CFJIX vs. VOO
Compare and contrast key facts about Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Vanguard S&P 500 ETF (VOO).
CFJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Performance
CFJIX vs. VOO - Performance Comparison
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CFJIX vs. VOO - 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% | 15.17% |
VOO Vanguard S&P 500 ETF | -4.42% | 17.82% | 24.98% | 26.32% | -18.17% | 28.79% | 18.32% | 31.37% | -4.50% | 21.77% |
Returns By Period
In the year-to-date period, CFJIX achieves a -1.87% return, which is significantly higher than VOO's -4.42% return. Over the past 10 years, CFJIX has underperformed VOO with an annualized return of 10.34%, while VOO has yielded a comparatively higher 14.05% annualized 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%
VOO
- 1D
- 2.86%
- 1M
- -5.01%
- YTD
- -4.42%
- 6M
- -1.84%
- 1Y
- 17.67%
- 3Y*
- 18.27%
- 5Y*
- 11.75%
- 10Y*
- 14.05%
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CFJIX vs. VOO - Expense Ratio Comparison
CFJIX has a 0.24% expense ratio, which is higher than VOO's 0.03% 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%.
Return for Risk
CFJIX vs. VOO — Risk / Return Rank
CFJIX
VOO
CFJIX vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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 | VOO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.88 | 0.98 | -0.10 |
Sortino ratioReturn per unit of downside risk | 1.31 | 1.50 | -0.18 |
Omega ratioGain probability vs. loss probability | 1.18 | 1.23 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.09 | 1.53 | -0.44 |
Martin ratioReturn relative to average drawdown | 4.50 | 7.29 | -2.79 |
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 | VOO | 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 | 0.70 | -0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.58 | 0.78 | -0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.83 | -0.25 |
Correlation
The correlation between CFJIX and VOO is 0.85, 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. VOO - Dividend Comparison
CFJIX's dividend yield for the trailing twelve months is around 9.33%, more than VOO's 1.19% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.19% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Drawdowns
CFJIX vs. VOO - Drawdown Comparison
The maximum CFJIX drawdown since its inception was -36.91%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CFJIX and VOO.
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Drawdown Indicators
| CFJIX | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.91% | -33.99% | -2.92% |
Max Drawdown (1Y)Largest decline over 1 year | -11.88% | -11.98% | +0.10% |
Max Drawdown (5Y)Largest decline over 5 years | -22.62% | -24.52% | +1.90% |
Max Drawdown (10Y)Largest decline over 10 years | -36.91% | -33.99% | -2.92% |
Current DrawdownCurrent decline from peak | -9.00% | -6.29% | -2.71% |
Average DrawdownAverage peak-to-trough decline | -5.17% | -3.72% | -1.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.88% | 2.52% | +0.36% |
Volatility
CFJIX vs. VOO - Volatility Comparison
The current volatility for Calvert US Large-Cap Value Responsible Index Fund (CFJIX) is 4.18%, while Vanguard S&P 500 ETF (VOO) has a volatility of 5.29%. This indicates that CFJIX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFJIX | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.18% | 5.29% | -1.11% |
Volatility (6M)Calculated over the trailing 6-month period | 9.15% | 9.44% | -0.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.63% | 18.10% | -1.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.88% | 16.82% | -0.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.94% | 17.99% | -0.05% |