DMO vs. CGO
DMO (Dimensional Multi-Asset Fund) and CGO (Calamos Global Total Return Fund) are both Global Allocation funds. Over the past 10 years, DMO returned 3.76%/yr vs 10.90%/yr for CGO. Their 0.19 correlation means their historical movements had little consistent relationship. DMO charges 0.04%/yr vs 2.86%/yr for CGO.
Performance
DMO vs. CGO - Performance Comparison
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Returns By Period
In the year-to-date period, DMO achieves a 1.66% return, which is significantly lower than CGO's 17.70% return. Over the past 10 years, DMO has underperformed CGO with an annualized return of 3.76%, while CGO has yielded a comparatively higher 10.90% annualized return.
DMO
- 1D
- 0.19%
- 1M
- -1.78%
- 6M
- 0.19%
- YTD
- 1.66%
- 1Y
- -0.24%
- 3Y*
- 11.42%
- 5Y*
- 3.64%
- 10Y*
- 3.76%
- ALL TIME*
- 8.28%
CGO
- 1D
- 0.39%
- 1M
- -4.50%
- 6M
- 8.73%
- YTD
- 17.70%
- 1Y
- 20.70%
- 3Y*
- 20.68%
- 5Y*
- 4.64%
- 10Y*
- 10.90%
- ALL TIME*
- 8.55%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $426.68K | $417.24K | $413.21K | |
| $399.37K | $416.73K | $406.81K |
DMO vs. CGO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DMO Dimensional Multi-Asset Fund | 1.66% | 6.95% | 20.24% | 16.79% | -21.64% | 17.12% | -22.32% | 9.10% | -2.04% | 23.46% |
CGO Calamos Global Total Return Fund | 17.70% | 8.87% | 36.81% | 14.03% | -36.60% | 13.04% | 20.87% | 45.08% | -26.14% | 56.67% |
Correlation
The correlation between DMO and CGO is 0.28, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.28 |
Correlation (3Y) Balances recent behavior with more history. | 0.20 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.19 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.19 |
Correlation (All Time) Calculated using the full available price history since Feb 24, 2010 | 0.19 |
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Return for Risk
DMO vs. CGO — Risk / Return Rank
DMO
CGO
DMO vs. CGO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Multi-Asset Fund (DMO) and Calamos Global Total Return Fund (CGO). 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.
| DMO | CGO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.17 | ||
| Sortino ratioReturn per unit of downside risk | -1.61 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.21 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 1.36 | -1.39 |
| Martin ratioReturn relative to average drawdown | -0.07 | 4.19 | -4.25 |
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Drawdowns
DMO vs. CGO - Drawdown Comparison
The maximum DMO drawdown since its inception was -49.16%, smaller than the maximum CGO drawdown of -60.03%. Use the drawdown chart below to compare losses from any high point for DMO and CGO.
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Drawdown Indicators
| DMO | CGO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.16% | -60.03% | +10.87% |
Max Drawdown (1Y)Largest decline over 1 year | -8.37% | -15.24% | +6.87% |
Max Drawdown (3Y)Largest decline over 3 years | -9.04% | -26.70% | +17.66% |
Max Drawdown (5Y)Largest decline over 5 years | -29.04% | -43.69% | +14.65% |
Max Drawdown (10Y)Largest decline over 10 years | -49.16% | -50.89% | +1.73% |
Current DrawdownCurrent decline from peak | -4.49% | -7.40% | +2.91% |
Average DrawdownAverage peak-to-trough decline | -9.54% | -11.51% | +1.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.60% | 4.96% | -1.36% |
Volatility
DMO vs. CGO - Volatility Comparison
The current volatility for Dimensional Multi-Asset Fund (DMO) is 1.57%, while Calamos Global Total Return Fund (CGO) has a volatility of 6.86%. This indicates that DMO experiences smaller price fluctuations and is considered to be less risky than CGO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DMO | CGO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.57% | 6.86% | -5.29% |
Volatility (6M)Calculated over the trailing 6-month period | 7.77% | 15.48% | -7.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.06% | 18.08% | -8.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.60% | 20.66% | -8.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.92% | 24.81% | -4.89% |
DMO vs. CGO - Expense Ratio Comparison
DMO has a 0.04% expense ratio, which is lower than CGO's 2.86% expense ratio.
Dividends
DMO vs. CGO - Dividend Comparison
DMO's dividend yield for the trailing twelve months is around 14.22%, more than CGO's 7.52% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CGO Calamos Global Total Return Fund | 7.52% | 8.43% | 8.43% | 10.57% | 12.68% | 7.80% | 8.18% | 8.96% | 11.81% | 7.97% | 11.40% | 10.51% |
DMO Dimensional Multi-Asset Fund | 14.22% | 14.01% | 12.92% | 11.46% | 11.51% | 8.88% | 10.95% | 9.63% | 18.93% | 13.30% | 13.19% | 14.09% |
Frequently Asked Questions
DMO and CGO have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CGO has higher volatility (6.86%) compared to DMO (1.57%). In terms of maximum drawdown, DMO dropped -49.16% vs CGO's -60.03%.
CGO currently has the higher Sharpe Ratio (1.15 vs -0.02), 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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