CLDAX vs. FXNAX
CLDAX (Calvert Core Bond Fund) and FXNAX (Fidelity U.S. Bond Index Fund) are both mutual funds - CLDAX is a Intermediate Core Bond fund managed by Calvert, while FXNAX is a Total Bond Market fund tracking the Bloomberg U.S. Aggregate Bond Index. Over the past 10 years, CLDAX returned 2.49%/yr vs 1.25%/yr for FXNAX. Their correlation of 0.89 means they have usually moved in the same direction. CLDAX charges 0.74%/yr vs 0.03%/yr for FXNAX.
Performance
CLDAX vs. FXNAX - Performance Comparison
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Returns By Period
In the year-to-date period, CLDAX achieves a -1.10% return, which is significantly lower than FXNAX's -0.63% return. Over the past 10 years, CLDAX has outperformed FXNAX with an annualized return of 2.49%, while FXNAX has yielded a comparatively lower 1.25% annualized return.
CLDAX
- 1D
- 0.00%
- 1M
- -1.28%
- 6M
- -1.32%
- YTD
- -1.10%
- 1Y
- 1.34%
- 3Y*
- 3.35%
- 5Y*
- -0.72%
- 10Y*
- 2.49%
- ALL TIME*
- 5.32%
FXNAX
- 1D
- 0.10%
- 1M
- -1.25%
- 6M
- -0.85%
- YTD
- -0.63%
- 1Y
- 1.77%
- 3Y*
- 3.69%
- 5Y*
- -0.49%
- 10Y*
- 1.25%
- ALL TIME*
- 1.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
CLDAX vs. FXNAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CLDAX Calvert Core Bond Fund | -1.10% | 7.27% | 1.39% | 5.04% | -13.48% | -2.30% | 14.56% | 20.77% | -5.73% | 9.47% |
FXNAX Fidelity U.S. Bond Index Fund | -0.63% | 7.14% | 1.35% | 5.82% | -13.55% | -2.10% | 7.63% | 8.50% | 0.04% | 3.50% |
Correlation
The correlation between CLDAX and FXNAX is 0.97 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.97 |
Correlation (3Y) Balances recent behavior with more history. | 0.96 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.97 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.92 |
Correlation (All Time) Calculated using the full available price history since May 4, 2011 | 0.89 |
The correlation between CLDAX and FXNAX has been stable across timeframes, ranging from 0.89 to 0.97 - a consistent structural relationship.
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Return for Risk
CLDAX vs. FXNAX — Risk / Return Rank
CLDAX
FXNAX
CLDAX vs. FXNAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Core Bond Fund (CLDAX) and Fidelity U.S. Bond Index Fund (FXNAX). 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.
| CLDAX | FXNAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.10 | ||
| Sortino ratioReturn per unit of downside risk | -0.16 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.14 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 0.81 | 1.01 | -0.20 |
| Martin ratioReturn relative to average drawdown | 2.04 | 2.55 | -0.51 |
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Drawdowns
CLDAX vs. FXNAX - Drawdown Comparison
The maximum CLDAX drawdown since its inception was -18.88%, roughly equal to the maximum FXNAX drawdown of -19.51%. Use the drawdown chart below to compare losses from any high point for CLDAX and FXNAX.
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Drawdown Indicators
| CLDAX | FXNAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.88% | -19.51% | +0.63% |
Max Drawdown (1Y)Largest decline over 1 year | -3.24% | -2.94% | -0.30% |
Max Drawdown (3Y)Largest decline over 3 years | -5.21% | -5.11% | -0.10% |
Max Drawdown (5Y)Largest decline over 5 years | -18.21% | -18.54% | +0.33% |
Max Drawdown (10Y)Largest decline over 10 years | -18.88% | -19.51% | +0.63% |
Current DrawdownCurrent decline from peak | -4.49% | -3.89% | -0.60% |
Average DrawdownAverage peak-to-trough decline | -3.91% | -3.86% | -0.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.28% | 1.17% | +0.11% |
Volatility
CLDAX vs. FXNAX - Volatility Comparison
Calvert Core Bond Fund (CLDAX) and Fidelity U.S. Bond Index Fund (FXNAX) have volatilities of 0.97% and 0.99%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CLDAX | FXNAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.97% | 0.99% | -0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 3.13% | 3.02% | +0.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.87% | 3.85% | +0.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.66% | 6.07% | -0.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.76% | 5.01% | +1.75% |
CLDAX vs. FXNAX - Expense Ratio Comparison
CLDAX has a 0.74% expense ratio, which is higher than FXNAX's 0.03% expense ratio.
Dividends
CLDAX vs. FXNAX - Dividend Comparison
CLDAX's dividend yield for the trailing twelve months is around 3.92%, more than FXNAX's 3.46% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLDAX Calvert Core Bond Fund | 3.92% | 4.24% | 4.16% | 3.17% | 1.80% | 6.08% | 5.22% | 3.04% | 3.63% | 3.02% | 7.02% | 2.85% |
FXNAX Fidelity U.S. Bond Index Fund | 3.46% | 3.58% | 3.40% | 3.15% | 1.81% | 1.74% | 2.92% | 2.68% | 2.74% | 2.57% | 2.76% | 2.52% |
Frequently Asked Questions
With a correlation of 0.97, CLDAX and FXNAX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
FXNAX has higher volatility (0.99%) compared to CLDAX (0.97%). In terms of maximum drawdown, CLDAX dropped -18.88% vs FXNAX's -19.51%.
FXNAX currently has the higher Sharpe Ratio (0.78 vs 0.68), 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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