PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EBSIX vs. BLNDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EBSIXBLNDX
YTD Return8.44%14.51%
1Y Return4.33%16.35%
3Y Return (Ann)10.86%6.89%
Sharpe Ratio0.571.42
Sortino Ratio0.841.96
Omega Ratio1.111.26
Calmar Ratio0.491.73
Martin Ratio2.386.03
Ulcer Index2.24%2.82%
Daily Std Dev9.32%11.97%
Max Drawdown-30.10%-9.84%
Current Drawdown-2.89%-4.07%

Correlation

-0.50.00.51.00.4

The correlation between EBSIX and BLNDX is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

EBSIX vs. BLNDX - Performance Comparison

In the year-to-date period, EBSIX achieves a 8.44% return, which is significantly lower than BLNDX's 14.51% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.83%
0.66%
EBSIX
BLNDX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EBSIX vs. BLNDX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is higher than BLNDX's 1.27% expense ratio.


EBSIX
Campbell Systematic Macro Fund Class I Shares
Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
Expense ratio chart for BLNDX: current value at 1.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.27%

Risk-Adjusted Performance

EBSIX vs. BLNDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and Standpoint Multi-Asset Fund Institutional (BLNDX). 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.


EBSIX
Sharpe ratio
The chart of Sharpe ratio for EBSIX, currently valued at 0.57, compared to the broader market0.002.004.000.57
Sortino ratio
The chart of Sortino ratio for EBSIX, currently valued at 0.84, compared to the broader market0.005.0010.000.84
Omega ratio
The chart of Omega ratio for EBSIX, currently valued at 1.11, compared to the broader market1.002.003.004.001.11
Calmar ratio
The chart of Calmar ratio for EBSIX, currently valued at 0.49, compared to the broader market0.005.0010.0015.0020.000.49
Martin ratio
The chart of Martin ratio for EBSIX, currently valued at 2.38, compared to the broader market0.0020.0040.0060.0080.00100.002.38
BLNDX
Sharpe ratio
The chart of Sharpe ratio for BLNDX, currently valued at 1.42, compared to the broader market0.002.004.001.42
Sortino ratio
The chart of Sortino ratio for BLNDX, currently valued at 1.96, compared to the broader market0.005.0010.001.96
Omega ratio
The chart of Omega ratio for BLNDX, currently valued at 1.26, compared to the broader market1.002.003.004.001.26
Calmar ratio
The chart of Calmar ratio for BLNDX, currently valued at 1.73, compared to the broader market0.005.0010.0015.0020.001.73
Martin ratio
The chart of Martin ratio for BLNDX, currently valued at 6.03, compared to the broader market0.0020.0040.0060.0080.00100.006.03

EBSIX vs. BLNDX - Sharpe Ratio Comparison

The current EBSIX Sharpe Ratio is 0.57, which is lower than the BLNDX Sharpe Ratio of 1.42. The chart below compares the historical Sharpe Ratios of EBSIX and BLNDX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.57
1.42
EBSIX
BLNDX

Dividends

EBSIX vs. BLNDX - Dividend Comparison

EBSIX's dividend yield for the trailing twelve months is around 1.67%, more than BLNDX's 0.76% yield.


TTM2023202220212020201920182017201620152014
EBSIX
Campbell Systematic Macro Fund Class I Shares
1.67%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%
BLNDX
Standpoint Multi-Asset Fund Institutional
0.76%0.88%0.53%4.70%1.21%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

EBSIX vs. BLNDX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -30.10%, which is greater than BLNDX's maximum drawdown of -9.84%. Use the drawdown chart below to compare losses from any high point for EBSIX and BLNDX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.89%
-4.07%
EBSIX
BLNDX

Volatility

EBSIX vs. BLNDX - Volatility Comparison

The current volatility for Campbell Systematic Macro Fund Class I Shares (EBSIX) is 2.52%, while Standpoint Multi-Asset Fund Institutional (BLNDX) has a volatility of 3.53%. This indicates that EBSIX experiences smaller price fluctuations and is considered to be less risky than BLNDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.52%
3.53%
EBSIX
BLNDX