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Calvert US Large-Cap Growth Responsible Index Fund...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISIN

US13162A8071

CUSIP

13162A807

Issuer

Calvert Research and Management

Inception Date

Jun 19, 2015

Min. Investment

$100,000

Asset Class

Equity

Asset Class Size

Large-Cap

Asset Class Style

Growth

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
CGJIX vs. CMEUX CGJIX vs. CISIX CGJIX vs. CUTAX CGJIX vs. CISMX CGJIX vs. AWIIX CGJIX vs. CISO CGJIX vs. VOO CGJIX vs. FBGRX CGJIX vs. RGAGX CGJIX vs. FXAIX
Popular comparisons:
CGJIX vs. CMEUX CGJIX vs. CISIX CGJIX vs. CUTAX CGJIX vs. CISMX CGJIX vs. AWIIX CGJIX vs. CISO CGJIX vs. VOO CGJIX vs. FBGRX CGJIX vs. RGAGX CGJIX vs. FXAIX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Calvert US Large-Cap Growth Responsible Index Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.31%
12.53%
CGJIX (Calvert US Large-Cap Growth Responsible Index Fund)
Benchmark (^GSPC)

Returns By Period

Calvert US Large-Cap Growth Responsible Index Fund had a return of 28.02% year-to-date (YTD) and 34.61% in the last 12 months.


CGJIX

YTD

28.02%

1M

3.58%

6M

13.31%

1Y

34.61%

5Y (annualized)

17.50%

10Y (annualized)

N/A

^GSPC (Benchmark)

YTD

25.15%

1M

2.74%

6M

12.53%

1Y

30.93%

5Y (annualized)

13.79%

10Y (annualized)

11.18%

Monthly Returns

The table below presents the monthly returns of CGJIX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.07%6.00%2.29%-4.20%5.20%4.99%0.28%1.97%2.47%-0.98%28.02%
20238.02%-1.82%6.40%0.65%3.36%7.00%2.86%-0.91%-5.79%-2.44%10.71%4.90%36.66%
2022-8.62%-3.27%3.46%-11.41%-1.49%-7.91%11.46%-5.10%-9.21%6.07%5.18%-7.09%-26.84%
2021-0.57%0.96%1.47%5.94%-1.24%5.34%3.37%3.36%-5.27%8.24%-0.18%1.22%24.24%
20202.44%-6.45%-9.59%14.42%6.75%4.08%7.23%9.14%-4.07%-2.97%10.21%3.52%36.90%
20197.92%4.45%2.91%3.89%-6.57%7.40%2.21%-0.90%0.13%2.58%4.40%2.04%34.05%
20186.95%-2.35%-2.56%-0.27%4.26%0.96%3.71%5.64%0.74%-8.86%-2.20%-8.14%-3.46%
20173.67%3.83%1.05%2.48%2.33%0.22%2.10%1.30%1.28%3.15%2.62%-0.79%25.74%
2016-6.27%-0.22%6.65%-0.61%2.19%-1.35%5.06%-0.24%0.14%-3.04%1.79%0.87%4.45%
2015-1.90%3.67%-6.05%-2.83%8.67%0.30%-2.04%-0.86%

Expense Ratio

CGJIX has an expense ratio of 0.24%, which is considered low compared to other funds.


Expense ratio chart for CGJIX: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of CGJIX is 75, suggesting that the investment has average results relative to other mutual funds in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of CGJIX is 7575
Combined Rank
The Sharpe Ratio Rank of CGJIX is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of CGJIX is 6767
Sortino Ratio Rank
The Omega Ratio Rank of CGJIX is 7070
Omega Ratio Rank
The Calmar Ratio Rank of CGJIX is 8686
Calmar Ratio Rank
The Martin Ratio Rank of CGJIX is 7575
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for CGJIX, currently valued at 2.34, compared to the broader market-1.000.001.002.003.004.005.002.342.53
The chart of Sortino ratio for CGJIX, currently valued at 3.07, compared to the broader market0.005.0010.003.073.39
The chart of Omega ratio for CGJIX, currently valued at 1.43, compared to the broader market1.002.003.004.001.431.47
The chart of Calmar ratio for CGJIX, currently valued at 3.31, compared to the broader market0.005.0010.0015.0020.003.313.65
The chart of Martin ratio for CGJIX, currently valued at 13.98, compared to the broader market0.0020.0040.0060.0080.00100.0013.9816.21
CGJIX
^GSPC

The current Calvert US Large-Cap Growth Responsible Index Fund Sharpe ratio is 2.34. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Calvert US Large-Cap Growth Responsible Index Fund with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.34
2.53
CGJIX (Calvert US Large-Cap Growth Responsible Index Fund)
Benchmark (^GSPC)

Dividends

Dividend History

Calvert US Large-Cap Growth Responsible Index Fund provided a 0.41% dividend yield over the last twelve months, with an annual payout of $0.29 per share.


0.20%0.40%0.60%0.80%1.00%1.20%$0.00$0.05$0.10$0.15$0.20$0.25$0.30201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM202320222021202020192018201720162015
Dividend$0.29$0.29$0.20$0.22$0.22$0.24$0.25$0.22$0.23$0.06

Dividend yield

0.41%0.53%0.51%0.39%0.51%0.74%1.02%0.87%1.14%0.29%

Monthly Dividends

The table displays the monthly dividend distributions for Calvert US Large-Cap Growth Responsible Index Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2023$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.29$0.29
2022$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.20$0.20
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.22$0.22
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.22$0.22
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.24$0.24
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.25$0.00$0.25
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.22$0.22
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.23$0.23
2015$0.06$0.06

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.80%
-0.53%
CGJIX (Calvert US Large-Cap Growth Responsible Index Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Calvert US Large-Cap Growth 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 Growth Responsible Index Fund was 31.73%, occurring on Oct 14, 2022. Recovery took 316 trading sessions.

The current Calvert US Large-Cap Growth Responsible Index Fund drawdown is 0.80%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.73%Nov 22, 2021226Oct 14, 2022316Jan 19, 2024542
-30.8%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-24%Oct 2, 201858Dec 24, 2018130Jul 2, 2019188
-15.04%Jul 21, 2015143Feb 11, 2016106Jul 14, 2016249
-10.44%Jul 17, 202416Aug 7, 202433Sep 24, 202449

Volatility

Volatility Chart

The current Calvert US Large-Cap Growth Responsible Index Fund volatility is 4.60%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.60%
3.97%
CGJIX (Calvert US Large-Cap Growth Responsible Index Fund)
Benchmark (^GSPC)