EBSAX vs. JDJIX

Last updated Apr 1, 2026

Compare and contrast key facts about Campbell Systematic Macro Fund Class A Shares (EBSAX) and JHancock Diversified Macro Fund (JDJIX).

EBSAX is managed by Campbell & Company. It was launched on Mar 4, 2013. JDJIX is managed by John Hancock. It was launched on Jul 28, 2019.

Performance

EBSAX vs. JDJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class A Shares (EBSAX) and JHancock Diversified Macro Fund (JDJIX). The values are adjusted to include any dividend payments, if applicable.

EBSAX vs. JDJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
EBSAX Campbell Systematic Macro Fund Class A Shares	7.79%	-1.34%	11.28%	-2.11%	30.56%	8.90%	4.88%
JDJIX JHancock Diversified Macro Fund	4.93%	-7.68%	2.59%	2.77%	12.26%	-2.19%	3.14%

Returns By Period

In the year-to-date period, EBSAX achieves a 7.79% return, which is significantly higher than JDJIX's 4.93% return.

EBSAX

• 1D: 0.10%
• 1M: 3.00%
• YTD: 7.79%
• 6M: 4.61%
• 1Y: 0.91%
• 3Y*: 3.76%
• 5Y*: 9.34%
• 10Y*: —

JDJIX

• 1D: 0.23%
• 1M: -2.46%
• YTD: 4.93%
• 6M: 2.06%
• 1Y: -4.81%
• 3Y*: 0.41%
• 5Y*: 2.58%
• 10Y*: —

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

EBSAX vs. JDJIX - Expense Ratio Comparison

EBSAX has a 2.00% expense ratio, which is higher than JDJIX's 1.39% expense ratio.

EBSAX

Campbell Systematic Macro Fund Class A Shares

JDJIX

JHancock Diversified Macro Fund

Return for Risk

EBSAX vs. JDJIX — Risk / Return Rank

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

EBSAX

EBSAX Risk / Return Rank: 8
EBSAX Sharpe Ratio Rank: 8
EBSAX Sortino Ratio Rank: 7
EBSAX Omega Ratio Rank: 7
EBSAX Calmar Ratio Rank: 10
EBSAX Martin Ratio Rank: 8

JDJIX

JDJIX Risk / Return Rank: 2
JDJIX Sharpe Ratio Rank: 1
JDJIX Sortino Ratio Rank: 1
JDJIX Omega Ratio Rank: 1
JDJIX Calmar Ratio Rank: 2
JDJIX Martin Ratio Rank: 4

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.

EBSAX vs. JDJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class A Shares (EBSAX) and JHancock Diversified Macro Fund (JDJIX). 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.

	EBSAX	JDJIX	Difference
Sharpe ratio Return per unit of total volatility	0.18	-0.52	+0.70
Sortino ratio Return per unit of downside risk	0.30	-0.61	+0.91
Omega ratio Gain probability vs. loss probability	1.04	0.91	+0.12
Calmar ratio Return relative to maximum drawdown	0.20	-0.40	+0.60
Martin ratio Return relative to average drawdown	0.33	-0.59	+0.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EBSAX vs. JDJIX - Sharpe Ratio Comparison

The current EBSAX Sharpe Ratio is 0.18, which is higher than the JDJIX Sharpe Ratio of -0.52. The chart below compares the historical Sharpe Ratios of EBSAX and JDJIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	EBSAX	JDJIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.18	-0.52	+0.70
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.98	0.29	+0.68
Sharpe Ratio (All Time) Calculated using the full available price history	1.12	0.18	+0.94

Correlation

The correlation between EBSAX and JDJIX is 0.51, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

EBSAX vs. JDJIX - Dividend Comparison

EBSAX's dividend yield for the trailing twelve months is around 2.78%, more than JDJIX's 0.29% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019
EBSAX Campbell Systematic Macro Fund Class A Shares	2.78%	3.00%	2.59%	1.45%	15.15%	7.02%	0.00%	0.00%
JDJIX JHancock Diversified Macro Fund	0.29%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%

Drawdowns

EBSAX vs. JDJIX - Drawdown Comparison

The maximum EBSAX drawdown since its inception was -11.15%, smaller than the maximum JDJIX drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for EBSAX and JDJIX.

Drawdown Indicators

	EBSAX	JDJIX	Difference
Max Drawdown Largest peak-to-trough decline	-11.15%	-19.58%	+8.43%
Max Drawdown (1Y) Largest decline over 1 year	-7.59%	-10.53%	+2.94%
Max Drawdown (5Y) Largest decline over 5 years	-11.15%	-19.58%	+8.43%
Current Drawdown Current decline from peak	0.00%	-14.53%	+14.53%
Average Drawdown Average peak-to-trough decline	-3.23%	-7.27%	+4.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.55%	7.10%	-2.55%

Volatility

EBSAX vs. JDJIX - Volatility Comparison

Campbell Systematic Macro Fund Class A Shares (EBSAX) has a higher volatility of 3.09% compared to JHancock Diversified Macro Fund (JDJIX) at 1.66%. This indicates that EBSAX's price experiences larger fluctuations and is considered to be riskier than JDJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EBSAX	JDJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.09%	1.66%	+1.43%
Volatility (6M) Calculated over the trailing 6-month period	6.29%	4.94%	+1.35%
Volatility (1Y) Calculated over the trailing 1-year period	8.64%	8.30%	+0.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.61%	8.90%	+0.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.53%	9.20%	+0.33%