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

Key characteristics


CGJIXCMEUX
YTD Return28.58%26.88%
1Y Return37.16%34.40%
3Y Return (Ann)8.60%9.58%
5Y Return (Ann)17.83%17.44%
Sharpe Ratio2.702.84
Sortino Ratio3.523.82
Omega Ratio1.501.53
Calmar Ratio3.834.08
Martin Ratio16.2618.26
Ulcer Index2.46%2.02%
Daily Std Dev14.81%13.02%
Max Drawdown-31.73%-28.39%
Current Drawdown-0.37%-0.19%

Correlation

-0.50.00.51.01.0

The correlation between CGJIX and CMEUX is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CGJIX vs. CMEUX - Performance Comparison

In the year-to-date period, CGJIX achieves a 28.58% return, which is significantly higher than CMEUX's 26.88% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.38%
12.80%
CGJIX
CMEUX

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CGJIX vs. CMEUX - Expense Ratio Comparison

CGJIX has a 0.24% expense ratio, which is higher than CMEUX's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


CGJIX
Calvert US Large-Cap Growth Responsible Index Fund
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%
Expense ratio chart for CMEUX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

CGJIX vs. CMEUX - 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 Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX). 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.


CGJIX
Sharpe ratio
The chart of Sharpe ratio for CGJIX, currently valued at 2.70, compared to the broader market0.002.004.002.70
Sortino ratio
The chart of Sortino ratio for CGJIX, currently valued at 3.52, compared to the broader market0.005.0010.003.52
Omega ratio
The chart of Omega ratio for CGJIX, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for CGJIX, currently valued at 3.83, compared to the broader market0.005.0010.0015.0020.0025.003.83
Martin ratio
The chart of Martin ratio for CGJIX, currently valued at 16.26, compared to the broader market0.0020.0040.0060.0080.00100.0016.26
CMEUX
Sharpe ratio
The chart of Sharpe ratio for CMEUX, currently valued at 2.84, compared to the broader market0.002.004.002.84
Sortino ratio
The chart of Sortino ratio for CMEUX, currently valued at 3.82, compared to the broader market0.005.0010.003.82
Omega ratio
The chart of Omega ratio for CMEUX, currently valued at 1.53, compared to the broader market1.002.003.004.001.53
Calmar ratio
The chart of Calmar ratio for CMEUX, currently valued at 4.08, compared to the broader market0.005.0010.0015.0020.0025.004.08
Martin ratio
The chart of Martin ratio for CMEUX, currently valued at 18.26, compared to the broader market0.0020.0040.0060.0080.00100.0018.26

CGJIX vs. CMEUX - Sharpe Ratio Comparison

The current CGJIX Sharpe Ratio is 2.70, which is comparable to the CMEUX Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of CGJIX and CMEUX, 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 Ratio1.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.70
2.84
CGJIX
CMEUX

Dividends

CGJIX vs. CMEUX - Dividend Comparison

CGJIX's dividend yield for the trailing twelve months is around 0.41%, less than CMEUX's 0.91% 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%
CMEUX
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
0.91%1.16%1.38%0.89%1.48%1.12%0.00%0.00%0.00%0.00%

Drawdowns

CGJIX vs. CMEUX - Drawdown Comparison

The maximum CGJIX drawdown since its inception was -31.73%, which is greater than CMEUX's maximum drawdown of -28.39%. Use the drawdown chart below to compare losses from any high point for CGJIX and CMEUX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.37%
-0.19%
CGJIX
CMEUX

Volatility

CGJIX vs. CMEUX - Volatility Comparison

Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) has a higher volatility of 4.24% compared to Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) at 3.68%. This indicates that CGJIX's price experiences larger fluctuations and is considered to be riskier than CMEUX 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
4.24%
3.68%
CGJIX
CMEUX