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CMNIX vs. MRJIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CMNIXMRJIX
YTD Return2.80%0.28%
1Y Return7.90%5.41%
3Y Return (Ann)3.42%6.94%
5Y Return (Ann)4.14%7.41%
Sharpe Ratio4.140.64
Daily Std Dev1.96%7.89%
Max Drawdown-22.81%-28.39%
Current Drawdown0.00%-0.18%

Correlation

-0.50.00.51.00.5

The correlation between CMNIX and MRJIX is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

CMNIX vs. MRJIX - Performance Comparison

In the year-to-date period, CMNIX achieves a 2.80% return, which is significantly higher than MRJIX's 0.28% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%25.00%30.00%35.00%40.00%45.00%50.00%December2024FebruaryMarchAprilMay
26.01%
48.19%
CMNIX
MRJIX

Compare stocks, funds, or ETFs

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


Calamos Market Neutral Income Fund Institutional Class

Morgan Stanley Multi-Asset Real Return Portfolio

CMNIX vs. MRJIX - Expense Ratio Comparison

CMNIX has a 0.90% expense ratio, which is higher than MRJIX's 0.76% expense ratio.


CMNIX
Calamos Market Neutral Income Fund Institutional Class
Expense ratio chart for CMNIX: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
Expense ratio chart for MRJIX: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%

Risk-Adjusted Performance

CMNIX vs. MRJIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Market Neutral Income Fund Institutional Class (CMNIX) and Morgan Stanley Multi-Asset Real Return Portfolio (MRJIX). 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
Sharpe ratio
The chart of Sharpe ratio for CMNIX, currently valued at 4.14, compared to the broader market-1.000.001.002.003.004.004.14
Sortino ratio
The chart of Sortino ratio for CMNIX, currently valued at 6.84, compared to the broader market-2.000.002.004.006.008.0010.0012.006.84
Omega ratio
The chart of Omega ratio for CMNIX, currently valued at 2.02, compared to the broader market0.501.001.502.002.503.003.502.02
Calmar ratio
The chart of Calmar ratio for CMNIX, currently valued at 8.49, compared to the broader market0.002.004.006.008.0010.0012.008.49
Martin ratio
The chart of Martin ratio for CMNIX, currently valued at 43.47, compared to the broader market0.0020.0040.0060.0080.0043.47
MRJIX
Sharpe ratio
The chart of Sharpe ratio for MRJIX, currently valued at 0.64, compared to the broader market-1.000.001.002.003.004.000.64
Sortino ratio
The chart of Sortino ratio for MRJIX, currently valued at 1.03, compared to the broader market-2.000.002.004.006.008.0010.0012.001.03
Omega ratio
The chart of Omega ratio for MRJIX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.003.501.13
Calmar ratio
The chart of Calmar ratio for MRJIX, currently valued at 0.61, compared to the broader market0.002.004.006.008.0010.0012.000.61
Martin ratio
The chart of Martin ratio for MRJIX, currently valued at 2.23, compared to the broader market0.0020.0040.0060.0080.002.23

CMNIX vs. MRJIX - Sharpe Ratio Comparison

The current CMNIX Sharpe Ratio is 4.14, which is higher than the MRJIX Sharpe Ratio of 0.64. The chart below compares the 12-month rolling Sharpe Ratio of CMNIX and MRJIX.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.00December2024FebruaryMarchAprilMay
4.14
0.64
CMNIX
MRJIX

Dividends

CMNIX vs. MRJIX - Dividend Comparison

CMNIX's dividend yield for the trailing twelve months is around 5.79%, more than MRJIX's 4.79% yield.


TTM20232022202120202019201820172016201520142013
CMNIX
Calamos Market Neutral Income Fund Institutional Class
5.79%5.90%1.02%0.46%0.90%1.57%5.01%3.12%2.96%2.90%2.28%3.55%
MRJIX
Morgan Stanley Multi-Asset Real Return Portfolio
4.79%4.80%4.31%15.56%1.94%1.93%3.09%0.00%0.00%0.00%0.00%0.00%

Drawdowns

CMNIX vs. MRJIX - Drawdown Comparison

The maximum CMNIX drawdown since its inception was -22.81%, smaller than the maximum MRJIX drawdown of -28.39%. Use the drawdown chart below to compare losses from any high point for CMNIX and MRJIX. For additional features, visit the drawdowns tool.


-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay0
-0.18%
CMNIX
MRJIX

Volatility

CMNIX vs. MRJIX - Volatility Comparison

The current volatility for Calamos Market Neutral Income Fund Institutional Class (CMNIX) is 0.97%, while Morgan Stanley Multi-Asset Real Return Portfolio (MRJIX) has a volatility of 2.08%. This indicates that CMNIX experiences smaller price fluctuations and is considered to be less risky than MRJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%December2024FebruaryMarchAprilMay
0.97%
2.08%
CMNIX
MRJIX