CMUVX vs. HEQ
CMUVX (Catholic Responsible Investments Magnus 75/25 Fund) and HEQ (John Hancock Diversified Income Fund) are both Diversified Portfolio funds. Over the past 3 years, CMUVX returned 15.12%/yr vs 12.97%/yr for HEQ. Their 0.56 correlation means they have sometimes moved together and sometimes differently. CMUVX charges 0.15%/yr vs 0.01%/yr for HEQ.
Performance
CMUVX vs. HEQ - Performance Comparison
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Returns By Period
In the year-to-date period, CMUVX achieves a 10.84% return, which is significantly lower than HEQ's 12.03% return.
CMUVX
- 1D
- 1.21%
- 1M
- 1.31%
- 6M
- 8.91%
- YTD
- 10.84%
- 1Y
- 17.90%
- 3Y*
- 15.12%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.51%
HEQ
- 1D
- 0.09%
- 1M
- 0.35%
- 6M
- 7.72%
- YTD
- 12.03%
- 1Y
- 20.70%
- 3Y*
- 12.97%
- 5Y*
- 6.84%
- 10Y*
- 7.26%
- ALL TIME*
- 5.87%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $232.40K | $274.12K | $353.73K |
CMUVX vs. HEQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
CMUVX Catholic Responsible Investments Magnus 75/25 Fund | 10.84% | 14.69% | 13.39% | 19.07% | -17.54% | 3.47% |
HEQ John Hancock Diversified Income Fund | 12.03% | 15.64% | 11.70% | -3.14% | -3.08% | 2.05% |
Correlation
The correlation between CMUVX and HEQ is 0.55, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.55 |
Correlation (3Y) Balances recent behavior with more history. | 0.63 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2021 | 0.56 |
The correlation between CMUVX and HEQ has been stable across timeframes, ranging from 0.55 to 0.63 - a consistent structural relationship.
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Return for Risk
CMUVX vs. HEQ — Risk / Return Rank
CMUVX
HEQ
CMUVX vs. HEQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Catholic Responsible Investments Magnus 75/25 Fund (CMUVX) and John Hancock Diversified Income Fund (HEQ). 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.
| CMUVX | HEQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.18 | ||
| Sortino ratioReturn per unit of downside risk | -0.39 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.34 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.34 | 3.01 | -0.67 |
| Martin ratioReturn relative to average drawdown | 9.84 | 11.55 | -1.71 |
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Drawdowns
CMUVX vs. HEQ - Drawdown Comparison
The maximum CMUVX drawdown since its inception was -23.51%, smaller than the maximum HEQ drawdown of -44.38%. Use the drawdown chart below to compare losses from any high point for CMUVX and HEQ.
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Drawdown Indicators
| CMUVX | HEQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.51% | -44.38% | +20.87% |
Max Drawdown (1Y)Largest decline over 1 year | -7.59% | -6.92% | -0.67% |
Max Drawdown (3Y)Largest decline over 3 years | -14.12% | -13.41% | -0.71% |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.37% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -44.38% | — |
Current DrawdownCurrent decline from peak | 0.00% | -1.22% | +1.22% |
Average DrawdownAverage peak-to-trough decline | -6.08% | -8.50% | +2.42% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 1.80% | 0.00% |
Volatility
CMUVX vs. HEQ - Volatility Comparison
Catholic Responsible Investments Magnus 75/25 Fund (CMUVX) and John Hancock Diversified Income Fund (HEQ) have volatilities of 3.38% and 3.40%, 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.
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Volatility by Period
| CMUVX | HEQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.38% | 3.40% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 8.78% | 9.80% | -1.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.69% | 11.26% | -0.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.14% | 16.39% | -3.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.14% | 18.81% | -5.67% |
CMUVX vs. HEQ - Expense Ratio Comparison
CMUVX has a 0.15% expense ratio, which is higher than HEQ's 0.02% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
CMUVX vs. HEQ - Dividend Comparison
CMUVX's dividend yield for the trailing twelve months is around 32.61%, more than HEQ's 8.68% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMUVX Catholic Responsible Investments Magnus 75/25 Fund | 32.61% | 36.14% | 2.54% | 2.03% | 2.47% | 0.06% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
HEQ John Hancock Diversified Income Fund | 8.68% | 9.30% | 9.79% | 10.75% | 10.09% | 8.92% | 11.64% | 10.09% | 11.50% | 10.44% | 9.57% | 10.40% |
Frequently Asked Questions
CMUVX and HEQ have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HEQ has higher volatility (3.40%) compared to CMUVX (3.38%). In terms of maximum drawdown, CMUVX dropped -23.51% vs HEQ's -44.38%.
HEQ currently has the higher Sharpe Ratio (1.85 vs 1.67), 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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