CGJIX vs. FUMIX

Last updated Jun 24, 2026

CGJIX (Calvert US Large-Cap Growth Responsible Index Fund) and FUMIX (Fidelity SAI U.S. Momentum Index Fund) are both Large Cap Growth Equities funds. Over the past 5 years, CGJIX returned 12.87%/yr vs 17.37%/yr for FUMIX. Their correlation of 0.89 suggests significant overlap in exposure. CGJIX charges 0.24%/yr vs 0.11%/yr for FUMIX.

Performance

CGJIX vs. FUMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) and Fidelity SAI U.S. Momentum Index Fund (FUMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CGJIX achieves a 9.65% return, which is significantly lower than FUMIX's 32.63% return.

CGJIX

• 1D: -0.37%
• 1M: 0.47%
• YTD: 9.65%
• 6M: 8.62%
• 1Y: 25.06%
• 3Y*: 21.34%
• 5Y*: 12.87%
• 10Y*: 18.01%

FUMIX

• 1D: 1.37%
• 1M: 9.64%
• YTD: 32.63%
• 6M: 30.51%
• 1Y: 40.33%
• 3Y*: 33.62%
• 5Y*: 17.37%
• 10Y*: —

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

CGJIX vs. FUMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CGJIX Calvert US Large-Cap Growth Responsible Index Fund	9.65%	14.56%	27.74%	36.66%	-26.84%	26.13%	38.69%	35.29%	0.74%	21.72%
FUMIX Fidelity SAI U.S. Momentum Index Fund	32.63%	17.01%	33.39%	14.67%	-15.79%	22.56%	29.92%	24.16%	-1.41%	22.71%

Correlation

The correlation between CGJIX and FUMIX is 0.84, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.88
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (All Time) Calculated using the full available price history since Feb 9, 2017	0.89

The correlation between CGJIX and FUMIX has been stable across timeframes, ranging from 0.84 to 0.89 - a consistent structural relationship.

Return for Risk

CGJIX vs. FUMIX — Risk / Return Rank

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

CGJIX

CGJIX Risk / Return Rank: 45
CGJIX Sharpe Ratio Rank: 47
CGJIX Sortino Ratio Rank: 43
CGJIX Omega Ratio Rank: 43
CGJIX Calmar Ratio Rank: 42
CGJIX Martin Ratio Rank: 50

FUMIX

FUMIX Risk / Return Rank: 78
FUMIX Sharpe Ratio Rank: 75
FUMIX Sortino Ratio Rank: 68
FUMIX Omega Ratio Rank: 68
FUMIX Calmar Ratio Rank: 86
FUMIX Martin Ratio Rank: 92

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.

CGJIX vs. FUMIX - 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 Fidelity SAI U.S. Momentum Index Fund (FUMIX). 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.

	CGJIX	FUMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.86	2.31	-0.46
Sortino ratio: Return per unit of downside risk	2.53	3.13	-0.60
Omega ratio: Gain probability vs. loss probability	1.33	1.42	-0.09
Calmar ratio: Return relative to maximum drawdown	2.36	3.89	-1.53
Martin ratio: Return relative to average drawdown	9.77	17.44	-7.67

CGJIX vs. FUMIX - Sharpe Ratio Comparison

The current CGJIX Sharpe Ratio is 1.86, which is comparable to the FUMIX Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of CGJIX and FUMIX, 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

CGJIX vs. FUMIX - Drawdown Comparison

The maximum CGJIX drawdown since its inception was -31.18%, smaller than the maximum FUMIX drawdown of -33.36%. Use the drawdown chart below to compare losses from any high point for CGJIX and FUMIX.

Drawdown Indicators

	CGJIX	FUMIX	Difference
Max Drawdown Largest peak-to-trough decline	-31.18%	-33.36%	+2.18%
Max Drawdown (1Y) Largest decline over 1 year	-11.15%	-10.99%	-0.16%
Max Drawdown (3Y) Largest decline over 3 years	-21.90%	-19.90%	-2.00%
Max Drawdown (5Y) Largest decline over 5 years	-31.18%	-27.66%	-3.52%
Max Drawdown (10Y) Largest decline over 10 years	-31.18%	—	—
Current Drawdown Current decline from peak	-2.40%	0.00%	-2.40%
Average Drawdown Average peak-to-trough decline	-5.44%	-6.29%	+0.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.69%	2.44%	+0.25%

Volatility

CGJIX vs. FUMIX - Volatility Comparison

The current volatility for Calvert US Large-Cap Growth Responsible Index Fund (CGJIX) is 5.34%, while Fidelity SAI U.S. Momentum Index Fund (FUMIX) has a volatility of 7.70%. This indicates that CGJIX experiences smaller price fluctuations and is considered to be less risky than FUMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CGJIX	FUMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.34%	7.70%	-2.36%
Volatility (6M) Calculated over the trailing 6-month period	11.31%	16.10%	-4.79%
Volatility (1Y) Calculated over the trailing 1-year period	14.19%	18.50%	-4.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.89%	21.38%	-1.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.09%	21.83%	-1.74%

CGJIX vs. FUMIX - Expense Ratio Comparison

CGJIX has a 0.24% expense ratio, which is higher than FUMIX's 0.11% 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

CGJIX vs. FUMIX - Dividend Comparison

CGJIX's dividend yield for the trailing twelve months is around 2.78%, more than FUMIX's 2.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
CGJIX Calvert US Large-Cap Growth Responsible Index Fund	2.78%	3.05%	2.04%	0.53%	0.51%	1.85%	1.76%	1.64%	5.72%	2.19%	1.13%
FUMIX Fidelity SAI U.S. Momentum Index Fund	2.09%	2.77%	5.89%	18.09%	2.10%	20.67%	8.68%	2.09%	3.84%	0.88%	0.00%

Frequently Asked Questions

Can I hold both CGJIX and FUMIX in my portfolio?

CGJIX and FUMIX have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CGJIX or FUMIX?

FUMIX has higher volatility (7.70%) compared to CGJIX (5.34%). In terms of maximum drawdown, CGJIX dropped -31.18% vs FUMIX's -33.36%.

Which has better risk-adjusted returns?

FUMIX currently has the higher Sharpe Ratio (2.31 vs 1.86), 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.