HLMSX vs. COIIX

Last updated Jun 26, 2026

HLMSX (Harding Loevner International Small Companies Portfolio) and COIIX (Calvert International Opportunities Fund) are both Foreign Small & Mid Cap Equities funds. Over the past 10 years, HLMSX returned 6.23%/yr vs 7.13%/yr for COIIX. Their correlation of 0.86 suggests significant overlap in exposure. HLMSX charges 1.37%/yr vs 1.06%/yr for COIIX.

Performance

HLMSX vs. COIIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Harding Loevner International Small Companies Portfolio (HLMSX) and Calvert International Opportunities Fund (COIIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, HLMSX achieves a 3.47% return, which is significantly lower than COIIX's 3.81% return. Over the past 10 years, HLMSX has underperformed COIIX with an annualized return of 6.23%, while COIIX has yielded a comparatively higher 7.13% annualized return.

HLMSX

• 1D: 0.05%
• 1M: -3.49%
• YTD: 3.47%
• 6M: 3.53%
• 1Y: 2.15%
• 3Y*: 5.42%
• 5Y*: -0.57%
• 10Y*: 6.23%

COIIX

• 1D: -0.05%
• 1M: -3.39%
• YTD: 3.81%
• 6M: 3.34%
• 1Y: 4.68%
• 3Y*: 7.77%
• 5Y*: 0.12%
• 10Y*: 7.13%

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

HLMSX vs. COIIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
HLMSX Harding Loevner International Small Companies Portfolio	3.47%	14.87%	-6.92%	11.78%	-24.50%	12.82%	18.51%	29.45%	-17.65%	34.42%
COIIX Calvert International Opportunities Fund	3.81%	13.80%	-1.48%	12.95%	-26.69%	13.97%	14.05%	26.09%	-14.57%	38.55%

Correlation

The correlation between HLMSX and COIIX is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (10Y) Calculated over the trailing 10-year period	0.89
Correlation (All Time) Calculated using the full available price history since May 31, 2007	0.86

The correlation between HLMSX and COIIX has been stable across timeframes, ranging from 0.86 to 0.92 - a consistent structural relationship.

Return for Risk

HLMSX vs. COIIX — Risk / Return Rank

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

HLMSX

HLMSX Risk / Return Rank: 5
HLMSX Sharpe Ratio Rank: 5
HLMSX Sortino Ratio Rank: 5
HLMSX Omega Ratio Rank: 5
HLMSX Calmar Ratio Rank: 5
HLMSX Martin Ratio Rank: 5

COIIX

COIIX Risk / Return Rank: 7
COIIX Sharpe Ratio Rank: 7
COIIX Sortino Ratio Rank: 6
COIIX Omega Ratio Rank: 7
COIIX Calmar Ratio Rank: 6
COIIX Martin Ratio Rank: 7

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.

HLMSX vs. COIIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Harding Loevner International Small Companies Portfolio (HLMSX) and Calvert International Opportunities Fund (COIIX). 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.

	HLMSX	COIIX	Difference
Sharpe ratio: Return per unit of total volatility	0.19	0.35	-0.16
Sortino ratio: Return per unit of downside risk	0.35	0.60	-0.25
Omega ratio: Gain probability vs. loss probability	1.04	1.07	-0.03
Calmar ratio: Return relative to maximum drawdown	0.22	0.38	-0.16
Martin ratio: Return relative to average drawdown	0.55	1.33	-0.78

HLMSX vs. COIIX - Sharpe Ratio Comparison

The current HLMSX Sharpe Ratio is 0.19, which is lower than the COIIX Sharpe Ratio of 0.35. The chart below compares the historical Sharpe Ratios of HLMSX and COIIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

HLMSX vs. COIIX - Drawdown Comparison

The maximum HLMSX drawdown since its inception was -60.77%, which is greater than COIIX's maximum drawdown of -57.27%. Use the drawdown chart below to compare losses from any high point for HLMSX and COIIX.

Drawdown Indicators

	HLMSX	COIIX	Difference
Max Drawdown Largest peak-to-trough decline	-60.77%	-57.27%	-3.50%
Max Drawdown (1Y) Largest decline over 1 year	-10.59%	-12.74%	+2.15%
Max Drawdown (3Y) Largest decline over 3 years	-16.57%	-17.12%	+0.55%
Max Drawdown (5Y) Largest decline over 5 years	-38.22%	-40.36%	+2.14%
Max Drawdown (10Y) Largest decline over 10 years	-38.22%	-40.36%	+2.14%
Current Drawdown Current decline from peak	-11.68%	-7.08%	-4.60%
Average Drawdown Average peak-to-trough decline	-13.21%	-14.95%	+1.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.27%	3.65%	+0.62%

Volatility

HLMSX vs. COIIX - Volatility Comparison

Harding Loevner International Small Companies Portfolio (HLMSX) and Calvert International Opportunities Fund (COIIX) have volatilities of 3.79% and 3.90%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	HLMSX	COIIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.79%	3.90%	-0.11%
Volatility (6M) Calculated over the trailing 6-month period	10.18%	11.40%	-1.22%
Volatility (1Y) Calculated over the trailing 1-year period	12.41%	13.88%	-1.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.10%	17.00%	-1.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.86%	16.76%	-1.90%

HLMSX vs. COIIX - Expense Ratio Comparison

HLMSX has a 1.37% expense ratio, which is higher than COIIX's 1.06% expense ratio.

Dividends

HLMSX vs. COIIX - Dividend Comparison

HLMSX's dividend yield for the trailing twelve months is around 3.90%, more than COIIX's 3.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
COIIX Calvert International Opportunities Fund	3.36%	3.49%	3.24%	1.77%	0.61%	7.67%	0.78%	1.32%	9.82%	7.19%	1.52%	4.53%
HLMSX Harding Loevner International Small Companies Portfolio	3.90%	4.04%	1.17%	1.00%	1.83%	2.82%	0.03%	0.52%	7.56%	1.13%	4.37%	1.54%

Frequently Asked Questions

Can I hold both HLMSX and COIIX in my portfolio?

With a correlation of 0.90, HLMSX and COIIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, HLMSX or COIIX?

COIIX has higher volatility (3.90%) compared to HLMSX (3.79%). In terms of maximum drawdown, HLMSX dropped -60.77% vs COIIX's -57.27%.

Which has better risk-adjusted returns?

COIIX currently has the higher Sharpe Ratio (0.35 vs 0.19), 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.