CFJIX vs. CFAIX
Compare and contrast key facts about Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Calvert Conservative Allocation Fund Class I (CFAIX).
CFJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015. CFAIX is managed by Calvert Research and Management. It was launched on May 20, 2016.
Performance
CFJIX vs. CFAIX - Performance Comparison
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CFJIX vs. CFAIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | -1.87% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 29.36% | -10.08% | 14.15% |
CFAIX Calvert Conservative Allocation Fund Class I | -2.69% | 10.50% | 6.65% | 10.34% | -14.13% | 7.92% | 12.51% | 15.89% | -2.54% | 8.20% |
Returns By Period
In the year-to-date period, CFJIX achieves a -1.87% return, which is significantly higher than CFAIX's -2.69% return.
CFJIX
- 1D
- -0.33%
- 1M
- -7.93%
- YTD
- -1.87%
- 6M
- 1.93%
- 1Y
- 13.38%
- 3Y*
- 13.19%
- 5Y*
- 7.28%
- 10Y*
- 10.34%
CFAIX
- 1D
- 0.27%
- 1M
- -4.75%
- YTD
- -2.69%
- 6M
- -0.88%
- 1Y
- 6.39%
- 3Y*
- 6.65%
- 5Y*
- 2.99%
- 10Y*
- —
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CFJIX vs. CFAIX - Expense Ratio Comparison
CFJIX has a 0.24% expense ratio, which is lower than CFAIX's 0.66% expense ratio.
Return for Risk
CFJIX vs. CFAIX — Risk / Return Rank
CFJIX
CFAIX
CFJIX vs. CFAIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Calvert Conservative Allocation Fund Class I (CFAIX). 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.
| CFJIX | CFAIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.88 | 0.98 | -0.10 |
Sortino ratioReturn per unit of downside risk | 1.31 | 1.38 | -0.06 |
Omega ratioGain probability vs. loss probability | 1.18 | 1.19 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.09 | 1.22 | -0.13 |
Martin ratioReturn relative to average drawdown | 4.50 | 4.96 | -0.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CFJIX | CFAIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.88 | 0.98 | -0.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 0.43 | +0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.58 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.77 | -0.19 |
Correlation
The correlation between CFJIX and CFAIX is 0.75, 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.
Dividends
CFJIX vs. CFAIX - Dividend Comparison
CFJIX's dividend yield for the trailing twelve months is around 9.33%, more than CFAIX's 3.62% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 9.33% | 9.16% | 6.31% | 2.07% | 2.02% | 4.17% | 1.88% | 2.17% | 4.87% | 6.79% | 2.28% |
CFAIX Calvert Conservative Allocation Fund Class I | 3.62% | 3.56% | 3.62% | 3.48% | 2.48% | 5.55% | 4.39% | 4.38% | 5.10% | 2.39% | 0.00% |
Drawdowns
CFJIX vs. CFAIX - Drawdown Comparison
The maximum CFJIX drawdown since its inception was -36.91%, which is greater than CFAIX's maximum drawdown of -18.74%. Use the drawdown chart below to compare losses from any high point for CFJIX and CFAIX.
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Drawdown Indicators
| CFJIX | CFAIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.91% | -18.74% | -18.17% |
Max Drawdown (1Y)Largest decline over 1 year | -11.88% | -5.08% | -6.80% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -18.74% | -3.88% |
Max Drawdown (10Y)Largest decline over 10 years | -36.91% | — | — |
Current DrawdownCurrent decline from peak | -9.00% | -4.75% | -4.25% |
Average DrawdownAverage peak-to-trough decline | -5.17% | -3.30% | -1.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.88% | 1.25% | +1.63% |
Volatility
CFJIX vs. CFAIX - Volatility Comparison
Calvert US Large-Cap Value Responsible Index Fund (CFJIX) has a higher volatility of 4.18% compared to Calvert Conservative Allocation Fund Class I (CFAIX) at 2.54%. This indicates that CFJIX's price experiences larger fluctuations and is considered to be riskier than CFAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFJIX | CFAIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.18% | 2.54% | +1.64% |
Volatility (6M)Calculated over the trailing 6-month period | 9.15% | 3.99% | +5.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.63% | 6.71% | +9.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.88% | 7.05% | +8.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.94% | 6.90% | +11.04% |