CISIX vs. CFJIX
CISIX (Calvert US Large-Cap Core Responsible Index Fund) and CFJIX (Calvert US Large-Cap Value Responsible Index Fund) are both mutual funds - CISIX is a Large Cap Blend 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, CISIX returned 15.63%/yr vs 11.84%/yr for CFJIX. Their correlation of 0.85 suggests significant overlap in exposure. Both charge a 0.24% expense ratio.
Performance
CISIX vs. CFJIX - Performance Comparison
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Returns By Period
In the year-to-date period, CISIX achieves a 13.10% return, which is significantly lower than CFJIX's 15.07% return. Over the past 10 years, CISIX has outperformed CFJIX with an annualized return of 15.63%, while CFJIX has yielded a comparatively lower 11.84% annualized return.
CISIX
- 1D
- 0.24%
- 1M
- 6.59%
- YTD
- 13.10%
- 6M
- 12.90%
- 1Y
- 30.17%
- 3Y*
- 22.48%
- 5Y*
- 13.13%
- 10Y*
- 15.63%
CFJIX
- 1D
- 0.89%
- 1M
- 5.68%
- YTD
- 15.07%
- 6M
- 16.33%
- 1Y
- 30.02%
- 3Y*
- 19.73%
- 5Y*
- 9.31%
- 10Y*
- 11.84%
CISIX vs. CFJIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CISIX Calvert US Large-Cap Core Responsible Index Fund | 13.10% | 15.90% | 24.14% | 27.27% | -21.68% | 25.63% | 26.12% | 32.81% | -4.08% | 21.18% |
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 15.07% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 29.36% | -10.08% | 15.17% |
Correlation
The correlation between CISIX and CFJIX is 0.76, 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 | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | 0.85 |
The correlation between CISIX and CFJIX has been stable across timeframes, ranging from 0.76 to 0.85 - a consistent structural relationship.
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Return for Risk
CISIX vs. CFJIX — Risk / Return Rank
CISIX
CFJIX
CISIX vs. CFJIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert US Large-Cap Core Responsible Index Fund (CISIX) 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.
| CISIX | CFJIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.43 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.21 | 3.44 | -0.23 |
| Martin ratioReturn relative to average drawdown | 14.79 | 13.35 | +1.43 |
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
| CISIX | CFJIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.50 | 2.44 | +0.06 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | 0.59 | +0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.84 | 0.66 | +0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.39 | 0.67 | -0.28 |
Drawdowns
CISIX vs. CFJIX - Drawdown Comparison
The maximum CISIX drawdown since its inception was -59.36%, which is greater than CFJIX's maximum drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for CISIX and CFJIX.
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Drawdown Indicators
| CISIX | CFJIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.36% | -36.91% | -22.45% |
Max Drawdown (1Y)Largest decline over 1 year | -9.72% | -9.00% | -0.72% |
Max Drawdown (3Y)Largest decline over 3 years | -19.94% | -16.60% | -3.34% |
Max Drawdown (5Y)Largest decline over 5 years | -27.37% | -22.62% | -4.75% |
Max Drawdown (10Y)Largest decline over 10 years | -32.82% | -36.91% | +4.09% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -14.29% | -5.10% | -9.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.11% | 2.31% | -0.20% |
Volatility
CISIX vs. CFJIX - Volatility Comparison
The current volatility for Calvert US Large-Cap Core Responsible Index Fund (CISIX) is 3.33%, while Calvert US Large-Cap Value Responsible Index Fund (CFJIX) has a volatility of 3.91%. This indicates that CISIX experiences smaller price fluctuations and is considered to be less risky 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
| CISIX | CFJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.33% | 3.91% | -0.58% |
Volatility (6M)Calculated over the trailing 6-month period | 9.66% | 9.60% | +0.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.51% | 12.70% | -0.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.78% | 15.97% | +1.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.57% | 17.99% | +0.58% |
CISIX vs. CFJIX - Expense Ratio Comparison
Both CISIX 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%.
Dividends
CISIX vs. CFJIX - Dividend Comparison
CISIX's dividend yield for the trailing twelve months is around 4.77%, less than CFJIX's 7.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 7.96% | 9.16% | 6.31% | 2.07% | 2.02% | 4.17% | 1.88% | 2.17% | 4.87% | 6.79% | 2.28% | 0.00% |
CISIX Calvert US Large-Cap Core Responsible Index Fund | 4.77% | 5.39% | 1.77% | 1.02% | 1.17% | 1.02% | 0.94% | 1.14% | 4.33% | 2.41% | 3.77% | 7.62% |
Frequently Asked Questions
CISIX and CFJIX have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CFJIX has higher volatility (3.91%) compared to CISIX (3.33%). In terms of maximum drawdown, CISIX dropped -59.36% vs CFJIX's -36.91%.
CISIX currently has the higher Sharpe Ratio (2.50 vs 2.44), 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.
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