CGO vs. JBALX

Last updated Jun 5, 2026

CGO (Calamos Global Total Return Fund) and JBALX (JPMorgan Global Allocation Fund Class A) are both Global Allocation funds. Over the past 10 years, CGO returned 12.32%/yr vs 11.00%/yr for JBALX. A 0.54 correlation means they provide meaningful diversification when combined. CGO charges 2.86%/yr vs 0.96%/yr for JBALX.

Performance

CGO vs. JBALX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Global Total Return Fund (CGO) and JPMorgan Global Allocation Fund Class A (JBALX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CGO achieves a 26.75% return, which is significantly higher than JBALX's 3.39% return. Over the past 10 years, CGO has outperformed JBALX with an annualized return of 12.32%, while JBALX has yielded a comparatively lower 11.00% annualized return.

CGO

• 1D: 0.79%
• 1M: 8.37%
• YTD: 26.75%
• 6M: 28.52%
• 1Y: 34.70%
• 3Y*: 25.82%
• 5Y*: 6.31%
• 10Y*: 12.32%

JBALX

• 1D: -0.54%
• 1M: 2.16%
• YTD: 3.39%
• 6M: 3.47%
• 1Y: 14.13%
• 3Y*: 15.62%
• 5Y*: 8.80%
• 10Y*: 11.00%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CGO vs. JBALX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CGO Calamos Global Total Return Fund	26.75%	8.87%	36.81%	14.03%	-36.60%	13.04%	20.87%	45.08%	-26.14%	56.67%
JBALX JPMorgan Global Allocation Fund Class A	3.39%	15.00%	20.78%	15.45%	-16.56%	17.28%	14.40%	21.88%	0.71%	17.83%

Correlation

The correlation between CGO and JBALX is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.58
Correlation (10Y) Calculated over the trailing 10-year period	0.52
Correlation (All Time) Calculated using the full available price history since Dec 1, 2005	0.54

The correlation between CGO and JBALX shifts across timeframes, from 0.52 (10 years) to 0.66 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

CGO vs. JBALX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CGO

CGO Risk / Return Rank: 48
CGO Sharpe Ratio Rank: 59
CGO Sortino Ratio Rank: 51
CGO Omega Ratio Rank: 52
CGO Calmar Ratio Rank: 39
CGO Martin Ratio Rank: 38

JBALX

JBALX Risk / Return Rank: 33
JBALX Sharpe Ratio Rank: 36
JBALX Sortino Ratio Rank: 35
JBALX Omega Ratio Rank: 35
JBALX Calmar Ratio Rank: 25
JBALX Martin Ratio Rank: 36

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CGO vs. JBALX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Global Total Return Fund (CGO) and JPMorgan Global Allocation Fund Class A (JBALX). 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.

	CGO	JBALX	Difference
Sharpe ratio: Return per unit of total volatility	2.20	1.68	+0.52
Sortino ratio: Return per unit of downside risk	2.94	2.43	+0.51
Omega ratio: Gain probability vs. loss probability	1.39	1.30	+0.08
Calmar ratio: Return relative to maximum drawdown	2.29	1.81	+0.48
Martin ratio: Return relative to average drawdown	8.05	7.81	+0.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CGO vs. JBALX - Sharpe Ratio Comparison

The current CGO Sharpe Ratio is 2.20, which is higher than the JBALX Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of CGO and JBALX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CGO	JBALX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.20	1.68	+0.52
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.31	0.78	-0.47
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.98	-0.48
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.67	-0.31

Drawdowns

CGO vs. JBALX - Drawdown Comparison

The maximum CGO drawdown since its inception was -60.03%, which is greater than JBALX's maximum drawdown of -33.98%. Use the drawdown chart below to compare losses from any high point for CGO and JBALX.

Drawdown Indicators

	CGO	JBALX	Difference
Max Drawdown Largest peak-to-trough decline	-60.03%	-33.98%	-26.05%
Max Drawdown (1Y) Largest decline over 1 year	-15.24%	-8.12%	-7.12%
Max Drawdown (3Y) Largest decline over 3 years	-26.70%	-11.93%	-14.77%
Max Drawdown (5Y) Largest decline over 5 years	-43.69%	-21.50%	-22.19%
Max Drawdown (10Y) Largest decline over 10 years	-50.89%	-22.49%	-28.40%
Current Drawdown Current decline from peak	-0.28%	-0.54%	+0.26%
Average Drawdown Average peak-to-trough decline	-11.56%	-5.43%	-6.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.32%	1.87%	+2.45%

Volatility

CGO vs. JBALX - Volatility Comparison

Calamos Global Total Return Fund (CGO) has a higher volatility of 5.35% compared to JPMorgan Global Allocation Fund Class A (JBALX) at 2.51%. This indicates that CGO's price experiences larger fluctuations and is considered to be riskier than JBALX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CGO	JBALX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.35%	2.51%	+2.84%
Volatility (6M) Calculated over the trailing 6-month period	12.98%	6.91%	+6.07%
Volatility (1Y) Calculated over the trailing 1-year period	15.82%	8.71%	+7.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.36%	11.33%	+9.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.69%	11.24%	+13.45%

CGO vs. JBALX - Expense Ratio Comparison

CGO has a 2.86% expense ratio, which is higher than JBALX's 0.96% expense ratio.

Dividends

CGO vs. JBALX - Dividend Comparison

CGO's dividend yield for the trailing twelve months is around 6.82%, less than JBALX's 8.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CGO Calamos Global Total Return Fund	6.82%	8.43%	8.43%	10.57%	12.68%	7.80%	8.18%	8.96%	11.81%	7.97%	11.40%	10.51%
JBALX JPMorgan Global Allocation Fund Class A	8.56%	8.80%	11.84%	2.28%	2.00%	4.54%	2.54%	2.33%	7.14%	4.69%	4.55%	5.87%

Frequently Asked Questions

Can I hold both CGO and JBALX in my portfolio?

CGO and JBALX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CGO or JBALX?

CGO has higher volatility (5.35%) compared to JBALX (2.51%). In terms of maximum drawdown, CGO dropped -60.03% vs JBALX's -33.98%.

Which has better risk-adjusted returns?

CGO currently has the higher Sharpe Ratio (2.20 vs 1.68), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.