CMEUX vs. VFFSX

Last updated Jun 5, 2026

CMEUX (Six Circles Managed Equity Portfolio U.S. Unconstrained Fund) and VFFSX (Vanguard 500 Index Fund Institutional Select Shares) are both Large Cap Blend Equities funds. Over the past 5 years, CMEUX returned 13.95%/yr vs 13.90%/yr for VFFSX. With a 0.96 correlation, they move nearly in lockstep. CMEUX charges 0.07%/yr vs 0.01%/yr for VFFSX.

Performance

CMEUX vs. VFFSX - 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 Vanguard 500 Index Fund Institutional Select Shares (VFFSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with CMEUX having a 11.21% return and VFFSX slightly lower at 10.88%.

CMEUX

• 1D: -0.77%
• 1M: 4.77%
• YTD: 11.21%
• 6M: 10.79%
• 1Y: 30.02%
• 3Y*: 22.89%
• 5Y*: 13.95%
• 10Y*: —

VFFSX

• 1D: -0.74%
• 1M: 4.17%
• YTD: 10.88%
• 6M: 10.79%
• 1Y: 28.02%
• 3Y*: 22.45%
• 5Y*: 13.90%
• 10Y*: —

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

CMEUX vs. VFFSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
CMEUX Six Circles Managed Equity Portfolio U.S. Unconstrained Fund	11.21%	18.38%	24.94%	29.09%	-20.29%	26.65%	29.12%	12.13%
VFFSX Vanguard 500 Index Fund Institutional Select Shares	10.88%	17.87%	25.00%	26.28%	-18.14%	29.24%	18.35%	12.72%

Correlation

The correlation between CMEUX and VFFSX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.98
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Apr 17, 2019	0.96

The correlation between CMEUX and VFFSX has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.

Return for Risk

CMEUX vs. VFFSX — Risk / Return Rank

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

CMEUX

CMEUX Risk / Return Rank: 70
CMEUX Sharpe Ratio Rank: 74
CMEUX Sortino Ratio Rank: 66
CMEUX Omega Ratio Rank: 68
CMEUX Calmar Ratio Rank: 69
CMEUX Martin Ratio Rank: 75

VFFSX

VFFSX Risk / Return Rank: 66
VFFSX Sharpe Ratio Rank: 64
VFFSX Sortino Ratio Rank: 59
VFFSX Omega Ratio Rank: 60
VFFSX Calmar Ratio Rank: 67
VFFSX Martin Ratio Rank: 79

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.

CMEUX vs. VFFSX - 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 Vanguard 500 Index Fund Institutional Select Shares (VFFSX). 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.

	CMEUX	VFFSX	Difference
Sharpe ratio: Return per unit of total volatility	2.50	2.37	+0.13
Sortino ratio: Return per unit of downside risk	3.40	3.24	+0.16
Omega ratio: Gain probability vs. loss probability	1.46	1.43	+0.03
Calmar ratio: Return relative to maximum drawdown	3.21	3.17	+0.05
Martin ratio: Return relative to average drawdown	14.16	14.79	-0.64
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CMEUX vs. VFFSX - Sharpe Ratio Comparison

The current CMEUX Sharpe Ratio is 2.50, which is comparable to the VFFSX Sharpe Ratio of 2.37. The chart below compares the historical Sharpe Ratios of CMEUX and VFFSX, 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

	CMEUX	VFFSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.50	2.37	+0.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.78	0.83	-0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.87	0.85	+0.02

Drawdowns

CMEUX vs. VFFSX - Drawdown Comparison

The maximum CMEUX drawdown since its inception was -28.39%, smaller than the maximum VFFSX drawdown of -33.82%. Use the drawdown chart below to compare losses from any high point for CMEUX and VFFSX.

Drawdown Indicators

	CMEUX	VFFSX	Difference
Max Drawdown Largest peak-to-trough decline	-28.39%	-33.82%	+5.43%
Max Drawdown (1Y) Largest decline over 1 year	-9.51%	-8.90%	-0.61%
Max Drawdown (3Y) Largest decline over 3 years	-19.91%	-18.75%	-1.16%
Max Drawdown (5Y) Largest decline over 5 years	-25.61%	-24.51%	-1.10%
Current Drawdown Current decline from peak	-0.77%	-0.74%	-0.03%
Average Drawdown Average peak-to-trough decline	-5.34%	-4.50%	-0.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.15%	1.90%	+0.25%

Volatility

CMEUX vs. VFFSX - Volatility Comparison

Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) and Vanguard 500 Index Fund Institutional Select Shares (VFFSX) have volatilities of 2.92% and 2.93%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CMEUX	VFFSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.92%	2.93%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	9.24%	9.00%	+0.24%
Volatility (1Y) Calculated over the trailing 1-year period	12.22%	11.89%	+0.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.94%	16.90%	+1.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.96%	18.41%	+1.55%

CMEUX vs. VFFSX - Expense Ratio Comparison

CMEUX has a 0.07% expense ratio, which is higher than VFFSX's 0.01% expense ratio. However, 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. VFFSX - Dividend Comparison

CMEUX's dividend yield for the trailing twelve months is around 0.91%, less than VFFSX's 1.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
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%
VFFSX Vanguard 500 Index Fund Institutional Select Shares	1.04%	1.14%	1.24%	1.46%	1.70%	1.61%	1.56%	2.15%	2.09%	1.81%

Frequently Asked Questions

Can I hold both CMEUX and VFFSX in my portfolio?

With a correlation of 0.98, CMEUX and VFFSX 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.

Which is riskier, CMEUX or VFFSX?

VFFSX has higher volatility (2.93%) compared to CMEUX (2.92%). In terms of maximum drawdown, CMEUX dropped -28.39% vs VFFSX's -33.82%.

Which has better risk-adjusted returns?

CMEUX currently has the higher Sharpe Ratio (2.50 vs 2.37), 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.