CMNIX vs. GOVT
CMNIX (Calamos Market Neutral Income Fund Institutional Class) and GOVT (iShares U.S. Treasury Bond ETF) are both funds - CMNIX is a fund fund managed by Calamos, while GOVT is a Government Bonds fund tracking the ICE U.S. Treasury Core Bond Index. Over the past 10 years, CMNIX returned 4.73%/yr vs 0.71%/yr for GOVT. Their -0.17 correlation means they have often moved in opposite directions in the past. CMNIX charges 0.90%/yr vs 0.05%/yr for GOVT.
Performance
CMNIX vs. GOVT - Performance Comparison
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Returns By Period
In the year-to-date period, CMNIX achieves a 3.73% return, which is significantly higher than GOVT's -0.59% return. Over the past 10 years, CMNIX has outperformed GOVT with an annualized return of 4.73%, while GOVT has yielded a comparatively lower 0.71% annualized return.
CMNIX
- 1D
- 0.19%
- 1M
- 0.37%
- 6M
- 3.01%
- YTD
- 3.73%
- 1Y
- 6.67%
- 3Y*
- 6.86%
- 5Y*
- 4.89%
- 10Y*
- 4.73%
- ALL TIME*
- 2.08%
GOVT
- 1D
- 0.15%
- 1M
- -0.91%
- 6M
- -0.48%
- YTD
- -0.59%
- 1Y
- 1.22%
- 3Y*
- 3.10%
- 5Y*
- -0.98%
- 10Y*
- 0.71%
- ALL TIME*
- 1.19%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $171.95M | $165.72M | $191.60M |
CMNIX vs. GOVT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMNIX Calamos Market Neutral Income Fund Institutional Class | 3.73% | 6.89% | 7.43% | 9.17% | -4.26% | 5.02% | 5.36% | 6.72% | 1.79% | 4.21% |
GOVT iShares U.S. Treasury Bond ETF | -0.59% | 3.77% | 2.95% | 4.17% | -13.39% | -1.11% | 7.28% | 7.36% | 0.26% | 2.19% |
Correlation
The correlation between CMNIX and GOVT is 0.12, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.12 |
Correlation (3Y) Balances recent behavior with more history. | 0.11 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.07 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.10 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2012 | -0.17 |
The correlation between CMNIX and GOVT shifts across timeframes, from -0.17 (all time) to 0.12 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CMNIX vs. GOVT — Risk / Return Rank
CMNIX
GOVT
CMNIX vs. GOVT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Market Neutral Income Fund Institutional Class (CMNIX) and iShares U.S. Treasury Bond ETF (GOVT). 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.
| CMNIX | GOVT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.27 | ||
| Sortino ratioReturn per unit of downside risk | +5.39 | ||
| Omega ratioGain probability vs. loss probability | 1.90 | 1.06 | +0.84 |
| Calmar ratioReturn relative to maximum drawdown | 6.51 | 0.43 | +6.08 |
| Martin ratioReturn relative to average drawdown | 38.44 | 1.01 | +37.43 |
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Drawdowns
CMNIX vs. GOVT - Drawdown Comparison
The maximum CMNIX drawdown since its inception was -35.16%, which is greater than GOVT's maximum drawdown of -19.07%. Use the drawdown chart below to compare losses from any high point for CMNIX and GOVT.
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Drawdown Indicators
| CMNIX | GOVT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.16% | -19.07% | -16.09% |
Max Drawdown (1Y)Largest decline over 1 year | -1.02% | -2.85% | +1.83% |
Max Drawdown (3Y)Largest decline over 3 years | -2.77% | -4.90% | +2.13% |
Max Drawdown (5Y)Largest decline over 5 years | -7.52% | -16.46% | +8.94% |
Max Drawdown (10Y)Largest decline over 10 years | -8.12% | -19.07% | +10.95% |
Current DrawdownCurrent decline from peak | 0.00% | -7.62% | +7.62% |
Average DrawdownAverage peak-to-trough decline | -7.11% | -5.27% | -1.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.17% | 1.21% | -1.04% |
Volatility
CMNIX vs. GOVT - Volatility Comparison
The current volatility for Calamos Market Neutral Income Fund Institutional Class (CMNIX) is 0.43%, while iShares U.S. Treasury Bond ETF (GOVT) has a volatility of 0.95%. This indicates that CMNIX experiences smaller price fluctuations and is considered to be less risky than GOVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMNIX | GOVT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.43% | 0.95% | -0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 1.50% | 2.75% | -1.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.85% | 3.46% | -1.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.46% | 6.03% | -2.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.61% | 5.22% | -1.61% |
CMNIX vs. GOVT - Expense Ratio Comparison
CMNIX has a 0.90% expense ratio, which is higher than GOVT's 0.05% expense ratio.
Dividends
CMNIX vs. GOVT - Dividend Comparison
CMNIX's dividend yield for the trailing twelve months is around 1.67%, less than GOVT's 3.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMNIX Calamos Market Neutral Income Fund Institutional Class | 1.67% | 1.63% | 2.00% | 5.90% | 1.02% | 0.46% | 0.90% | 1.57% | 5.02% | 2.60% | 2.97% | 2.42% |
GOVT iShares U.S. Treasury Bond ETF | 3.66% | 3.49% | 3.14% | 2.65% | 1.77% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% |
Frequently Asked Questions
CMNIX and GOVT have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GOVT has higher volatility (0.95%) compared to CMNIX (0.43%). In terms of maximum drawdown, CMNIX dropped -35.16% vs GOVT's -19.07%.
CMNIX currently has the higher Sharpe Ratio (3.63 vs 0.35), 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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