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

Performance

CGJIX vs. CISO - 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 Cerberus Cyber Sentinel Corporation (CISO). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
13.31%
46.32%
CGJIX
CISO

Returns By Period

In the year-to-date period, CGJIX achieves a 28.02% return, which is significantly higher than CISO's -21.92% return.


CGJIX

YTD

28.02%

1M

4.01%

6M

13.31%

1Y

34.61%

5Y (annualized)

17.74%

10Y (annualized)

N/A

CISO

YTD

-21.92%

1M

40.35%

6M

46.53%

1Y

-43.33%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


CGJIXCISO
Sharpe Ratio2.34-0.37
Sortino Ratio3.070.09
Omega Ratio1.431.01
Calmar Ratio3.31-0.43
Martin Ratio13.98-0.76
Ulcer Index2.48%57.33%
Daily Std Dev14.82%115.91%
Max Drawdown-31.73%-99.95%
Current Drawdown-0.80%-99.84%

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Correlation

-0.50.00.51.00.2

The correlation between CGJIX and CISO is 0.16, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

CGJIX vs. CISO - 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 Cerberus Cyber Sentinel Corporation (CISO). 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-1.000.001.002.003.004.005.002.34-0.37
The chart of Sortino ratio for CGJIX, currently valued at 3.07, compared to the broader market0.005.0010.003.070.09
The chart of Omega ratio for CGJIX, currently valued at 1.43, compared to the broader market1.002.003.004.001.431.01
The chart of Calmar ratio for CGJIX, currently valued at 3.31, compared to the broader market0.005.0010.0015.0020.003.31-0.43
The chart of Martin ratio for CGJIX, currently valued at 13.98, compared to the broader market0.0020.0040.0060.0080.00100.0013.98-0.76
CGJIX
CISO

The current CGJIX Sharpe Ratio is 2.34, which is higher than the CISO Sharpe Ratio of -0.37. The chart below compares the historical Sharpe Ratios of CGJIX and CISO, 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.34
-0.37
CGJIX
CISO

Dividends

CGJIX vs. CISO - Dividend Comparison

CGJIX's dividend yield for the trailing twelve months is around 0.41%, while CISO has not paid dividends to shareholders.


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%
CISO
Cerberus Cyber Sentinel Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CGJIX vs. CISO - Drawdown Comparison

The maximum CGJIX drawdown since its inception was -31.73%, smaller than the maximum CISO drawdown of -99.95%. Use the drawdown chart below to compare losses from any high point for CGJIX and CISO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
-99.84%
CGJIX
CISO

Volatility

CGJIX vs. CISO - Volatility Comparison

The current volatility for Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) is 4.60%, while Cerberus Cyber Sentinel Corporation (CISO) has a volatility of 31.15%. This indicates that CGJIX experiences smaller price fluctuations and is considered to be less risky than CISO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctoberNovember
4.60%
31.15%
CGJIX
CISO