CIGIX vs. GTMIX

Last updated Jun 5, 2026

CIGIX (Calamos International Growth Fund) and GTMIX (GMO Tax-Managed International Equities Fund) are both Foreign Large Cap Equities funds. Over the past 10 years, CIGIX returned 10.39%/yr vs 10.11%/yr for GTMIX. Their correlation of 0.86 suggests significant overlap in exposure. CIGIX charges 0.85%/yr vs 0.68%/yr for GTMIX.

Performance

CIGIX vs. GTMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos International Growth Fund (CIGIX) and GMO Tax-Managed International Equities Fund (GTMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CIGIX achieves a 33.67% return, which is significantly higher than GTMIX's 13.73% return. Both investments have delivered pretty close results over the past 10 years, with CIGIX having a 10.39% annualized return and GTMIX not far behind at 10.11%.

CIGIX

• 1D: -0.65%
• 1M: 10.79%
• YTD: 33.67%
• 6M: 36.88%
• 1Y: 46.35%
• 3Y*: 25.42%
• 5Y*: 4.58%
• 10Y*: 10.39%

GTMIX

• 1D: -0.53%
• 1M: 1.64%
• YTD: 13.73%
• 6M: 17.66%
• 1Y: 38.38%
• 3Y*: 22.26%
• 5Y*: 10.75%
• 10Y*: 10.11%

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

CIGIX vs. GTMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CIGIX Calamos International Growth Fund	33.67%	23.11%	12.51%	15.33%	-30.54%	-8.98%	44.95%	29.69%	-20.93%	39.54%
GTMIX GMO Tax-Managed International Equities Fund	13.73%	46.17%	1.54%	14.96%	-10.13%	10.71%	7.50%	23.35%	-21.23%	28.45%

Correlation

The correlation between CIGIX and GTMIX 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	0.70
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since Mar 18, 2005	0.86

The correlation between CIGIX and GTMIX shifts across timeframes, from 0.66 (1 year) to 0.86 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CIGIX vs. GTMIX — Risk / Return Rank

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

CIGIX

CIGIX Risk / Return Rank: 53
CIGIX Sharpe Ratio Rank: 51
CIGIX Sortino Ratio Rank: 47
CIGIX Omega Ratio Rank: 48
CIGIX Calmar Ratio Rank: 63
CIGIX Martin Ratio Rank: 56

GTMIX

GTMIX Risk / Return Rank: 88
GTMIX Sharpe Ratio Rank: 90
GTMIX Sortino Ratio Rank: 86
GTMIX Omega Ratio Rank: 81
GTMIX Calmar Ratio Rank: 92
GTMIX Martin Ratio Rank: 92

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.

CIGIX vs. GTMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos International Growth Fund (CIGIX) and GMO Tax-Managed International Equities Fund (GTMIX). 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.

	CIGIX	GTMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.08	3.00	-0.92
Sortino ratio: Return per unit of downside risk	2.82	4.11	-1.29
Omega ratio: Gain probability vs. loss probability	1.37	1.54	-0.17
Calmar ratio: Return relative to maximum drawdown	2.99	4.87	-1.88
Martin ratio: Return relative to average drawdown	11.07	18.77	-7.70
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CIGIX vs. GTMIX - Sharpe Ratio Comparison

The current CIGIX Sharpe Ratio is 2.08, which is lower than the GTMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of CIGIX and GTMIX, 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

	CIGIX	GTMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	3.00	-0.92
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.22	0.72	-0.51
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	0.63	-0.11
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.41	-0.03

Drawdowns

CIGIX vs. GTMIX - Drawdown Comparison

The maximum CIGIX drawdown since its inception was -64.46%, which is greater than GTMIX's maximum drawdown of -58.31%. Use the drawdown chart below to compare losses from any high point for CIGIX and GTMIX.

Drawdown Indicators

	CIGIX	GTMIX	Difference
Max Drawdown Largest peak-to-trough decline	-64.46%	-58.31%	-6.15%
Max Drawdown (1Y) Largest decline over 1 year	-15.88%	-7.90%	-7.98%
Max Drawdown (3Y) Largest decline over 3 years	-19.38%	-14.11%	-5.27%
Max Drawdown (5Y) Largest decline over 5 years	-50.15%	-28.81%	-21.34%
Max Drawdown (10Y) Largest decline over 10 years	-50.15%	-40.32%	-9.83%
Current Drawdown Current decline from peak	-0.65%	-0.80%	+0.15%
Average Drawdown Average peak-to-trough decline	-15.29%	-12.68%	-2.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.28%	2.05%	+2.23%

Volatility

CIGIX vs. GTMIX - Volatility Comparison

Calamos International Growth Fund (CIGIX) has a higher volatility of 9.60% compared to GMO Tax-Managed International Equities Fund (GTMIX) at 3.31%. This indicates that CIGIX's price experiences larger fluctuations and is considered to be riskier than GTMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CIGIX	GTMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.60%	3.31%	+6.29%
Volatility (6M) Calculated over the trailing 6-month period	19.69%	9.69%	+10.00%
Volatility (1Y) Calculated over the trailing 1-year period	22.80%	12.85%	+9.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.06%	14.93%	+6.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.98%	16.05%	+3.93%

CIGIX vs. GTMIX - Expense Ratio Comparison

CIGIX has a 0.85% expense ratio, which is higher than GTMIX's 0.68% expense ratio.

Dividends

CIGIX vs. GTMIX - Dividend Comparison

CIGIX's dividend yield for the trailing twelve months is around 10.09%, less than GTMIX's 19.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CIGIX Calamos International Growth Fund	10.09%	13.49%	4.54%	0.28%	0.00%	0.33%	5.42%	0.00%	13.25%	3.76%	0.00%	0.13%
GTMIX GMO Tax-Managed International Equities Fund	19.73%	22.43%	5.94%	0.36%	5.44%	16.55%	2.25%	4.13%	7.25%	2.96%	4.05%	3.26%

Frequently Asked Questions

Can I hold both CIGIX and GTMIX in my portfolio?

CIGIX and GTMIX 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, CIGIX or GTMIX?

CIGIX has higher volatility (9.60%) compared to GTMIX (3.31%). In terms of maximum drawdown, CIGIX dropped -64.46% vs GTMIX's -58.31%.

Which has better risk-adjusted returns?

GTMIX currently has the higher Sharpe Ratio (3.00 vs 2.08), 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.