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

Key characteristics


CMEUXVFORX
YTD Return27.12%15.04%
1Y Return39.27%26.49%
3Y Return (Ann)9.67%3.99%
5Y Return (Ann)17.68%9.21%
Sharpe Ratio2.902.60
Sortino Ratio3.913.68
Omega Ratio1.541.49
Calmar Ratio4.202.29
Martin Ratio18.8216.57
Ulcer Index2.02%1.55%
Daily Std Dev13.13%9.88%
Max Drawdown-28.39%-51.63%
Current Drawdown0.00%-0.11%

Correlation

-0.50.00.51.00.9

The correlation between CMEUX and VFORX is 0.92, 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. VFORX - Performance Comparison

In the year-to-date period, CMEUX achieves a 27.12% return, which is significantly higher than VFORX's 15.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.09%
9.11%
CMEUX
VFORX

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CMEUX vs. VFORX - Expense Ratio Comparison

CMEUX has a 0.07% expense ratio, which is lower than VFORX's 0.08% 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%.


VFORX
Vanguard Target Retirement 2040 Fund
Expense ratio chart for VFORX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
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%

Risk-Adjusted Performance

CMEUX vs. VFORX - 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 Vanguard Target Retirement 2040 Fund (VFORX). 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
Sharpe ratio
The chart of Sharpe ratio for CMEUX, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for CMEUX, currently valued at 3.90, compared to the broader market0.005.0010.003.91
Omega ratio
The chart of Omega ratio for CMEUX, currently valued at 1.54, compared to the broader market1.002.003.004.001.54
Calmar ratio
The chart of Calmar ratio for CMEUX, currently valued at 4.20, compared to the broader market0.005.0010.0015.0020.004.20
Martin ratio
The chart of Martin ratio for CMEUX, currently valued at 18.82, compared to the broader market0.0020.0040.0060.0080.00100.0018.82
VFORX
Sharpe ratio
The chart of Sharpe ratio for VFORX, currently valued at 2.60, compared to the broader market0.002.004.002.60
Sortino ratio
The chart of Sortino ratio for VFORX, currently valued at 3.68, compared to the broader market0.005.0010.003.68
Omega ratio
The chart of Omega ratio for VFORX, currently valued at 1.49, compared to the broader market1.002.003.004.001.49
Calmar ratio
The chart of Calmar ratio for VFORX, currently valued at 2.29, compared to the broader market0.005.0010.0015.0020.002.29
Martin ratio
The chart of Martin ratio for VFORX, currently valued at 16.57, compared to the broader market0.0020.0040.0060.0080.00100.0016.57

CMEUX vs. VFORX - Sharpe Ratio Comparison

The current CMEUX Sharpe Ratio is 2.90, which is comparable to the VFORX Sharpe Ratio of 2.60. The chart below compares the historical Sharpe Ratios of CMEUX and VFORX, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.90
2.60
CMEUX
VFORX

Dividends

CMEUX vs. VFORX - Dividend Comparison

CMEUX's dividend yield for the trailing twelve months is around 0.91%, less than VFORX's 2.07% yield.


TTM20232022202120202019201820172016201520142013
CMEUX
Six Circles Managed Equity Portfolio U.S. Unconstrained Fund
0.91%1.16%1.38%0.89%1.48%1.12%0.00%0.00%0.00%0.00%0.00%0.00%
VFORX
Vanguard Target Retirement 2040 Fund
2.07%2.38%2.10%2.39%1.62%2.28%2.41%1.91%1.98%2.16%1.93%1.77%

Drawdowns

CMEUX vs. VFORX - Drawdown Comparison

The maximum CMEUX drawdown since its inception was -28.39%, smaller than the maximum VFORX drawdown of -51.63%. Use the drawdown chart below to compare losses from any high point for CMEUX and VFORX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.11%
CMEUX
VFORX

Volatility

CMEUX vs. VFORX - Volatility Comparison

Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) has a higher volatility of 3.88% compared to Vanguard Target Retirement 2040 Fund (VFORX) at 2.50%. This indicates that CMEUX's price experiences larger fluctuations and is considered to be riskier than VFORX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.88%
2.50%
CMEUX
VFORX