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 4.79%/yr vs 0.87%/yr for GOVT. At a correlation of -0.17, they often move in opposite directions. 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 2.86% return, which is significantly higher than GOVT's -0.11% return. Over the past 10 years, CMNIX has outperformed GOVT with an annualized return of 4.79%, while GOVT has yielded a comparatively lower 0.87% annualized return.
CMNIX
- 1D
- -0.06%
- 1M
- 0.75%
- YTD
- 2.86%
- 6M
- 3.25%
- 1Y
- 6.94%
- 3Y*
- 7.18%
- 5Y*
- 4.84%
- 10Y*
- 4.79%
GOVT
- 1D
- -0.18%
- 1M
- 0.11%
- YTD
- -0.11%
- 6M
- -0.34%
- 1Y
- 3.87%
- 3Y*
- 2.83%
- 5Y*
- -0.45%
- 10Y*
- 0.87%
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 | 2.86% | 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 | -0.11% | 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 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Feb 27, 2012 | -0.17 |
The correlation between CMNIX and GOVT shifts across timeframes, from -0.17 (all time) to 0.14 (3 years), 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.
| CMNIX | GOVT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.83 | ||
| Sortino ratioReturn per unit of downside risk | +4.69 | ||
| Omega ratioGain probability vs. loss probability | 2.02 | 1.18 | +0.83 |
| Calmar ratioReturn relative to maximum drawdown | 6.99 | 1.36 | +5.63 |
| Martin ratioReturn relative to average drawdown | 42.93 | 4.01 | +38.92 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CMNIX | GOVT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.91 | 1.07 | +2.83 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.40 | -0.08 | +1.48 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.33 | 0.17 | +1.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.38 | 0.26 | +0.12 |
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% | -5.43% | +2.66% |
Max Drawdown (5Y)Largest decline over 5 years | -7.52% | -16.60% | +9.08% |
Max Drawdown (10Y)Largest decline over 10 years | -8.12% | -19.07% | +10.95% |
Current DrawdownCurrent decline from peak | -0.06% | -7.17% | +7.11% |
Average DrawdownAverage peak-to-trough decline | -7.16% | -5.25% | -1.91% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.17% | 0.97% | -0.80% |
Volatility
CMNIX vs. GOVT - Volatility Comparison
The current volatility for Calamos Market Neutral Income Fund Institutional Class (CMNIX) is 0.33%, while iShares U.S. Treasury Bond ETF (GOVT) has a volatility of 1.09%. 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 | 0.33% | 1.09% | -0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 1.52% | 2.51% | -0.99% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.82% | 3.63% | -1.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.47% | 6.04% | -2.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.62% | 5.22% | -1.60% |
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 1.70%, less than GOVT's 3.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMNIX Calamos Market Neutral Income Fund Institutional Class | 1.70% | 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 | 3.59% | 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 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GOVT has higher volatility (1.09%) compared to CMNIX (0.33%). In terms of maximum drawdown, CMNIX dropped -35.16% vs GOVT's -19.07%.
CMNIX currently has the higher Sharpe Ratio (3.91 vs 1.07), 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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