CWSGX vs. ETMGX

Last updated Jun 5, 2026

CWSGX (Chartwell Small Cap Growth Fund) and ETMGX (Eaton Vance Tax-Managed Small-Cap Fund) are both Small Cap Growth Equities funds. Over the past 5 years, CWSGX returned 12.24%/yr vs 0.82%/yr for ETMGX. Their correlation of 0.83 suggests significant overlap in exposure. CWSGX charges 1.05%/yr vs 1.11%/yr for ETMGX.

Performance

CWSGX vs. ETMGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Chartwell Small Cap Growth Fund (CWSGX) and Eaton Vance Tax-Managed Small-Cap Fund (ETMGX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CWSGX achieves a 28.98% return, which is significantly higher than ETMGX's 1.62% return.

CWSGX

• 1D: 0.28%
• 1M: 5.49%
• YTD: 28.98%
• 6M: 26.40%
• 1Y: 57.44%
• 3Y*: 30.61%
• 5Y*: 12.24%
• 10Y*: —

ETMGX

• 1D: -0.42%
• 1M: -1.63%
• YTD: 1.62%
• 6M: 0.06%
• 1Y: -1.73%
• 3Y*: 3.48%
• 5Y*: 0.82%
• 10Y*: 7.56%

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

CWSGX vs. ETMGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CWSGX Chartwell Small Cap Growth Fund	28.98%	14.77%	35.94%	22.41%	-30.85%	15.83%	42.56%	27.38%	-8.37%	11.08%
ETMGX Eaton Vance Tax-Managed Small-Cap Fund	1.62%	-6.63%	11.43%	11.06%	-16.53%	20.91%	12.33%	27.32%	-5.86%	9.98%

Correlation

The correlation between CWSGX and ETMGX is 0.67, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.67
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (All Time) Calculated using the full available price history since Jun 23, 2017	0.83

The correlation between CWSGX and ETMGX shifts across timeframes, from 0.67 (1 year) to 0.83 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CWSGX vs. ETMGX — Risk / Return Rank

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

CWSGX

CWSGX Risk / Return Rank: 75
CWSGX Sharpe Ratio Rank: 76
CWSGX Sortino Ratio Rank: 60
CWSGX Omega Ratio Rank: 57
CWSGX Calmar Ratio Rank: 91
CWSGX Martin Ratio Rank: 92

ETMGX

ETMGX Risk / Return Rank: 2
ETMGX Sharpe Ratio Rank: 2
ETMGX Sortino Ratio Rank: 2
ETMGX Omega Ratio Rank: 2
ETMGX Calmar Ratio Rank: 2
ETMGX Martin Ratio Rank: 2

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.

CWSGX vs. ETMGX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Chartwell Small Cap Growth Fund (CWSGX) and Eaton Vance Tax-Managed Small-Cap Fund (ETMGX). 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.

	CWSGX	ETMGX	Difference
Sharpe ratio: Return per unit of total volatility	2.51	-0.13	+2.64
Sortino ratio: Return per unit of downside risk	3.23	-0.08	+3.31
Omega ratio: Gain probability vs. loss probability	1.41	0.99	+0.42
Calmar ratio: Return relative to maximum drawdown	4.81	-0.16	+4.98
Martin ratio: Return relative to average drawdown	19.40	-0.36	+19.77
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CWSGX vs. ETMGX - Sharpe Ratio Comparison

The current CWSGX Sharpe Ratio is 2.51, which is higher than the ETMGX Sharpe Ratio of -0.13. The chart below compares the historical Sharpe Ratios of CWSGX and ETMGX, 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

	CWSGX	ETMGX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.51	-0.13	+2.64
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.51	0.04	+0.47
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.38	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.47	+0.17

Drawdowns

CWSGX vs. ETMGX - Drawdown Comparison

The maximum CWSGX drawdown since its inception was -37.29%, roughly equal to the maximum ETMGX drawdown of -37.02%. Use the drawdown chart below to compare losses from any high point for CWSGX and ETMGX.

Drawdown Indicators

	CWSGX	ETMGX	Difference
Max Drawdown Largest peak-to-trough decline	-37.29%	-37.02%	-0.27%
Max Drawdown (1Y) Largest decline over 1 year	-11.97%	-13.14%	+1.17%
Max Drawdown (3Y) Largest decline over 3 years	-27.80%	-22.28%	-5.52%
Max Drawdown (5Y) Largest decline over 5 years	-37.29%	-25.14%	-12.15%
Max Drawdown (10Y) Largest decline over 10 years	—	-37.02%	—
Current Drawdown Current decline from peak	0.00%	-12.90%	+12.90%
Average Drawdown Average peak-to-trough decline	-11.21%	-6.58%	-4.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.96%	5.85%	-2.89%

Volatility

CWSGX vs. ETMGX - Volatility Comparison

Chartwell Small Cap Growth Fund (CWSGX) has a higher volatility of 8.39% compared to Eaton Vance Tax-Managed Small-Cap Fund (ETMGX) at 4.45%. This indicates that CWSGX's price experiences larger fluctuations and is considered to be riskier than ETMGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CWSGX	ETMGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.39%	4.45%	+3.94%
Volatility (6M) Calculated over the trailing 6-month period	17.96%	11.19%	+6.77%
Volatility (1Y) Calculated over the trailing 1-year period	23.01%	16.08%	+6.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.17%	18.75%	+5.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	24.15%	19.92%	+4.23%

CWSGX vs. ETMGX - Expense Ratio Comparison

CWSGX has a 1.05% expense ratio, which is lower than ETMGX's 1.11% expense ratio.

Dividends

CWSGX vs. ETMGX - Dividend Comparison

CWSGX's dividend yield for the trailing twelve months is around 0.68%, less than ETMGX's 6.93% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CWSGX Chartwell Small Cap Growth Fund	0.68%	0.87%	6.44%	0.00%	4.78%	21.74%	6.70%	0.03%	0.45%	0.02%	0.00%	0.00%
ETMGX Eaton Vance Tax-Managed Small-Cap Fund	6.93%	7.04%	2.85%	1.36%	2.80%	8.28%	0.09%	6.50%	7.75%	11.87%	6.00%	5.50%

Frequently Asked Questions

Can I hold both CWSGX and ETMGX in my portfolio?

CWSGX and ETMGX have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CWSGX or ETMGX?

CWSGX has higher volatility (8.39%) compared to ETMGX (4.45%). In terms of maximum drawdown, CWSGX dropped -37.29% vs ETMGX's -37.02%.

Which has better risk-adjusted returns?

CWSGX currently has the higher Sharpe Ratio (2.51 vs -0.13), 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.