CRDOX vs. NTHEX

Last updated Jul 14, 2026

CRDOX (Six Circles Credit Opportunities Fund) and NTHEX (Northeast Investors Trust) are both High Yield Bonds funds. Over the past 5 years, CRDOX returned 3.14%/yr vs 4.92%/yr for NTHEX. At a 0.37 correlation, their price movements are largely independent. CRDOX charges 0.29%/yr vs 1.83%/yr for NTHEX.

Performance

CRDOX vs. NTHEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Six Circles Credit Opportunities Fund (CRDOX) and Northeast Investors Trust (NTHEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CRDOX achieves a 2.56% return, which is significantly higher than NTHEX's 1.44% return.

CRDOX

• 1D: 0.00%
• 1M: 0.41%
• 6M: 2.22%
• YTD: 2.56%
• 1Y: 7.11%
• 3Y*: 8.17%
• 5Y*: 3.14%
• 10Y*: —

NTHEX

• 1D: 0.00%
• 1M: -0.26%
• 6M: 1.18%
• YTD: 1.44%
• 1Y: 9.12%
• 3Y*: 8.18%
• 5Y*: 4.92%
• 10Y*: 3.84%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CRDOX vs. NTHEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
CRDOX Six Circles Credit Opportunities Fund	2.56%	7.48%	8.69%	8.06%	-10.62%	2.66%	1.71%
NTHEX Northeast Investors Trust	1.44%	10.27%	6.94%	10.83%	-4.89%	5.17%	0.26%

Correlation

The correlation between CRDOX and NTHEX is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.20
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.40
Correlation (All Time) Calculated using the full available price history since Nov 23, 2020	0.37

The correlation between CRDOX and NTHEX shifts across timeframes, from 0.20 (1 year) to 0.40 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

CRDOX vs. NTHEX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CRDOX

CRDOX Risk / Return Rank: 86
CRDOX Sharpe Ratio Rank: 91
CRDOX Sortino Ratio Rank: 93
CRDOX Omega Ratio Rank: 92
CRDOX Calmar Ratio Rank: 71
CRDOX Martin Ratio Rank: 82

NTHEX

NTHEX Risk / Return Rank: 79
NTHEX Sharpe Ratio Rank: 32
NTHEX Sortino Ratio Rank: 87
NTHEX Omega Ratio Rank: 92
NTHEX Calmar Ratio Rank: 96
NTHEX Martin Ratio Rank: 90

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CRDOX vs. NTHEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Six Circles Credit Opportunities Fund (CRDOX) and Northeast Investors Trust (NTHEX). 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.

	CRDOX	NTHEX	Difference
Sharpe ratio: Return per unit of total volatility	2.47	1.23	+1.24
Sortino ratio: Return per unit of downside risk	3.97	3.45	+0.52
Omega ratio: Gain probability vs. loss probability	1.59	1.58	+0.01
Calmar ratio: Return relative to maximum drawdown	2.61	5.11	-2.50
Martin ratio: Return relative to average drawdown	11.53	13.38	-1.85

CRDOX vs. NTHEX - Sharpe Ratio Comparison

The current CRDOX Sharpe Ratio is 2.47, which is higher than the NTHEX Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of CRDOX and NTHEX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CRDOX vs. NTHEX - Drawdown Comparison

The maximum CRDOX drawdown since its inception was -15.92%, smaller than the maximum NTHEX drawdown of -50.61%. Use the drawdown chart below to compare losses from any high point for CRDOX and NTHEX.

Drawdown Indicators

	CRDOX	NTHEX	Difference
Max Drawdown Largest peak-to-trough decline	-15.92%	-50.61%	+34.69%
Max Drawdown (1Y) Largest decline over 1 year	-2.70%	-1.80%	-0.90%
Max Drawdown (3Y) Largest decline over 3 years	-4.66%	-3.28%	-1.38%
Max Drawdown (5Y) Largest decline over 5 years	-15.92%	-8.13%	-7.79%
Max Drawdown (10Y) Largest decline over 10 years	—	-20.77%	—
Current Drawdown Current decline from peak	-0.22%	-0.78%	+0.56%
Average Drawdown Average peak-to-trough decline	-3.46%	-6.75%	+3.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.61%	0.68%	-0.07%

Volatility

CRDOX vs. NTHEX - Volatility Comparison

The current volatility for Six Circles Credit Opportunities Fund (CRDOX) is 0.63%, while Northeast Investors Trust (NTHEX) has a volatility of 0.81%. This indicates that CRDOX experiences smaller price fluctuations and is considered to be less risky than NTHEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CRDOX	NTHEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.63%	0.81%	-0.18%
Volatility (6M) Calculated over the trailing 6-month period	2.33%	2.39%	-0.06%
Volatility (1Y) Calculated over the trailing 1-year period	2.86%	7.49%	-4.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.15%	5.64%	-1.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.00%	5.51%	-1.51%

CRDOX vs. NTHEX - Expense Ratio Comparison

CRDOX has a 0.29% expense ratio, which is lower than NTHEX's 1.83% expense ratio.

Dividends

CRDOX vs. NTHEX - Dividend Comparison

CRDOX's dividend yield for the trailing twelve months is around 6.56%, more than NTHEX's 4.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CRDOX Six Circles Credit Opportunities Fund	6.56%	5.18%	6.96%	6.86%	5.82%	2.73%	0.33%	0.00%	0.00%	0.00%	0.00%	0.00%
NTHEX Northeast Investors Trust	4.46%	4.57%	5.63%	5.00%	2.92%	5.68%	5.91%	5.62%	5.37%	6.34%	6.43%	8.83%

Frequently Asked Questions

Can I hold both CRDOX and NTHEX in my portfolio?

CRDOX and NTHEX have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CRDOX or NTHEX?

NTHEX has higher volatility (0.81%) compared to CRDOX (0.63%). In terms of maximum drawdown, CRDOX dropped -15.92% vs NTHEX's -50.61%.

Which has better risk-adjusted returns?

CRDOX currently has the higher Sharpe Ratio (2.47 vs 1.23), 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.