CMNIX vs. GOVT
Compare and contrast key facts about Calamos Market Neutral Income Fund Institutional Class (CMNIX) and iShares U.S. Treasury Bond ETF (GOVT).
CMNIX is managed by Calamos. It was launched on May 10, 2000. GOVT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Treasury Bond Index. It was launched on Feb 14, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CMNIX or GOVT.
Key characteristics
| CMNIX | GOVT | |
|---|---|---|
| YTD Return | 6.78% | 0.73% |
| 1Y Return | 4.77% | 5.94% |
| 3Y Return (Ann) | 2.64% | -2.78% |
| 5Y Return (Ann) | 3.71% | -0.75% |
| 10Y Return (Ann) | 2.82% | 0.84% |
| Sharpe Ratio | 1.20 | 1.06 |
| Sortino Ratio | 1.30 | 1.56 |
| Omega Ratio | 1.47 | 1.19 |
| Calmar Ratio | 1.38 | 0.34 |
| Martin Ratio | 3.18 | 3.41 |
| Ulcer Index | 1.50% | 1.74% |
| Daily Std Dev | 3.99% | 5.58% |
| Max Drawdown | -22.81% | -19.07% |
| Current Drawdown | -0.07% | -12.37% |
Correlation
The correlation between CMNIX and GOVT is -0.19. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
CMNIX vs. GOVT - Performance Comparison
In the year-to-date period, CMNIX achieves a 6.78% return, which is significantly higher than GOVT's 0.73% return. Over the past 10 years, CMNIX has outperformed GOVT with an annualized return of 2.82%, while GOVT has yielded a comparatively lower 0.84% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CMNIX vs. GOVT - Expense Ratio Comparison
CMNIX has a 0.90% expense ratio, which is higher than GOVT's 0.15% expense ratio.
Risk-Adjusted Performance
CMNIX vs. GOVT - Risk-Adjusted Performance 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.
Dividends
CMNIX vs. GOVT - Dividend Comparison
CMNIX's dividend yield for the trailing twelve months is around 2.13%, less than GOVT's 3.14% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMNIX Calamos Market Neutral Income Fund Institutional Class | 2.13% | 2.31% | 1.02% | 0.46% | 0.90% | 1.56% | 1.78% | 1.40% | 1.41% | 1.35% | 1.22% | 1.55% |
GOVT iShares U.S. Treasury Bond ETF | 3.14% | 2.66% | 1.76% | 0.96% | 2.17% | 1.98% | 1.97% | 1.57% | 1.40% | 1.25% | 1.17% | 0.94% |
Drawdowns
CMNIX vs. GOVT - Drawdown Comparison
The maximum CMNIX drawdown since its inception was -22.81%, 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. For additional features, visit the drawdowns tool.
Volatility
CMNIX vs. GOVT - Volatility Comparison
The current volatility for Calamos Market Neutral Income Fund Institutional Class (CMNIX) is 0.45%, while iShares U.S. Treasury Bond ETF (GOVT) has a volatility of 1.60%. 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.