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

Performance

CMEUX vs. CGJIX - 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 Calvert US Large-Cap Growth Responsible Index Fund (CGJIX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.54%
13.31%
CMEUX
CGJIX

Returns By Period

In the year-to-date period, CMEUX achieves a 26.52% return, which is significantly lower than CGJIX's 28.02% return.


CMEUX

YTD

26.52%

1M

2.72%

6M

12.54%

1Y

32.12%

5Y (annualized)

17.30%

10Y (annualized)

N/A

CGJIX

YTD

28.02%

1M

4.01%

6M

13.31%

1Y

34.61%

5Y (annualized)

17.74%

10Y (annualized)

N/A

Key characteristics


CMEUXCGJIX
Sharpe Ratio2.472.34
Sortino Ratio3.343.07
Omega Ratio1.461.43
Calmar Ratio3.543.31
Martin Ratio15.7613.98
Ulcer Index2.04%2.48%
Daily Std Dev13.02%14.82%
Max Drawdown-28.39%-31.73%
Current Drawdown-0.47%-0.80%

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CMEUX vs. CGJIX - Expense Ratio Comparison

CMEUX has a 0.07% expense ratio, which is lower than CGJIX's 0.24% expense ratio. Despite the difference, 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%

Correlation

-0.50.00.51.01.0

The correlation between CMEUX and CGJIX 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.

Risk-Adjusted Performance

CMEUX vs. CGJIX - 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 Calvert US Large-Cap Growth Responsible Index Fund (CGJIX). 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 CMEUX, currently valued at 2.47, compared to the broader market-1.000.001.002.003.004.005.002.472.34
The chart of Sortino ratio for CMEUX, currently valued at 3.34, compared to the broader market0.005.0010.003.343.07
The chart of Omega ratio for CMEUX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.43
The chart of Calmar ratio for CMEUX, currently valued at 3.54, compared to the broader market0.005.0010.0015.0020.003.543.31
The chart of Martin ratio for CMEUX, currently valued at 15.76, compared to the broader market0.0020.0040.0060.0080.00100.0015.7613.98
CMEUX
CGJIX

The current CMEUX Sharpe Ratio is 2.47, which is comparable to the CGJIX Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of CMEUX and CGJIX, 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
2.47
2.34
CMEUX
CGJIX

Dividends

CMEUX vs. CGJIX - Dividend Comparison

CMEUX's dividend yield for the trailing twelve months is around 0.92%, more than CGJIX's 0.41% yield.


TTM202320222021202020192018201720162015
CMEUX
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
0.92%1.16%1.38%0.89%1.48%1.12%0.00%0.00%0.00%0.00%
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%

Drawdowns

CMEUX vs. CGJIX - Drawdown Comparison

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.47%
-0.80%
CMEUX
CGJIX

Volatility

CMEUX vs. CGJIX - Volatility Comparison

The current volatility for Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) is 3.98%, while Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) has a volatility of 4.60%. This indicates that CMEUX experiences smaller price fluctuations and is considered to be less risky than CGJIX 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
3.98%
4.60%
CMEUX
CGJIX