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

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.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.89%
12.93%
CMEUX
^GSPC

Returns By Period

In the year-to-date period, CMEUX achieves a 26.11% return, which is significantly higher than ^GSPC's 24.72% return.


CMEUX

YTD

26.11%

1M

1.34%

6M

12.89%

1Y

31.68%

5Y (annualized)

17.24%

10Y (annualized)

N/A

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


CMEUX^GSPC
Sharpe Ratio2.482.54
Sortino Ratio3.353.40
Omega Ratio1.461.47
Calmar Ratio3.573.66
Martin Ratio15.8716.26
Ulcer Index2.04%1.91%
Daily Std Dev13.02%12.23%
Max Drawdown-28.39%-56.78%
Current Drawdown-0.80%-0.88%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.01.0

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.

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 2.48, compared to the broader market-1.000.001.002.003.004.005.002.482.54
The chart of Sortino ratio for CMEUX, currently valued at 3.35, compared to the broader market0.005.0010.003.353.40
The chart of Omega ratio for CMEUX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.47
The chart of Calmar ratio for CMEUX, currently valued at 3.57, compared to the broader market0.005.0010.0015.0020.0025.003.573.66
The chart of Martin ratio for CMEUX, currently valued at 15.87, compared to the broader market0.0020.0040.0060.0080.00100.0015.8716.26
CMEUX
^GSPC

The current CMEUX Sharpe Ratio is 2.48, which is comparable to the ^GSPC Sharpe Ratio of 2.54. 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.48
2.54
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%JuneJulyAugustSeptemberOctoberNovember
-0.80%
-0.88%
CMEUX
^GSPC

Volatility

CMEUX vs. ^GSPC - Volatility Comparison

Six Circles Managed Equity Portfolio U.S. Unconstrained Fund (CMEUX) and S&P 500 (^GSPC) have volatilities of 3.97% and 3.96%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.97%
3.96%
CMEUX
^GSPC