JHEQX vs. CMNIX
Compare and contrast key facts about JPMorgan Hedged Equity Fund Class I (JHEQX) and Calamos Market Neutral Income Fund Institutional Class (CMNIX).
JHEQX is managed by JPMorgan Chase. It was launched on Dec 13, 2013. CMNIX is managed by Calamos. It was launched on May 10, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: JHEQX or CMNIX.
Performance
JHEQX vs. CMNIX - Performance Comparison
Returns By Period
In the year-to-date period, JHEQX achieves a 19.13% return, which is significantly higher than CMNIX's 6.85% return. Over the past 10 years, JHEQX has outperformed CMNIX with an annualized return of 8.62%, while CMNIX has yielded a comparatively lower 2.78% annualized return.
JHEQX
19.13%
0.97%
11.59%
20.50%
10.82%
8.62%
CMNIX
6.85%
0.33%
3.95%
4.20%
3.72%
2.78%
Key characteristics
| JHEQX | CMNIX | |
|---|---|---|
| Sharpe Ratio | 2.68 | 1.07 |
| Sortino Ratio | 3.76 | 1.17 |
| Omega Ratio | 1.57 | 1.41 |
| Calmar Ratio | 4.29 | 1.23 |
| Martin Ratio | 19.08 | 2.85 |
| Ulcer Index | 1.09% | 1.50% |
| Daily Std Dev | 7.75% | 4.00% |
| Max Drawdown | -18.85% | -22.81% |
| Current Drawdown | -0.68% | -0.07% |
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JHEQX vs. CMNIX - Expense Ratio Comparison
JHEQX has a 0.58% expense ratio, which is lower than CMNIX's 0.90% expense ratio.
Correlation
The correlation between JHEQX and CMNIX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
JHEQX vs. CMNIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for JPMorgan Hedged Equity Fund Class I (JHEQX) and Calamos Market Neutral Income Fund Institutional Class (CMNIX). 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.
Dividends
JHEQX vs. CMNIX - Dividend Comparison
JHEQX's dividend yield for the trailing twelve months is around 0.77%, less than CMNIX's 2.12% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
JHEQX JPMorgan Hedged Equity Fund Class I | 0.77% | 0.98% | 0.98% | 0.71% | 1.11% | 1.11% | 1.13% | 0.99% | 1.35% | 1.22% | 1.07% | 0.00% |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 2.12% | 2.31% | 1.02% | 0.46% | 0.90% | 1.56% | 1.78% | 1.40% | 1.41% | 1.35% | 1.22% | 1.55% |
Drawdowns
JHEQX vs. CMNIX - Drawdown Comparison
The maximum JHEQX drawdown since its inception was -18.85%, smaller than the maximum CMNIX drawdown of -22.81%. Use the drawdown chart below to compare losses from any high point for JHEQX and CMNIX. For additional features, visit the drawdowns tool.
Volatility
JHEQX vs. CMNIX - Volatility Comparison
JPMorgan Hedged Equity Fund Class I (JHEQX) has a higher volatility of 2.48% compared to Calamos Market Neutral Income Fund Institutional Class (CMNIX) at 0.53%. This indicates that JHEQX's price experiences larger fluctuations and is considered to be riskier than CMNIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.