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

Performance

CGJIX vs. CUTAX - 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 Six Circles Tax Aware Ultra Short Duration Fund (CUTAX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.31%
2.21%
CGJIX
CUTAX

Returns By Period

In the year-to-date period, CGJIX achieves a 28.02% return, which is significantly higher than CUTAX's 3.43% return.


CGJIX

YTD

28.02%

1M

4.01%

6M

13.31%

1Y

34.61%

5Y (annualized)

17.74%

10Y (annualized)

N/A

CUTAX

YTD

3.43%

1M

0.30%

6M

2.21%

1Y

4.20%

5Y (annualized)

1.76%

10Y (annualized)

N/A

Key characteristics


CGJIXCUTAX
Sharpe Ratio2.346.24
Sortino Ratio3.0717.99
Omega Ratio1.438.35
Calmar Ratio3.3140.72
Martin Ratio13.98163.51
Ulcer Index2.48%0.03%
Daily Std Dev14.82%0.67%
Max Drawdown-31.73%-1.51%
Current Drawdown-0.80%0.00%

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CGJIX vs. CUTAX - Expense Ratio Comparison

CGJIX has a 0.24% expense ratio, which is higher than CUTAX's 0.15% 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 CUTAX: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.1

The correlation between CGJIX and CUTAX is 0.06, 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. CUTAX - 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 Tax Aware Ultra Short Duration Fund (CUTAX). 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-1.000.001.002.003.004.005.002.346.24
The chart of Sortino ratio for CGJIX, currently valued at 3.07, compared to the broader market0.005.0010.003.0717.99
The chart of Omega ratio for CGJIX, currently valued at 1.43, compared to the broader market1.002.003.004.001.438.35
The chart of Calmar ratio for CGJIX, currently valued at 3.31, compared to the broader market0.005.0010.0015.0020.003.3140.72
The chart of Martin ratio for CGJIX, currently valued at 13.98, compared to the broader market0.0020.0040.0060.0080.00100.0013.98163.51
CGJIX
CUTAX

The current CGJIX Sharpe Ratio is 2.34, which is lower than the CUTAX Sharpe Ratio of 6.24. The chart below compares the historical Sharpe Ratios of CGJIX and CUTAX, 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 Ratio1.002.003.004.005.006.007.00JuneJulyAugustSeptemberOctoberNovember
2.34
6.24
CGJIX
CUTAX

Dividends

CGJIX vs. CUTAX - Dividend Comparison

CGJIX's dividend yield for the trailing twelve months is around 0.41%, less than CUTAX's 3.40% 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%
CUTAX
Six Circles Tax Aware Ultra Short Duration Fund
3.40%2.86%1.48%0.53%1.38%1.94%0.61%0.00%0.00%0.00%

Drawdowns

CGJIX vs. CUTAX - Drawdown Comparison

The maximum CGJIX drawdown since its inception was -31.73%, which is greater than CUTAX's maximum drawdown of -1.51%. Use the drawdown chart below to compare losses from any high point for CGJIX and CUTAX. For additional features, visit the drawdowns tool.


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

Volatility

CGJIX vs. CUTAX - Volatility Comparison

Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) has a higher volatility of 4.60% compared to Six Circles Tax Aware Ultra Short Duration Fund (CUTAX) at 0.17%. This indicates that CGJIX's price experiences larger fluctuations and is considered to be riskier than CUTAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.60%
0.17%
CGJIX
CUTAX