- ISIN
- US13162A7081
- CUSIP
- 13162A708
- Issuer
- Calvert
- Inception Date
- Jun 19, 2015
- Category
- Large Cap Value Equities
- Min. Investment
- $100,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Value
Share Price Chart
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Performance
CFJIX Performance Chart
Calvert US Large-Cap Value Responsible Index Fund (CFJIX) is up 23.3% since the beginning of the year. CFJIX is currently trading at $42 per share. Investors who bought $1,000 worth of CFJIX shares 5 years ago would now be looking at an investment worth $1,697.
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Returns By Period
Calvert US Large-Cap Value Responsible Index Fund (CFJIX) has returned 23.32% so far this year and 37.23% over the past 12 months. Over the last ten years, CFJIX has returned 12.26% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
Calvert US Large-Cap Value Responsible Index Fund
- 1D
- -0.24%
- 1M
- 0.76%
- 6M
- 18.52%
- YTD
- 23.32%
- 1Y
- 37.23%
- 3Y*
- 19.43%
- 5Y*
- 11.16%
- 10Y*
- 12.26%
- ALL TIME*
- 12.45%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
CFJIX Monthly Returns History
Based on dividend-adjusted daily data since Jan 4, 2016, CFJIX's average daily return is +0.05%, while the average monthly return is +1.09%. At this rate, an investment would double in approximately 5.3 years.
Historically, 61% of months were positive and 39% were negative. The best month was Nov 2020 with a return of +13.5%, while the worst month was Mar 2020 at -15.7%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, CFJIX closed higher 53% of trading days. The best single day was Mar 13, 2020 with a return of +9.9%, while the worst single day was Mar 16, 2020 at -11.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.05% | 2.44% | -5.72% | 9.40% | 4.03% | 5.35% | 2.35% | 23.32% | |||||
| 2025 | 5.18% | 0.30% | -4.20% | -2.47% | 4.08% | 3.92% | -0.44% | 4.23% | 1.61% | -0.25% | 2.81% | 1.29% | 16.76% |
| 2024 | -0.20% | 3.17% | 5.37% | -4.85% | 3.13% | -1.20% | 5.51% | 2.58% | 1.92% | -0.81% | 7.20% | -7.10% | 14.63% |
| 2023 | 6.27% | -2.66% | -3.82% | 0.40% | -4.32% | 7.02% | 4.08% | -3.78% | -4.07% | -3.80% | 8.63% | 6.99% | 9.86% |
| 2022 | -3.39% | -1.82% | 1.13% | -6.42% | 1.26% | -8.57% | 6.31% | -2.35% | -8.88% | 11.06% | 6.47% | -5.02% | -11.70% |
| 2021 | -0.75% | 5.96% | 6.05% | 4.13% | 2.29% | -1.76% | 0.58% | 2.55% | -3.86% | 5.01% | -3.05% | 5.59% | 24.40% |
Benchmark Metrics
Calvert US Large-Cap Value Responsible Index Fund has an annualized alpha of 0.77%, beta of 0.91, and R2 of 0.83 versus S&P 500 Index. Calculated based on daily prices since January 04, 2016.
- This fund participated in 93.22% of S&P 500 Index downside but only 92.29% of its upside - more exposed to losses than it benefited from rallies.
- With beta of 0.91 and R2 of 0.83, this fund moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 0.77%
- Beta
- 0.91
- R²
- 0.83
- Upside Capture
- 92.29%
- Downside Capture
- 93.22%
Expense Ratio
CFJIX has an expense ratio of 0.24%, which is considered low.
Return for Risk
Risk / Return Rank
CFJIX ranks 93 for risk / return — above 93% of mutual funds peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and compare them to S&P 500 Index.
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.
| CFJIX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.22 | ||
| Sortino ratioReturn per unit of downside risk | +1.80 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.25 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 3.80 | 2.00 | +1.80 |
| Martin ratioReturn relative to average drawdown | 15.34 | 8.49 | +6.85 |
Dividends
Dividend History
Calvert US Large-Cap Value Responsible Index Fund provided a 7.43% dividend yield over the last twelve months, with an annual payout of $3.14 per share. The fund has been increasing its distributions for 3 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $3.14 | $3.14 | $2.02 | $0.62 | $0.56 | $1.33 | $0.50 | $0.54 | $0.96 | $1.55 | $0.48 |
Dividend yield | 7.43% | 9.16% | 6.31% | 2.07% | 2.02% | 4.17% | 1.88% | 2.17% | 4.87% | 6.79% | 2.28% |
Monthly Dividends
The table displays the monthly dividend distributions for Calvert US Large-Cap Value Responsible Index Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.14 | $3.14 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.02 | $2.02 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.62 | $0.62 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.56 | $0.56 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.33 | $1.33 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Calvert US Large-Cap Value Responsible Index Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Calvert US Large-Cap Value Responsible Index Fund was 36.91%, occurring on Mar 23, 2020. Recovery took 162 trading sessions.
The current Calvert US Large-Cap Value Responsible Index Fund drawdown is 1.49%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-36.91%Mar 2020 | 1mo 9d | 7mo 22d | 9mo 1dFeb 2020 - Nov 2020 | COVID crash2020 |
-22.62%Sep 2022 | 8mo 20d | 1y 5mo | 2y 1moJan 2022 - Mar 2024 | Bear market2022 |
-19.99%Dec 2018 | 10mo 29d | 6mo 9d | 1y 5moJan 2018 - Jul 2019 | Rate-hike selloffLate 2018 |
-16.60%Apr 2025 | 4mo 7d | 2mo 24d | 7mo 1dDec 2024 - Jul 2025 | 2025 selloff2025 |
-9.73%Feb 2016 | 1mo 6d | 25d | 2mo 1dJan 2016 - Mar 2016 | — |
Drawdown Indicators
| CFJIX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.91% | -56.78% | +19.87% |
Max Drawdown (1Y)Largest decline over 1 year | -9.00% | -9.10% | +0.10% |
Max Drawdown (3Y)Largest decline over 3 years | -16.60% | -18.90% | +2.30% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -25.43% | +2.81% |
Max Drawdown (10Y)Largest decline over 10 years | -36.91% | -33.92% | -2.99% |
Current DrawdownCurrent decline from peak | -1.49% | -1.58% | +0.09% |
Average DrawdownAverage peak-to-trough decline | -5.03% | -10.70% | +5.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.24% | 2.14% | +0.10% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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