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EBSIX vs. PRWCX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EBSIX vs. PRWCX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class I Shares (EBSIX) and T. Rowe Price Capital Appreciation Fund (PRWCX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
-0.42%
7.54%
EBSIX
PRWCX

Returns By Period

In the year-to-date period, EBSIX achieves a 5.22% return, which is significantly lower than PRWCX's 13.54% return. Over the past 10 years, EBSIX has underperformed PRWCX with an annualized return of 4.23%, while PRWCX has yielded a comparatively higher 10.64% annualized return.


EBSIX

YTD

5.22%

1M

-2.87%

6M

-0.42%

1Y

2.38%

5Y (annualized)

8.36%

10Y (annualized)

4.23%

PRWCX

YTD

13.54%

1M

0.13%

6M

6.83%

1Y

19.29%

5Y (annualized)

11.29%

10Y (annualized)

10.64%

Key characteristics


EBSIXPRWCX
Sharpe Ratio0.272.56
Sortino Ratio0.423.53
Omega Ratio1.061.48
Calmar Ratio0.245.79
Martin Ratio1.1720.33
Ulcer Index2.22%0.95%
Daily Std Dev9.75%7.55%
Max Drawdown-30.10%-41.77%
Current Drawdown-5.77%-1.13%

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EBSIX vs. PRWCX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is higher than PRWCX's 0.68% 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 PRWCX: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%

Correlation

-0.50.00.51.00.0

The correlation between EBSIX and PRWCX is 0.04, 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.

Risk-Adjusted Performance

EBSIX vs. PRWCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and T. Rowe Price Capital Appreciation Fund (PRWCX). 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.


Sharpe ratio
The chart of Sharpe ratio for EBSIX, currently valued at 0.27, compared to the broader market-1.000.001.002.003.004.005.000.272.56
The chart of Sortino ratio for EBSIX, currently valued at 0.42, compared to the broader market0.005.0010.000.423.53
The chart of Omega ratio for EBSIX, currently valued at 1.06, compared to the broader market1.002.003.004.001.061.48
The chart of Calmar ratio for EBSIX, currently valued at 0.24, compared to the broader market0.005.0010.0015.0020.000.245.79
The chart of Martin ratio for EBSIX, currently valued at 1.17, compared to the broader market0.0020.0040.0060.0080.00100.001.1720.28
EBSIX
PRWCX

The current EBSIX Sharpe Ratio is 0.27, which is lower than the PRWCX Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of EBSIX and PRWCX, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.27
2.56
EBSIX
PRWCX

Dividends

EBSIX vs. PRWCX - Dividend Comparison

EBSIX has not paid dividends to shareholders, while PRWCX's dividend yield for the trailing twelve months is around 1.86%.


TTM20232022202120202019201820172016201520142013
EBSIX
Campbell Systematic Macro Fund Class I Shares
0.00%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%0.00%
PRWCX
T. Rowe Price Capital Appreciation Fund
1.86%2.11%1.57%0.95%1.17%1.54%2.53%1.31%1.57%1.52%1.42%1.13%

Drawdowns

EBSIX vs. PRWCX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -30.10%, smaller than the maximum PRWCX drawdown of -41.77%. Use the drawdown chart below to compare losses from any high point for EBSIX and PRWCX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.77%
-1.13%
EBSIX
PRWCX

Volatility

EBSIX vs. PRWCX - Volatility Comparison

Campbell Systematic Macro Fund Class I Shares (EBSIX) has a higher volatility of 4.05% compared to T. Rowe Price Capital Appreciation Fund (PRWCX) at 2.59%. This indicates that EBSIX's price experiences larger fluctuations and is considered to be riskier than PRWCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JuneJulyAugustSeptemberOctoberNovember
4.05%
2.59%
EBSIX
PRWCX