CFJIX vs. FXAIX
CFJIX (Calvert US Large-Cap Value Responsible Index Fund) and FXAIX (Fidelity 500 Index Fund) are both mutual funds - CFJIX is a Large Cap Value Equities fund managed by Calvert, while FXAIX is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, CFJIX returned 12.26%/yr vs 15.00%/yr for FXAIX. Their correlation of 0.84 means they have usually moved in the same direction. CFJIX charges 0.24%/yr vs 0.02%/yr for FXAIX.
Performance
CFJIX vs. FXAIX - 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 FXAIX's 9.35% return. Over the past 10 years, CFJIX has underperformed FXAIX with an annualized return of 12.26%, while FXAIX has yielded a comparatively higher 15.00% annualized 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%
FXAIX
- 1D
- 1.66%
- 1M
- -0.56%
- 6M
- 7.79%
- YTD
- 9.35%
- 1Y
- 20.63%
- 3Y*
- 19.03%
- 5Y*
- 12.68%
- 10Y*
- 15.00%
- ALL TIME*
- 13.89%
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. FXAIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 23.32% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 29.36% | -10.08% | 15.17% |
FXAIX Fidelity 500 Index Fund | 9.35% | 17.84% | 25.01% | 26.29% | -18.14% | 28.71% | 18.42% | 31.48% | -4.43% | 21.82% |
Correlation
The correlation between CFJIX and FXAIX is 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (3Y) Balances recent behavior with more history. | 0.71 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.80 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.83 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016 | 0.84 |
The correlation between CFJIX and FXAIX shifts across timeframes, from 0.65 (1 year) to 0.84 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CFJIX vs. FXAIX — Risk / Return Rank
CFJIX
FXAIX
CFJIX vs. FXAIX - 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 500 Index Fund (FXAIX). 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 | FXAIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.20 | ||
| Sortino ratioReturn per unit of downside risk | +1.78 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.26 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 3.80 | 2.06 | +1.74 |
| Martin ratioReturn relative to average drawdown | 15.34 | 8.86 | +6.48 |
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Drawdowns
CFJIX vs. FXAIX - Drawdown Comparison
The maximum CFJIX drawdown since its inception was -36.91%, which is greater than FXAIX's maximum drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for CFJIX and FXAIX.
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Drawdown Indicators
| CFJIX | FXAIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.91% | -33.79% | -3.12% |
Max Drawdown (1Y)Largest decline over 1 year | -9.00% | -8.89% | -0.11% |
Max Drawdown (3Y)Largest decline over 3 years | -16.60% | -18.76% | +2.16% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -24.50% | +1.88% |
Max Drawdown (10Y)Largest decline over 10 years | -36.91% | -33.79% | -3.12% |
Current DrawdownCurrent decline from peak | -1.49% | -2.11% | +0.62% |
Average DrawdownAverage peak-to-trough decline | -5.03% | -3.77% | -1.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.24% | 2.07% | +0.17% |
Volatility
CFJIX vs. FXAIX - Volatility Comparison
Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Fidelity 500 Index Fund (FXAIX) have volatilities of 3.46% and 3.44%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFJIX | FXAIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.46% | 3.44% | +0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 9.95% | 10.09% | -0.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.03% | 12.86% | +0.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.97% | 17.03% | -1.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.94% | 18.07% | -0.13% |
CFJIX vs. FXAIX - Expense Ratio Comparison
CFJIX has a 0.24% expense ratio, which is higher than FXAIX's 0.02% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
CFJIX vs. FXAIX - Dividend Comparison
CFJIX's dividend yield for the trailing twelve months is around 7.43%, more than FXAIX's 1.07% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
FXAIX Fidelity 500 Index Fund | 1.07% | 1.11% | 1.25% | 1.45% | 1.69% | 1.22% | 1.60% | 2.06% | 2.72% | 1.97% | 2.52% | 2.83% |
Frequently Asked Questions
CFJIX and FXAIX have a correlation of 0.65, 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 FXAIX (3.44%). In terms of maximum drawdown, CFJIX dropped -36.91% vs FXAIX's -33.79%.
CFJIX currently has the higher Sharpe Ratio (2.63 vs 1.43), 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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