CMEUX vs. QUAL
CMEUX (Six Circles Managed Equity Portfolio U.S. Unconstrained Fund) and QUAL (iShares MSCI USA Quality Factor ETF) are both Large Cap Blend Equities funds. Over the past 5 years, CMEUX returned 12.65%/yr vs 11.34%/yr for QUAL. Their correlation of 0.94 suggests significant overlap in exposure. CMEUX charges 0.07%/yr vs 0.15%/yr for QUAL.
Performance
CMEUX vs. QUAL - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with CMEUX having a 10.84% return and QUAL slightly lower at 10.52%.
CMEUX
- 1D
- 0.41%
- 1M
- 1.89%
- 6M
- 8.86%
- YTD
- 10.84%
- 1Y
- 22.90%
- 3Y*
- 21.47%
- 5Y*
- 12.65%
- 10Y*
- —
QUAL
- 1D
- -0.47%
- 1M
- 0.98%
- 6M
- 7.48%
- YTD
- 10.52%
- 1Y
- 20.05%
- 3Y*
- 18.03%
- 5Y*
- 11.34%
- 10Y*
- 14.11%
CMEUX vs. QUAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
CMEUX Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | 10.84% | 18.38% | 24.94% | 29.09% | -20.29% | 26.65% | 29.12% | 12.13% |
QUAL iShares MSCI USA Quality Factor ETF | 10.52% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 17.04% | 12.29% |
Correlation
The correlation between CMEUX and QUAL is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.92 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.91 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Apr 16, 2019 | 0.94 |
The correlation between CMEUX and QUAL has been stable across timeframes, ranging from 0.91 to 0.94 - a consistent structural relationship.
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Return for Risk
CMEUX vs. QUAL — Risk / Return Rank
CMEUX
QUAL
CMEUX vs. QUAL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) and iShares MSCI USA Quality Factor ETF (QUAL). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CMEUX | QUAL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.10 | ||
| Sortino ratioReturn per unit of downside risk | +0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.30 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.40 | 2.23 | +0.17 |
| Martin ratioReturn relative to average drawdown | 9.80 | 10.02 | -0.22 |
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Drawdowns
CMEUX vs. QUAL - Drawdown Comparison
The maximum CMEUX drawdown since its inception was -28.39%, smaller than the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for CMEUX and QUAL.
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Drawdown Indicators
| CMEUX | QUAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.39% | -34.06% | +5.67% |
Max Drawdown (1Y)Largest decline over 1 year | -9.51% | -9.03% | -0.48% |
Max Drawdown (3Y)Largest decline over 3 years | -19.91% | -18.00% | -1.91% |
Max Drawdown (5Y)Largest decline over 5 years | -25.61% | -28.23% | +2.62% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.06% | — |
Current DrawdownCurrent decline from peak | -1.10% | -0.47% | -0.63% |
Average DrawdownAverage peak-to-trough decline | -5.29% | -4.08% | -1.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.32% | 2.01% | +0.31% |
Volatility
CMEUX vs. QUAL - Volatility Comparison
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) has a higher volatility of 4.50% compared to iShares MSCI USA Quality Factor ETF (QUAL) at 3.87%. This indicates that CMEUX's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMEUX | QUAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.50% | 3.87% | +0.63% |
Volatility (6M)Calculated over the trailing 6-month period | 10.28% | 9.72% | +0.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.99% | 12.17% | +0.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.05% | 17.39% | +0.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.91% | 18.08% | +1.83% |
CMEUX vs. QUAL - Expense Ratio Comparison
CMEUX has a 0.07% expense ratio, which is lower than QUAL's 0.15% 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%.
Dividends
CMEUX vs. QUAL - Dividend Comparison
CMEUX's dividend yield for the trailing twelve months is around 0.91%, more than QUAL's 0.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMEUX Six Circles Managed Equity Portfolio U.S. Unconstrained Fund | 0.91% | 1.01% | 1.02% | 1.16% | 1.52% | 4.12% | 3.33% | 1.72% | 0.00% | 0.00% | 0.00% | 0.00% |
QUAL iShares MSCI USA Quality Factor ETF | 0.86% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
Frequently Asked Questions
With a correlation of 0.92, CMEUX and QUAL move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
CMEUX has higher volatility (4.50%) compared to QUAL (3.87%). In terms of maximum drawdown, CMEUX dropped -28.39% vs QUAL's -34.06%.
CMEUX currently has the higher Sharpe Ratio (1.76 vs 1.66), 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.
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