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Campbell Systematic Macro Fund Class I Shares (EBS...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISINUS74933W8331
CUSIP29446A819
IssuerCampbell & Company
Inception DateMar 4, 2013
CategoryMacro Trading
Min. Investment$10,000
Home Pageebsix.com
Asset ClassMulti-Asset

Asset Class Size

Large-Cap

Asset Class Style

Blend

Expense Ratio

EBSIX has a high expense ratio of 1.75%, indicating higher-than-average management fees.


Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons: EBSIX vs. AMFAX, EBSIX vs. GQEPX, EBSIX vs. AHTPX, EBSIX vs. QDSIX, EBSIX vs. MAFIX, EBSIX vs. PRWCX, EBSIX vs. BLNDX, EBSIX vs. MBXIX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Campbell Systematic Macro Fund Class I Shares, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
3.71%
14.05%
EBSIX (Campbell Systematic Macro Fund Class I Shares)
Benchmark (^GSPC)

Returns By Period

Campbell Systematic Macro Fund Class I Shares had a return of 8.67% year-to-date (YTD) and 4.66% in the last 12 months. Over the past 10 years, Campbell Systematic Macro Fund Class I Shares had an annualized return of 4.69%, while the S&P 500 had an annualized return of 11.39%, indicating that Campbell Systematic Macro Fund Class I Shares did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date8.67%25.45%
1 month0.62%2.91%
6 months3.71%14.05%
1 year4.66%35.64%
5 years (annualized)8.93%14.13%
10 years (annualized)4.69%11.39%

Monthly Returns

The table below presents the monthly returns of EBSIX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.11%3.78%1.61%0.74%-1.47%1.70%2.40%-1.43%2.38%-2.22%8.67%
20230.86%4.68%-1.62%0.00%1.24%-1.33%-2.38%0.53%3.79%-1.83%-2.86%-2.60%-1.83%
20225.75%0.23%9.12%7.09%-1.28%5.10%-1.52%4.26%3.80%0.80%-3.25%-2.00%30.91%
2021-1.86%2.52%4.80%2.58%2.86%-0.44%0.78%-1.00%-0.67%1.35%-2.78%0.81%9.05%
20205.26%1.46%-0.48%-0.60%-1.58%-1.97%-0.38%-3.16%-0.52%0.52%1.70%3.46%3.46%
2019-1.33%1.35%4.59%3.01%-1.91%5.72%5.30%4.62%-2.55%-4.33%-0.10%-2.67%11.57%
20186.21%-10.58%1.45%-0.31%-4.10%2.99%-2.80%2.78%-0.31%-4.69%-0.33%3.64%-6.98%
2017-2.87%4.12%-1.22%1.23%-0.91%-3.79%0.43%0.95%-0.94%6.14%0.70%0.59%4.10%
20162.45%0.89%-3.43%-6.01%-1.26%3.34%4.27%-4.28%-2.95%-3.14%-1.72%0.41%-11.36%
20155.76%-0.49%2.20%-3.67%-1.00%-8.38%1.55%0.81%0.18%-1.34%4.79%-3.21%-3.55%
2014-2.38%-4.97%-4.52%0.22%2.79%2.30%0.41%6.00%5.94%1.81%5.60%3.94%17.60%
20130.70%5.76%0.56%-2.05%0.48%-1.90%-1.74%2.56%1.73%-0.94%5.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of EBSIX is 4, indicating that it is in the bottom 4% of mutual funds on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of EBSIX is 44
Combined Rank
The Sharpe Ratio Rank of EBSIX is 33Sharpe Ratio Rank
The Sortino Ratio Rank of EBSIX is 33Sortino Ratio Rank
The Omega Ratio Rank of EBSIX is 22Omega Ratio Rank
The Calmar Ratio Rank of EBSIX is 77Calmar Ratio Rank
The Martin Ratio Rank of EBSIX is 44Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


EBSIX
Sharpe ratio
The chart of Sharpe ratio for EBSIX, currently valued at 0.48, compared to the broader market0.002.004.000.48
Sortino ratio
The chart of Sortino ratio for EBSIX, currently valued at 0.71, compared to the broader market0.005.0010.000.71
Omega ratio
The chart of Omega ratio for EBSIX, currently valued at 1.09, compared to the broader market1.002.003.004.001.09
Calmar ratio
The chart of Calmar ratio for EBSIX, currently valued at 0.40, compared to the broader market0.005.0010.0015.0020.0025.000.40
Martin ratio
The chart of Martin ratio for EBSIX, currently valued at 2.03, compared to the broader market0.0020.0040.0060.0080.00100.002.03
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market0.005.0010.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.0020.0025.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0020.0040.0060.0080.00100.0018.72

Sharpe Ratio

The current Campbell Systematic Macro Fund Class I Shares Sharpe ratio is 0.48. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Campbell Systematic Macro Fund Class I Shares with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.48
2.90
EBSIX (Campbell Systematic Macro Fund Class I Shares)
Benchmark (^GSPC)

Dividends

Dividend History

Campbell Systematic Macro Fund Class I Shares provided a 1.67% dividend yield over the last twelve months, with an annual payout of $0.16 per share.


0.00%5.00%10.00%15.00%$0.00$0.20$0.40$0.60$0.80$1.00$1.202014201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM2023202220212020201920182017201620152014
Dividend$0.16$0.16$0.22$0.54$0.00$0.80$1.16$0.00$0.00$0.23$0.70

Dividend yield

1.67%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%

Monthly Dividends

The table displays the monthly dividend distributions for Campbell Systematic Macro Fund Class I Shares. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.16$0.00$0.16
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.22$0.00$0.22
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.54$0.54
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.80$0.80
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.16$1.16
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.23$0.23
2014$0.70$0.70

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.69%
-0.29%
EBSIX (Campbell Systematic Macro Fund Class I Shares)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Campbell Systematic Macro Fund Class I Shares. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Campbell Systematic Macro Fund Class I Shares was 30.10%, occurring on Oct 15, 2018. Recovery took 833 trading sessions.

The current Campbell Systematic Macro Fund Class I Shares drawdown is 2.69%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.1%Mar 19, 2015902Oct 15, 2018833Feb 4, 20221735
-15.07%May 23, 2013221Apr 8, 2014114Sep 19, 2014335
-10.96%Mar 9, 2023207Jan 3, 2024184Sep 26, 2024391
-8.49%Oct 21, 202253Jan 6, 202339Mar 6, 202392
-4.88%Sep 30, 20244Oct 3, 2024

Volatility

Volatility Chart

The current Campbell Systematic Macro Fund Class I Shares volatility is 2.36%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.36%
3.86%
EBSIX (Campbell Systematic Macro Fund Class I Shares)
Benchmark (^GSPC)