CFJIX vs. FEKFX
CFJIX (Calvert US Large-Cap Value Responsible Index Fund) and FEKFX (Fidelity Equity-Income K6 Fund) are both Large Cap Value Equities funds. Over the past 5 years, CFJIX returned 11.16%/yr vs 11.73%/yr for FEKFX. Their correlation of 0.95 means they have usually moved in the same direction. CFJIX charges 0.24%/yr vs 0.34%/yr for FEKFX.
Performance
CFJIX vs. FEKFX - Performance Comparison
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Returns By Period
In the year-to-date period, CFJIX achieves a 23.32% return, which is significantly higher than FEKFX's 12.82% return.
CFJIX
- 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%
FEKFX
- 1D
- 0.89%
- 1M
- 0.84%
- 6M
- 8.75%
- YTD
- 12.82%
- 1Y
- 23.42%
- 3Y*
- 17.11%
- 5Y*
- 11.73%
- 10Y*
- —
- ALL TIME*
- 13.27%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
CFJIX vs. FEKFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 23.32% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 12.29% |
FEKFX Fidelity Equity-Income K6 Fund | 12.82% | 19.03% | 15.56% | 10.81% | -4.77% | 24.77% | 6.83% | 11.36% |
Correlation
The correlation between CFJIX and FEKFX is 0.88, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.88 |
Correlation (3Y) Balances recent behavior with more history. | 0.93 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.94 |
Correlation (All Time) Calculated using the full available price history since Jun 13, 2019 | 0.95 |
The correlation between CFJIX and FEKFX has been stable across timeframes, ranging from 0.88 to 0.95 - a consistent structural relationship.
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Return for Risk
CFJIX vs. FEKFX — Risk / Return Rank
CFJIX
FEKFX
CFJIX vs. FEKFX - 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 Fidelity Equity-Income K6 Fund (FEKFX). 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.
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 | FEKFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.38 | ||
| Sortino ratioReturn per unit of downside risk | +0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.41 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 3.80 | 3.35 | +0.46 |
| Martin ratioReturn relative to average drawdown | 15.34 | 13.59 | +1.75 |
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Drawdowns
CFJIX vs. FEKFX - Drawdown Comparison
The maximum CFJIX drawdown since its inception was -36.91%, which is greater than FEKFX's maximum drawdown of -33.16%. Use the drawdown chart below to compare losses from any high point for CFJIX and FEKFX.
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Drawdown Indicators
| CFJIX | FEKFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.91% | -33.16% | -3.75% |
Max Drawdown (1Y)Largest decline over 1 year | -9.00% | -6.47% | -2.53% |
Max Drawdown (3Y)Largest decline over 3 years | -16.60% | -13.02% | -3.58% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -17.03% | -5.59% |
Max Drawdown (10Y)Largest decline over 10 years | -36.91% | — | — |
Current DrawdownCurrent decline from peak | -1.49% | -0.20% | -1.29% |
Average DrawdownAverage peak-to-trough decline | -5.03% | -3.64% | -1.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.24% | 1.60% | +0.64% |
Volatility
CFJIX vs. FEKFX - Volatility Comparison
Calvert US Large-Cap Value Responsible Index Fund (CFJIX) has a higher volatility of 3.46% compared to Fidelity Equity-Income K6 Fund (FEKFX) at 2.70%. This indicates that CFJIX's price experiences larger fluctuations and is considered to be riskier than FEKFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFJIX | FEKFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.46% | 2.70% | +0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 9.95% | 7.31% | +2.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.03% | 9.63% | +3.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.97% | 13.26% | +2.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.94% | 16.88% | +1.06% |
CFJIX vs. FEKFX - Expense Ratio Comparison
CFJIX has a 0.24% expense ratio, which is lower than FEKFX's 0.34% expense ratio.
Dividends
CFJIX vs. FEKFX - Dividend Comparison
CFJIX's dividend yield for the trailing twelve months is around 7.43%, more than FEKFX's 2.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 7.43% | 9.16% | 6.31% | 2.07% | 2.02% | 4.17% | 1.88% | 2.17% | 4.87% | 6.79% | 2.28% |
FEKFX Fidelity Equity-Income K6 Fund | 2.34% | 2.79% | 3.26% | 1.96% | 1.94% | 3.65% | 1.84% | 0.75% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CFJIX and FEKFX have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CFJIX has higher volatility (3.46%) compared to FEKFX (2.70%). In terms of maximum drawdown, CFJIX dropped -36.91% vs FEKFX's -33.16%.
CFJIX currently has the higher Sharpe Ratio (2.63 vs 2.25), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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