CGAEX vs. CFJIX

Last updated Jun 24, 2026

CGAEX (Calvert Global Energy Solutions Fund Class A) and CFJIX (Calvert US Large-Cap Value Responsible Index Fund) are both mutual funds - CGAEX is a Energy Equities fund managed by Calvert Research and Management, while CFJIX is a Large Cap Value Equities fund managed by Calvert Research and Management. Over the past 10 years, CGAEX returned 11.97%/yr vs 12.62%/yr for CFJIX. A 0.76 correlation means they provide meaningful diversification when combined. CGAEX charges 1.24%/yr vs 0.24%/yr for CFJIX.

Performance

CGAEX vs. CFJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Global Energy Solutions Fund Class A (CGAEX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CGAEX achieves a 18.40% return, which is significantly lower than CFJIX's 19.71% return. Over the past 10 years, CGAEX has underperformed CFJIX with an annualized return of 11.97%, while CFJIX has yielded a comparatively higher 12.62% annualized return.

CGAEX

• 1D: 0.49%
• 1M: -1.27%
• YTD: 18.40%
• 6M: 17.63%
• 1Y: 41.33%
• 3Y*: 12.85%
• 5Y*: 5.47%
• 10Y*: 11.97%

CFJIX

• 1D: 0.44%
• 1M: 6.13%
• YTD: 19.71%
• 6M: 18.84%
• 1Y: 33.89%
• 3Y*: 20.98%
• 5Y*: 10.89%
• 10Y*: 12.62%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CGAEX vs. CFJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CGAEX Calvert Global Energy Solutions Fund Class A	18.40%	32.27%	-7.33%	5.40%	-17.66%	6.50%	61.15%	33.16%	-19.66%	29.42%
CFJIX Calvert US Large-Cap Value Responsible Index Fund	19.71%	16.76%	14.63%	9.86%	-11.70%	24.40%	9.06%	29.36%	-10.08%	15.17%

Correlation

The correlation between CGAEX and CFJIX is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.76

The correlation between CGAEX and CFJIX has been stable across timeframes, ranging from 0.69 to 0.76 - a consistent structural relationship.

Return for Risk

CGAEX vs. CFJIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CGAEX

CGAEX Risk / Return Rank: 81
CGAEX Sharpe Ratio Rank: 82
CGAEX Sortino Ratio Rank: 72
CGAEX Omega Ratio Rank: 70
CGAEX Calmar Ratio Rank: 94
CGAEX Martin Ratio Rank: 89

CFJIX

CFJIX Risk / Return Rank: 86
CFJIX Sharpe Ratio Rank: 89
CFJIX Sortino Ratio Rank: 87
CFJIX Omega Ratio Rank: 80
CFJIX Calmar Ratio Rank: 86
CFJIX Martin Ratio Rank: 87

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CGAEX vs. CFJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Global Energy Solutions Fund Class A (CGAEX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX). 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.

	CGAEX	CFJIX	Difference
Sharpe ratio: Return per unit of total volatility	2.48	2.70	-0.22
Sortino ratio: Return per unit of downside risk	3.21	3.87	-0.65
Omega ratio: Gain probability vs. loss probability	1.43	1.47	-0.05
Calmar ratio: Return relative to maximum drawdown	5.09	3.93	+1.15
Martin ratio: Return relative to average drawdown	16.23	15.28	+0.96

CGAEX vs. CFJIX - Sharpe Ratio Comparison

The current CGAEX Sharpe Ratio is 2.48, which is comparable to the CFJIX Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of CGAEX and CFJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CGAEX vs. CFJIX - Drawdown Comparison

The maximum CGAEX drawdown since its inception was -76.34%, which is greater than CFJIX's maximum drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for CGAEX and CFJIX.

Drawdown Indicators

	CGAEX	CFJIX	Difference
Max Drawdown Largest peak-to-trough decline	-76.34%	-36.91%	-39.43%
Max Drawdown (1Y) Largest decline over 1 year	-8.41%	-9.00%	+0.59%
Max Drawdown (3Y) Largest decline over 3 years	-24.93%	-16.60%	-8.33%
Max Drawdown (5Y) Largest decline over 5 years	-33.14%	-22.62%	-10.52%
Max Drawdown (10Y) Largest decline over 10 years	-37.53%	-36.91%	-0.62%
Current Drawdown Current decline from peak	-7.74%	0.00%	-7.74%
Average Drawdown Average peak-to-trough decline	-50.51%	-5.08%	-45.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.63%	2.31%	+0.32%

Volatility

CGAEX vs. CFJIX - Volatility Comparison

Calvert Global Energy Solutions Fund Class A (CGAEX) has a higher volatility of 6.78% compared to Calvert US Large-Cap Value Responsible Index Fund (CFJIX) at 4.27%. This indicates that CGAEX's price experiences larger fluctuations and is considered to be riskier than CFJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CGAEX	CFJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.78%	4.27%	+2.51%
Volatility (6M) Calculated over the trailing 6-month period	13.92%	10.06%	+3.86%
Volatility (1Y) Calculated over the trailing 1-year period	17.26%	13.14%	+4.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.31%	16.01%	+3.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.73%	18.02%	+1.71%

CGAEX vs. CFJIX - Expense Ratio Comparison

CGAEX has a 1.24% expense ratio, which is higher than CFJIX's 0.24% expense ratio.

Dividends

CGAEX vs. CFJIX - Dividend Comparison

CGAEX's dividend yield for the trailing twelve months is around 0.43%, less than CFJIX's 7.65% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CFJIX Calvert US Large-Cap Value Responsible Index Fund	7.65%	9.16%	6.31%	2.07%	2.02%	4.17%	1.88%	2.17%	4.87%	6.79%	2.28%	0.00%
CGAEX Calvert Global Energy Solutions Fund Class A	0.43%	0.51%	0.91%	0.83%	0.65%	0.26%	0.66%	1.01%	1.69%	1.19%	1.06%	0.20%

Frequently Asked Questions

Can I hold both CGAEX and CFJIX in my portfolio?

CGAEX and CFJIX have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CGAEX or CFJIX?

CGAEX has higher volatility (6.78%) compared to CFJIX (4.27%). In terms of maximum drawdown, CGAEX dropped -76.34% vs CFJIX's -36.91%.

Which has better risk-adjusted returns?

CFJIX currently has the higher Sharpe Ratio (2.70 vs 2.48), 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.