CMJAX vs. CDHIX
Compare and contrast key facts about Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Calvert International Responsible Index Fund (CDHIX).
CMJAX is a passively managed fund by Calvert Research and Management that tracks the performance of the Calvert US Mid-Cap Core Responsible Index. It was launched on Oct 30, 2015. CDHIX is managed by Calvert Research and Management. It was launched on Oct 30, 2015.
Performance
CMJAX vs. CDHIX - Performance Comparison
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CMJAX vs. CDHIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMJAX Calvert US Mid-Cap Core Responsible Index Fund Class A | -2.79% | 9.14% | 12.24% | 15.00% | -19.32% | 20.96% | 23.72% | 30.67% | -9.50% | 18.70% |
CDHIX Calvert International Responsible Index Fund | -1.74% | 33.29% | 5.04% | 20.03% | -19.22% | 12.57% | 15.33% | 24.38% | -13.67% | 25.31% |
Returns By Period
In the year-to-date period, CMJAX achieves a -2.79% return, which is significantly lower than CDHIX's -1.74% return. Over the past 10 years, CMJAX has outperformed CDHIX with an annualized return of 10.04%, while CDHIX has yielded a comparatively lower 9.26% annualized return.
CMJAX
- 1D
- -0.71%
- 1M
- -8.92%
- YTD
- -2.79%
- 6M
- -1.44%
- 1Y
- 10.92%
- 3Y*
- 9.47%
- 5Y*
- 4.42%
- 10Y*
- 10.04%
CDHIX
- 1D
- -0.11%
- 1M
- -12.55%
- YTD
- -1.74%
- 6M
- 3.84%
- 1Y
- 24.21%
- 3Y*
- 14.65%
- 5Y*
- 7.80%
- 10Y*
- 9.26%
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CMJAX vs. CDHIX - Expense Ratio Comparison
CMJAX has a 0.49% expense ratio, which is higher than CDHIX's 0.29% expense ratio.
Return for Risk
CMJAX vs. CDHIX — Risk / Return Rank
CMJAX
CDHIX
CMJAX vs. CDHIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Calvert International Responsible Index Fund (CDHIX). 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.
| CMJAX | CDHIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.61 | 1.34 | -0.73 |
Sortino ratioReturn per unit of downside risk | 0.99 | 1.84 | -0.85 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.26 | -0.13 |
Calmar ratioReturn relative to maximum drawdown | 0.73 | 1.73 | -1.00 |
Martin ratioReturn relative to average drawdown | 3.19 | 7.06 | -3.87 |
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
| CMJAX | CDHIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.61 | 1.34 | -0.73 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | 0.49 | -0.25 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.57 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.52 | 0.54 | -0.02 |
Correlation
The correlation between CMJAX and CDHIX is 0.78, 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
CMJAX vs. CDHIX - Dividend Comparison
CMJAX's dividend yield for the trailing twelve months is around 4.53%, more than CDHIX's 3.45% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
CMJAX Calvert US Mid-Cap Core Responsible Index Fund Class A | 4.53% | 4.40% | 0.89% | 0.84% | 0.80% | 2.64% | 2.43% | 1.57% | 2.97% | 2.81% | 1.86% |
CDHIX Calvert International Responsible Index Fund | 3.45% | 3.39% | 2.87% | 2.00% | 1.92% | 2.00% | 1.25% | 1.72% | 2.25% | 1.35% | 2.01% |
Drawdowns
CMJAX vs. CDHIX - Drawdown Comparison
The maximum CMJAX drawdown since its inception was -38.09%, which is greater than CDHIX's maximum drawdown of -32.32%. Use the drawdown chart below to compare losses from any high point for CMJAX and CDHIX.
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Drawdown Indicators
| CMJAX | CDHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -32.32% | -5.77% |
Max Drawdown (1Y)Largest decline over 1 year | -13.05% | -12.61% | -0.44% |
Max Drawdown (5Y)Largest decline over 5 years | -28.22% | -32.01% | +3.79% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | -32.32% | -5.77% |
Current DrawdownCurrent decline from peak | -9.39% | -12.61% | +3.22% |
Average DrawdownAverage peak-to-trough decline | -6.43% | -6.39% | -0.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 3.08% | -0.09% |
Volatility
CMJAX vs. CDHIX - Volatility Comparison
The current volatility for Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) is 4.97%, while Calvert International Responsible Index Fund (CDHIX) has a volatility of 7.69%. This indicates that CMJAX experiences smaller price fluctuations and is considered to be less risky than CDHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMJAX | CDHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.97% | 7.69% | -2.72% |
Volatility (6M)Calculated over the trailing 6-month period | 10.20% | 11.75% | -1.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.81% | 17.36% | +1.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.54% | 15.93% | +2.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.51% | 16.39% | +3.12% |