CGJIX vs. CFJIX
Compare and contrast key facts about Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX).
CGJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015. CFJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015.
Performance
CGJIX vs. CFJIX - Performance Comparison
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CGJIX vs. CFJIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CGJIX Calvert US Large-Cap Growth Responsible Index Fund | -9.44% | 14.56% | 27.74% | 36.66% | -26.84% | 26.13% | 38.69% | 35.29% | 0.74% | 27.39% |
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% |
Returns By Period
In the year-to-date period, CGJIX achieves a -9.44% return, which is significantly lower than CFJIX's -1.87% return. Over the past 10 years, CGJIX has outperformed CFJIX with an annualized return of 15.35%, while CFJIX has yielded a comparatively lower 10.34% annualized 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%
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%
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CGJIX vs. CFJIX - Expense Ratio Comparison
Both CGJIX and CFJIX have an expense ratio of 0.24%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Return for Risk
CGJIX vs. CFJIX — Risk / Return Rank
CGJIX
CFJIX
CGJIX vs. CFJIX - 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 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.
| CGJIX | CFJIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.67 | 0.88 | -0.20 |
Sortino ratioReturn per unit of downside risk | 1.11 | 1.31 | -0.21 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.18 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 0.86 | 1.09 | -0.23 |
Martin ratioReturn relative to average drawdown | 3.67 | 4.50 | -0.83 |
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 | CFJIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.67 | 0.88 | -0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.53 | 0.46 | +0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.77 | 0.58 | +0.19 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.77 | 0.58 | +0.19 |
Correlation
The correlation between CGJIX and CFJIX is 0.73, 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
CGJIX vs. CFJIX - Dividend Comparison
CGJIX's dividend yield for the trailing twelve months is around 3.36%, less than CFJIX's 9.33% 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% |
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% |
Drawdowns
CGJIX vs. CFJIX - Drawdown Comparison
The maximum CGJIX drawdown since its inception was -31.18%, smaller than the maximum CFJIX drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for CGJIX and CFJIX.
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Drawdown Indicators
| CGJIX | CFJIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.18% | -36.91% | +5.73% |
Max Drawdown (1Y)Largest decline over 1 year | -12.62% | -11.88% | -0.74% |
Max Drawdown (5Y)Largest decline over 5 years | -31.18% | -22.62% | -8.56% |
Max Drawdown (10Y)Largest decline over 10 years | -31.18% | -36.91% | +5.73% |
Current DrawdownCurrent decline from peak | -11.15% | -9.00% | -2.15% |
Average DrawdownAverage peak-to-trough decline | -5.53% | -5.17% | -0.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.97% | 2.88% | +0.09% |
Volatility
CGJIX vs. CFJIX - Volatility Comparison
Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) has a higher volatility of 4.74% compared to Calvert US Large-Cap Value Responsible Index Fund (CFJIX) at 4.18%. This indicates that CGJIX'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.
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Volatility by Period
| CGJIX | CFJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.74% | 4.18% | +0.56% |
Volatility (6M)Calculated over the trailing 6-month period | 10.20% | 9.15% | +1.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.14% | 16.63% | +3.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.77% | 15.88% | +3.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.98% | 17.94% | +2.04% |