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CGJIX vs. CISMX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CGJIX vs. CISMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and Clarkston Partners Fund (CISMX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.31%
11.53%
CGJIX
CISMX

Returns By Period

In the year-to-date period, CGJIX achieves a 28.02% return, which is significantly higher than CISMX's 9.85% return.


CGJIX

YTD

28.02%

1M

4.01%

6M

13.31%

1Y

34.61%

5Y (annualized)

17.74%

10Y (annualized)

N/A

CISMX

YTD

9.85%

1M

4.95%

6M

11.53%

1Y

19.62%

5Y (annualized)

8.70%

10Y (annualized)

N/A

Key characteristics


CGJIXCISMX
Sharpe Ratio2.341.34
Sortino Ratio3.072.01
Omega Ratio1.431.25
Calmar Ratio3.311.39
Martin Ratio13.985.24
Ulcer Index2.48%3.75%
Daily Std Dev14.82%14.67%
Max Drawdown-31.73%-33.80%
Current Drawdown-0.80%0.00%

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CGJIX vs. CISMX - Expense Ratio Comparison

CGJIX has a 0.24% expense ratio, which is lower than CISMX's 1.00% expense ratio.


CISMX
Clarkston Partners Fund
Expense ratio chart for CISMX: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for CGJIX: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Correlation

-0.50.00.51.00.7

The correlation between CGJIX and CISMX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

CGJIX vs. CISMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and Clarkston Partners Fund (CISMX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for CGJIX, currently valued at 2.34, compared to the broader market-1.000.001.002.003.004.005.002.341.34
The chart of Sortino ratio for CGJIX, currently valued at 3.07, compared to the broader market0.005.0010.003.072.01
The chart of Omega ratio for CGJIX, currently valued at 1.43, compared to the broader market1.002.003.004.001.431.25
The chart of Calmar ratio for CGJIX, currently valued at 3.31, compared to the broader market0.005.0010.0015.0020.003.311.39
The chart of Martin ratio for CGJIX, currently valued at 13.98, compared to the broader market0.0020.0040.0060.0080.00100.0013.985.24
CGJIX
CISMX

The current CGJIX Sharpe Ratio is 2.34, which is higher than the CISMX Sharpe Ratio of 1.34. The chart below compares the historical Sharpe Ratios of CGJIX and CISMX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.34
1.34
CGJIX
CISMX

Dividends

CGJIX vs. CISMX - Dividend Comparison

CGJIX's dividend yield for the trailing twelve months is around 0.41%, more than CISMX's 0.29% yield.


TTM202320222021202020192018201720162015
CGJIX
Calvert US Large-Cap Growth Responsible Index Fund
0.41%0.53%0.51%0.39%0.51%0.74%1.02%0.87%1.14%0.29%
CISMX
Clarkston Partners Fund
0.29%0.32%1.20%0.33%0.37%0.93%0.82%0.28%0.47%0.12%

Drawdowns

CGJIX vs. CISMX - Drawdown Comparison

The maximum CGJIX drawdown since its inception was -31.73%, smaller than the maximum CISMX drawdown of -33.80%. Use the drawdown chart below to compare losses from any high point for CGJIX and CISMX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
0
CGJIX
CISMX

Volatility

CGJIX vs. CISMX - Volatility Comparison

Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) has a higher volatility of 4.60% compared to Clarkston Partners Fund (CISMX) at 3.05%. This indicates that CGJIX's price experiences larger fluctuations and is considered to be riskier than CISMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.60%
3.05%
CGJIX
CISMX