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

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.


-0.50.00.51.01.0

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.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.24%
10.27%
CMEUX
^GSPC

Key characteristics

Sharpe Ratio

CMEUX:

2.08

^GSPC:

2.16

Sortino Ratio

CMEUX:

2.77

^GSPC:

2.87

Omega Ratio

CMEUX:

1.38

^GSPC:

1.40

Calmar Ratio

CMEUX:

3.03

^GSPC:

3.19

Martin Ratio

CMEUX:

13.04

^GSPC:

13.87

Ulcer Index

CMEUX:

2.11%

^GSPC:

1.95%

Daily Std Dev

CMEUX:

13.23%

^GSPC:

12.54%

Max Drawdown

CMEUX:

-28.39%

^GSPC:

-56.78%

Current Drawdown

CMEUX:

-1.98%

^GSPC:

-0.82%

Returns By Period

The year-to-date returns for both stocks are quite close, with CMEUX having a 27.18% return and ^GSPC slightly lower at 26.63%.


CMEUX

YTD

27.18%

1M

0.52%

6M

9.52%

1Y

27.49%

5Y*

16.33%

10Y*

N/A

^GSPC

YTD

26.63%

1M

1.18%

6M

10.44%

1Y

27.03%

5Y*

13.30%

10Y*

11.23%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for CMEUX, currently valued at 2.08, compared to the broader market-1.000.001.002.003.004.002.082.16
The chart of Sortino ratio for CMEUX, currently valued at 2.77, compared to the broader market-2.000.002.004.006.008.0010.002.772.87
The chart of Omega ratio for CMEUX, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.003.501.381.40
The chart of Calmar ratio for CMEUX, currently valued at 3.03, compared to the broader market0.002.004.006.008.0010.0012.0014.003.033.19
The chart of Martin ratio for CMEUX, currently valued at 13.04, compared to the broader market0.0020.0040.0060.0013.0413.87
CMEUX
^GSPC

The current CMEUX Sharpe Ratio is 2.08, which is comparable to the ^GSPC Sharpe Ratio of 2.16. 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.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.08
2.16
CMEUX
^GSPC

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.98%
-0.82%
CMEUX
^GSPC

Volatility

CMEUX vs. ^GSPC - Volatility Comparison

Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) has a higher volatility of 4.32% compared to S&P 500 (^GSPC) at 3.96%. This indicates that CMEUX's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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%JulyAugustSeptemberOctoberNovemberDecember
4.32%
3.96%
CMEUX
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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