since 2022.prnewswire.com
Worth knowing
- At 0.65% a year it runs well above the US multifactor median near 0.32%, and above value peers such as FNDX (0.25%) or VONV (0.06%).
- Concentration cuts both ways: holding four of eleven sectors means results can diverge widely from the S&P 500 in either direction.doubleline.com
- Thinly traded for its category, and unlike a traditional ETF it does not publish holdings daily, so spreads can be wider and the portfolio less visible.doubleline.com
CAPE Holdings
- Stocks
- 173
- 29%
- AMZN
Sectors
- Consumer Discretionary28.9%
- Consumer Staples24.7%
- Real Estate24.5%
- Materials21.5%
- Technology0.3%
- Communication0.1%
- Health Care0.0%
Geography
- United States93.04%
- United Kingdom3.36%
- Ireland1.88%
- Switzerland1.07%
- Netherlands0.57%
- Canada0.08%
CAPE Performance
Shows how $10,000 changes over the selected period, with cash distributions reinvested at the closing price on each ex-dividend date.
Not enough history yet.Not enough history yet.
CAPE$10,232
Returns run to the Oct 12, 2026 close, with cash distributions reinvested. Each period starts on the same date that many months or years earlier. Periods over one year show the average yearly return.
| Period | CAPE |
|---|---|
| Year to date | −0.5% |
| 1 month | −1.2% |
| 3 months | −2.4% |
| 1 year | +2.3% |
| 3 years | +11.9% |
| 5 years | — |
| 10 years | — |
Calendar-year total return with cash distributions hypothetically reinvested at the ex-dividend date’s closing price. The current year shows year to date.
| Year | Return bar | CAPE |
|---|---|---|
| 2026 YTD | −0.5% | |
| 2025 | +9.1% | |
| 2024 | +14.4% | |
| 2023 | +27.6% | |
| 2022 | −5.0% |
CAPE in the news
CAPE Dividends
- 1.59%
- $0.51
- $0.17 per share
- Quarterly
Distribution history
CAPE Risk
- 12.9%
How it’s calculated: standard deviation
The sample standard deviation of monthly total returns, multiplied by the square root of 12.
Uses up to 36 complete months, with at least 12 required. Total returns include reinvested distributions.
- 0.51
How it’s calculated: Sharpe ratio
Subtract each month’s Treasury-bill return from the fund’s monthly total return.
Divide the average of those excess returns by their sample standard deviation, then multiply by the square root of 12.
Uses up to 36 complete months, with at least 12 required. Each month uses the Treasury yield quoted at the end of the previous month.
- −22.1%
How it’s calculated: maximum drawdown
The largest percentage decline from an earlier peak, using total returns with reinvested distributions.
Uses up to five years through the last close, with at least 12 months required.
- 0.78
How it’s calculated: beta
The beta figure is supplied by FMP. The comparison index depends on the fund’s broad asset class.
CAPE Cost
0.65%
CAPE0.65%
- The middle half of US Multifactor funds
- Median 0.30%
91 of the 99 US Multifactor funds charge less.
Other funds in US Multifactor
- DFDLSInspire Fidelis Multi Factor ETFExpense ratio 0.66%1 year return +27.4%
- DSHRYFirst Trust Bloomberg Shareholder Yield ETFExpense ratio 0.60%1 year return +11.3%
- DPAMCPacer Lunt MidCap Multi-Factor Alternator ETFExpense ratio 0.60%1 year return +13.9%
- FABLDAbacus FCF Real Assets Leaders ETFExpense ratio 0.59%1 year return +15.3%
- FFCTRFirst Trust Lunt U.S. Factor Rotation ETFExpense ratio 0.65%1 year return +7.5%