CGJIX vs. CEFIX
Compare and contrast key facts about Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and Calvert Emerging Markets Advancement Fund (CEFIX).
CGJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015. CEFIX is managed by Calvert Research and Management. It was launched on Sep 30, 2019.
Performance
CGJIX vs. CEFIX - Performance Comparison
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CGJIX vs. CEFIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
CGJIX Calvert US Large-Cap Growth Responsible Index Fund | -9.44% | 14.56% | 27.74% | 36.66% | -26.84% | 26.13% | 38.69% | 11.42% |
CEFIX Calvert Emerging Markets Advancement Fund | -0.90% | 38.50% | 11.21% | 11.61% | -15.07% | 0.27% | 15.35% | 10.46% |
Returns By Period
In the year-to-date period, CGJIX achieves a -9.44% return, which is significantly lower than CEFIX's -0.90% return.
CGJIX
- 1D
- -0.50%
- 1M
- -8.33%
- YTD
- -9.44%
- 6M
- -7.33%
- 1Y
- 13.17%
- 3Y*
- 17.08%
- 5Y*
- 10.41%
- 10Y*
- 15.35%
CEFIX
- 1D
- -0.90%
- 1M
- -13.04%
- YTD
- -0.90%
- 6M
- 5.45%
- 1Y
- 31.55%
- 3Y*
- 18.20%
- 5Y*
- 7.26%
- 10Y*
- —
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CGJIX vs. CEFIX - Expense Ratio Comparison
CGJIX has a 0.24% expense ratio, which is lower than CEFIX's 0.97% expense ratio.
Return for Risk
CGJIX vs. CEFIX — Risk / Return Rank
CGJIX
CEFIX
CGJIX vs. CEFIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and Calvert Emerging Markets Advancement Fund (CEFIX). 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.
| CGJIX | CEFIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.67 | 1.83 | -1.15 |
Sortino ratioReturn per unit of downside risk | 1.11 | 2.31 | -1.20 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.36 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | 0.86 | 2.04 | -1.18 |
Martin ratioReturn relative to average drawdown | 3.67 | 8.52 | -4.85 |
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
| CGJIX | CEFIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.67 | 1.83 | -1.15 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.53 | 0.50 | +0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.77 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.77 | 0.58 | +0.18 |
Correlation
The correlation between CGJIX and CEFIX is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
CGJIX vs. CEFIX - Dividend Comparison
CGJIX's dividend yield for the trailing twelve months is around 3.36%, more than CEFIX's 3.16% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
CGJIX Calvert US Large-Cap Growth Responsible Index Fund | 3.36% | 3.05% | 2.04% | 0.53% | 0.51% | 1.85% | 1.76% | 1.64% | 5.72% | 2.19% | 1.13% |
CEFIX Calvert Emerging Markets Advancement Fund | 3.16% | 3.13% | 1.76% | 3.20% | 5.51% | 4.57% | 0.13% | 0.48% | 0.00% | 0.00% | 0.00% |
Drawdowns
CGJIX vs. CEFIX - Drawdown Comparison
The maximum CGJIX drawdown since its inception was -31.18%, roughly equal to the maximum CEFIX drawdown of -30.73%. Use the drawdown chart below to compare losses from any high point for CGJIX and CEFIX.
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Drawdown Indicators
| CGJIX | CEFIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.18% | -30.73% | -0.45% |
Max Drawdown (1Y)Largest decline over 1 year | -12.62% | -13.87% | +1.25% |
Max Drawdown (5Y)Largest decline over 5 years | -31.18% | -24.41% | -6.77% |
Max Drawdown (10Y)Largest decline over 10 years | -31.18% | — | — |
Current DrawdownCurrent decline from peak | -11.15% | -13.87% | +2.72% |
Average DrawdownAverage peak-to-trough decline | -5.53% | -9.78% | +4.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.97% | 3.33% | -0.36% |
Volatility
CGJIX vs. CEFIX - Volatility Comparison
The current volatility for Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) is 4.74%, while Calvert Emerging Markets Advancement Fund (CEFIX) has a volatility of 8.61%. This indicates that CGJIX experiences smaller price fluctuations and is considered to be less risky than CEFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CGJIX | CEFIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.74% | 8.61% | -3.87% |
Volatility (6M)Calculated over the trailing 6-month period | 10.20% | 12.54% | -2.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.14% | 16.61% | +3.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.77% | 14.70% | +5.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.98% | 17.11% | +2.87% |