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CMEUX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

CMEUX vs. ^GSPC

Last updated May 10, 2025

Compare and contrast key facts about Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) and S&P 500 (^GSPC).

CMEUX is managed by Blackrock. It was launched on Apr 10, 2019.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CMEUX or ^GSPC.

Correlation

The correlation between CMEUX and ^GSPC is 0.97, 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

CMEUX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CMEUX:

0.42

^GSPC:

0.44

Sortino Ratio

CMEUX:

0.76

^GSPC:

0.79

Omega Ratio

CMEUX:

1.11

^GSPC:

1.12

Calmar Ratio

CMEUX:

0.45

^GSPC:

0.48

Martin Ratio

CMEUX:

1.70

^GSPC:

1.85

Ulcer Index

CMEUX:

5.22%

^GSPC:

4.92%

Daily Std Dev

CMEUX:

20.17%

^GSPC:

19.37%

Max Drawdown

CMEUX:

-28.39%

^GSPC:

-56.78%

Current Drawdown

CMEUX:

-8.28%

^GSPC:

-7.88%

Returns By Period

In the year-to-date period, CMEUX achieves a -4.30% return, which is significantly lower than ^GSPC's -3.77% return.

CMEUX

YTD

-4.30%

1M

3.66%

6M

-5.94%

1Y

8.43%

5Y*

14.69%

10Y*

N/A

^GSPC

YTD

-3.77%

1M

3.72%

6M

-5.60%

1Y

8.55%

5Y*

14.11%

10Y*

10.45%

*Annualized

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Risk-Adjusted Performance

CMEUX vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CMEUX
The Risk-Adjusted Performance Rank of CMEUX is 5555
Overall Rank
The Sharpe Ratio Rank of CMEUX is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of CMEUX is 5353
Sortino Ratio Rank
The Omega Ratio Rank of CMEUX is 5555
Omega Ratio Rank
The Calmar Ratio Rank of CMEUX is 6161
Calmar Ratio Rank
The Martin Ratio Rank of CMEUX is 5555
Martin Ratio Rank
^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6565
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6868
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CMEUX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) and S&P 500 (^GSPC). 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.

The current CMEUX Sharpe Ratio is 0.42, which is comparable to the ^GSPC Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of CMEUX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Drawdowns

CMEUX vs. ^GSPC - Drawdown Comparison

The maximum CMEUX drawdown since its inception was -28.39%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for CMEUX and ^GSPC. For additional features, visit the drawdowns tool.

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Volatility

CMEUX vs. ^GSPC - Volatility Comparison

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