ICMUX vs. CGMS

Last updated Jun 23, 2026

ICMUX (Intrepid Income Fund) and CGMS (Capital Group U.S. Multi-Sector Income ETF) are both Multisector Bonds funds. Over the past 3 years, ICMUX returned 9.67%/yr vs 7.98%/yr for CGMS. At a 0.49 correlation, their price movements are largely independent. ICMUX charges 0.91%/yr vs 0.39%/yr for CGMS.

Performance

ICMUX vs. CGMS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Intrepid Income Fund (ICMUX) and Capital Group U.S. Multi-Sector Income ETF (CGMS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ICMUX achieves a 2.32% return, which is significantly higher than CGMS's 1.51% return.

ICMUX

• 1D: 0.00%
• 1M: 0.25%
• YTD: 2.32%
• 6M: 2.70%
• 1Y: 7.67%
• 3Y*: 9.67%
• 5Y*: 6.25%
• 10Y*: 5.83%

CGMS

• 1D: -0.22%
• 1M: 0.34%
• YTD: 1.51%
• 6M: 1.68%
• 1Y: 6.08%
• 3Y*: 7.98%
• 5Y*: —
• 10Y*: —

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

ICMUX vs. CGMS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
ICMUX Intrepid Income Fund	2.32%	8.16%	10.43%	10.90%	1.57%
CGMS Capital Group U.S. Multi-Sector Income ETF	1.51%	7.52%	7.24%	11.51%	2.77%

Correlation

The correlation between ICMUX and CGMS is 0.52, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (All Time) Calculated using the full available price history since Oct 27, 2022	0.49

The correlation between ICMUX and CGMS has been stable across timeframes, ranging from 0.49 to 0.53 - a consistent structural relationship.

Return for Risk

ICMUX vs. CGMS — Risk / Return Rank

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

ICMUX

ICMUX Risk / Return Rank: 97
ICMUX Sharpe Ratio Rank: 99
ICMUX Sortino Ratio Rank: 98
ICMUX Omega Ratio Rank: 98
ICMUX Calmar Ratio Rank: 96
ICMUX Martin Ratio Rank: 95

CGMS

CGMS Risk / Return Rank: 55
CGMS Sharpe Ratio Rank: 53
CGMS Sortino Ratio Rank: 57
CGMS Omega Ratio Rank: 54
CGMS Calmar Ratio Rank: 51
CGMS Martin Ratio Rank: 63

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.

ICMUX vs. CGMS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Intrepid Income Fund (ICMUX) and Capital Group U.S. Multi-Sector Income ETF (CGMS). 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.

	ICMUX	CGMS	Difference
Sharpe ratio: Return per unit of total volatility	4.09	1.74	+2.35
Sortino ratio: Return per unit of downside risk	6.83	2.62	+4.20
Omega ratio: Gain probability vs. loss probability	2.04	1.33	+0.72
Calmar ratio: Return relative to maximum drawdown	5.92	2.47	+3.45
Martin ratio: Return relative to average drawdown	20.66	10.95	+9.71

ICMUX vs. CGMS - Sharpe Ratio Comparison

The current ICMUX Sharpe Ratio is 4.09, which is higher than the CGMS Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of ICMUX and CGMS, 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

ICMUX vs. CGMS - Drawdown Comparison

The maximum ICMUX drawdown since its inception was -8.77%, which is greater than CGMS's maximum drawdown of -4.08%. Use the drawdown chart below to compare losses from any high point for ICMUX and CGMS.

Drawdown Indicators

	ICMUX	CGMS	Difference
Max Drawdown Largest peak-to-trough decline	-8.77%	-4.08%	-4.69%
Max Drawdown (1Y) Largest decline over 1 year	-1.34%	-2.47%	+1.13%
Max Drawdown (3Y) Largest decline over 3 years	-3.11%	-4.08%	+0.97%
Max Drawdown (5Y) Largest decline over 5 years	-5.64%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-8.77%	—	—
Current Drawdown Current decline from peak	-0.11%	-0.44%	+0.33%
Average Drawdown Average peak-to-trough decline	-0.74%	-0.66%	-0.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.38%	0.56%	-0.18%

Volatility

ICMUX vs. CGMS - Volatility Comparison

The current volatility for Intrepid Income Fund (ICMUX) is 0.55%, while Capital Group U.S. Multi-Sector Income ETF (CGMS) has a volatility of 1.12%. This indicates that ICMUX experiences smaller price fluctuations and is considered to be less risky than CGMS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ICMUX	CGMS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.55%	1.12%	-0.57%
Volatility (6M) Calculated over the trailing 6-month period	1.43%	2.79%	-1.36%
Volatility (1Y) Calculated over the trailing 1-year period	1.94%	3.51%	-1.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.66%	5.12%	-2.46%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.58%	5.12%	-2.54%

ICMUX vs. CGMS - Expense Ratio Comparison

ICMUX has a 0.91% expense ratio, which is higher than CGMS's 0.39% expense ratio.

Dividends

ICMUX vs. CGMS - Dividend Comparison

ICMUX's dividend yield for the trailing twelve months is around 7.55%, more than CGMS's 6.10% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CGMS Capital Group U.S. Multi-Sector Income ETF	6.10%	6.00%	5.91%	5.84%	0.97%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ICMUX Intrepid Income Fund	7.55%	7.96%	7.85%	9.10%	8.17%	5.99%	5.56%	3.35%	3.07%	2.86%	3.01%	3.53%

Frequently Asked Questions

Can I hold both ICMUX and CGMS in my portfolio?

ICMUX and CGMS have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ICMUX or CGMS?

CGMS has higher volatility (1.12%) compared to ICMUX (0.55%). In terms of maximum drawdown, ICMUX dropped -8.77% vs CGMS's -4.08%.

Which has better risk-adjusted returns?

ICMUX currently has the higher Sharpe Ratio (4.09 vs 1.74), 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.