CFJIX vs. CGBIX
Compare and contrast key facts about Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Calvert Green Bond Fund (CGBIX).
CFJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015. CGBIX is managed by Calvert Research and Management. It was launched on Oct 31, 2013.
Performance
CFJIX vs. CGBIX - Performance Comparison
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CFJIX vs. CGBIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 0.50% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 29.36% | -10.08% | 15.17% |
CGBIX Calvert Green Bond Fund | -0.58% | 7.90% | 2.00% | 6.14% | -13.08% | -1.66% | 7.02% | 8.14% | 0.68% | 3.17% |
Returns By Period
In the year-to-date period, CFJIX achieves a 0.50% return, which is significantly higher than CGBIX's -0.58% return. Over the past 10 years, CFJIX has outperformed CGBIX with an annualized return of 10.61%, while CGBIX has yielded a comparatively lower 1.91% annualized return.
CFJIX
- 1D
- 2.41%
- 1M
- -5.43%
- YTD
- 0.50%
- 6M
- 4.10%
- 1Y
- 16.04%
- 3Y*
- 14.09%
- 5Y*
- 7.63%
- 10Y*
- 10.61%
CGBIX
- 1D
- 0.14%
- 1M
- -1.80%
- YTD
- -0.58%
- 6M
- 0.21%
- 1Y
- 4.50%
- 3Y*
- 4.19%
- 5Y*
- 0.24%
- 10Y*
- 1.91%
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CFJIX vs. CGBIX - Expense Ratio Comparison
CFJIX has a 0.24% expense ratio, which is lower than CGBIX's 0.48% expense ratio.
Return for Risk
CFJIX vs. CGBIX — Risk / Return Rank
CFJIX
CGBIX
CFJIX vs. CGBIX - 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 Green Bond Fund (CGBIX). 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 | CGBIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.97 | 1.26 | -0.30 |
Sortino ratioReturn per unit of downside risk | 1.44 | 1.85 | -0.40 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.23 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.45 | 1.86 | -0.41 |
Martin ratioReturn relative to average drawdown | 5.92 | 6.49 | -0.57 |
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 | CGBIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.97 | 1.26 | -0.30 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.48 | 0.05 | +0.43 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.59 | 0.47 | +0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.59 | 0.56 | +0.03 |
Correlation
The correlation between CFJIX and CGBIX is -0.05. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
CFJIX vs. CGBIX - Dividend Comparison
CFJIX's dividend yield for the trailing twelve months is around 9.11%, more than CGBIX's 3.85% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 9.11% | 9.16% | 6.31% | 2.07% | 2.02% | 4.17% | 1.88% | 2.17% | 4.87% | 6.79% | 2.28% | 0.00% |
CGBIX Calvert Green Bond Fund | 3.85% | 4.09% | 3.49% | 2.37% | 1.86% | 1.99% | 1.85% | 2.45% | 2.26% | 2.54% | 3.22% | 2.01% |
Drawdowns
CFJIX vs. CGBIX - Drawdown Comparison
The maximum CFJIX drawdown since its inception was -36.91%, which is greater than CGBIX's maximum drawdown of -17.46%. Use the drawdown chart below to compare losses from any high point for CFJIX and CGBIX.
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Drawdown Indicators
| CFJIX | CGBIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.91% | -17.46% | -19.45% |
Max Drawdown (1Y)Largest decline over 1 year | -11.88% | -2.75% | -9.13% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -17.46% | -5.16% |
Max Drawdown (10Y)Largest decline over 10 years | -36.91% | -17.46% | -19.45% |
Current DrawdownCurrent decline from peak | -6.81% | -2.20% | -4.61% |
Average DrawdownAverage peak-to-trough decline | -5.17% | -3.54% | -1.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.91% | 0.79% | +2.12% |
Volatility
CFJIX vs. CGBIX - Volatility Comparison
Calvert US Large-Cap Value Responsible Index Fund (CFJIX) has a higher volatility of 5.02% compared to Calvert Green Bond Fund (CGBIX) at 1.35%. This indicates that CFJIX's price experiences larger fluctuations and is considered to be riskier than CGBIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFJIX | CGBIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.02% | 1.35% | +3.67% |
Volatility (6M)Calculated over the trailing 6-month period | 9.44% | 2.19% | +7.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.76% | 3.82% | +12.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.92% | 4.91% | +11.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.95% | 4.05% | +13.90% |