CRMEX vs. CRMSX

Last updated Jun 4, 2026

CRMEX (CRM All Cap Value Fund) and CRMSX (CRM Small Cap Value Fund) are both mutual funds - CRMEX is a Mid Cap Blend Equities fund managed by CRM, while CRMSX is a Small Cap Blend Equities fund managed by CRM. Over the past 10 years, CRMEX returned 10.16%/yr vs 8.87%/yr for CRMSX. Their correlation of 0.92 suggests significant overlap in exposure. CRMEX charges 1.34%/yr vs 1.17%/yr for CRMSX.

Performance

CRMEX vs. CRMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CRM All Cap Value Fund (CRMEX) and CRM Small Cap Value Fund (CRMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with CRMEX having a 16.69% return and CRMSX slightly lower at 16.04%. Over the past 10 years, CRMEX has outperformed CRMSX with an annualized return of 10.16%, while CRMSX has yielded a comparatively lower 8.87% annualized return.

CRMEX

• 1D: 2.40%
• 1M: 5.46%
• YTD: 16.69%
• 6M: 18.57%
• 1Y: 39.53%
• 3Y*: 17.68%
• 5Y*: 7.98%
• 10Y*: 10.16%

CRMSX

• 1D: 2.21%
• 1M: 8.33%
• YTD: 16.04%
• 6M: 15.50%
• 1Y: 30.82%
• 3Y*: 15.78%
• 5Y*: 6.78%
• 10Y*: 8.87%

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

CRMEX vs. CRMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CRMEX CRM All Cap Value Fund	16.69%	11.04%	15.55%	5.43%	-9.73%	21.44%	14.59%	22.36%	-13.87%	18.55%
CRMSX CRM Small Cap Value Fund	16.04%	2.61%	17.86%	9.71%	-6.05%	16.50%	-3.28%	25.82%	-15.48%	14.13%

Correlation

The correlation between CRMEX and CRMSX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.91
Correlation (All Time) Calculated using the full available price history since Oct 27, 2006	0.92

The correlation between CRMEX and CRMSX has been stable across timeframes, ranging from 0.91 to 0.93 - a consistent structural relationship.

Return for Risk

CRMEX vs. CRMSX — Risk / Return Rank

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

CRMEX

CRMEX Risk / Return Rank: 59
CRMEX Sharpe Ratio Rank: 55
CRMEX Sortino Ratio Rank: 51
CRMEX Omega Ratio Rank: 48
CRMEX Calmar Ratio Rank: 76
CRMEX Martin Ratio Rank: 64

CRMSX

CRMSX Risk / Return Rank: 37
CRMSX Sharpe Ratio Rank: 35
CRMSX Sortino Ratio Rank: 36
CRMSX Omega Ratio Rank: 33
CRMSX Calmar Ratio Rank: 42
CRMSX Martin Ratio Rank: 39

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.

CRMEX vs. CRMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for CRM All Cap Value Fund (CRMEX) and CRM Small Cap Value Fund (CRMSX). 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.

	CRMEX	CRMSX	Difference
Sharpe ratio Return per unit of total volatility	2.17	1.73	+0.44
Sortino ratio Return per unit of downside risk	3.02	2.52	+0.50
Omega ratio Gain probability vs. loss probability	1.38	1.30	+0.08
Calmar ratio Return relative to maximum drawdown	3.44	2.46	+0.97
Martin ratio Return relative to average drawdown	12.54	8.43	+4.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CRMEX vs. CRMSX - Sharpe Ratio Comparison

The current CRMEX Sharpe Ratio is 2.17, which is comparable to the CRMSX Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of CRMEX and CRMSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CRMEX	CRMSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.17	1.73	+0.44
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	0.34	+0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.39	+0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.46	-0.10

Drawdowns

CRMEX vs. CRMSX - Drawdown Comparison

The maximum CRMEX drawdown since its inception was -53.72%, roughly equal to the maximum CRMSX drawdown of -55.09%. Use the drawdown chart below to compare losses from any high point for CRMEX and CRMSX.

Drawdown Indicators

	CRMEX	CRMSX	Difference
Max Drawdown Largest peak-to-trough decline	-53.72%	-55.09%	+1.37%
Max Drawdown (1Y) Largest decline over 1 year	-12.20%	-13.29%	+1.09%
Max Drawdown (3Y) Largest decline over 3 years	-25.73%	-26.73%	+1.00%
Max Drawdown (5Y) Largest decline over 5 years	-25.73%	-26.73%	+1.00%
Max Drawdown (10Y) Largest decline over 10 years	-42.66%	-47.66%	+5.00%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-9.06%	-10.07%	+1.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	3.88%	-0.54%

Volatility

CRMEX vs. CRMSX - Volatility Comparison

CRM All Cap Value Fund (CRMEX) has a higher volatility of 6.61% compared to CRM Small Cap Value Fund (CRMSX) at 6.11%. This indicates that CRMEX's price experiences larger fluctuations and is considered to be riskier than CRMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CRMEX	CRMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.61%	6.11%	+0.50%
Volatility (6M) Calculated over the trailing 6-month period	15.00%	13.88%	+1.12%
Volatility (1Y) Calculated over the trailing 1-year period	19.33%	18.97%	+0.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.32%	20.28%	+0.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.57%	22.80%	-2.23%

CRMEX vs. CRMSX - Expense Ratio Comparison

CRMEX has a 1.34% expense ratio, which is higher than CRMSX's 1.17% expense ratio.

Dividends

CRMEX vs. CRMSX - Dividend Comparison

CRMEX's dividend yield for the trailing twelve months is around 8.13%, less than CRMSX's 9.23% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CRMEX CRM All Cap Value Fund	8.13%	9.49%	11.02%	1.92%	7.25%	22.91%	2.70%	6.13%	26.31%	16.83%	4.64%	29.97%
CRMSX CRM Small Cap Value Fund	9.23%	10.71%	10.29%	4.44%	16.87%	12.53%	0.46%	7.17%	12.30%	16.69%	7.54%	23.38%

Frequently Asked Questions

Can I hold both CRMEX and CRMSX in my portfolio?

With a correlation of 0.91, CRMEX and CRMSX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, CRMEX or CRMSX?

CRMEX has higher volatility (6.61%) compared to CRMSX (6.11%). In terms of maximum drawdown, CRMEX dropped -53.72% vs CRMSX's -55.09%.

Which has better risk-adjusted returns?

CRMEX currently has the higher Sharpe Ratio (2.17 vs 1.73), 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.