CMJAX vs. CFJIX
Compare and contrast key facts about Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX).
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. CFJIX is managed by Calvert Research and Management. It was launched on Jun 19, 2015.
Performance
CMJAX vs. CFJIX - Performance Comparison
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CMJAX vs. CFJIX - 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% |
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, CMJAX achieves a -2.79% return, which is significantly lower than CFJIX's -1.87% return. Both investments have delivered pretty close results over the past 10 years, with CMJAX having a 10.04% annualized return and CFJIX not far ahead at 10.34%.
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%
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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CMJAX vs. CFJIX - Expense Ratio Comparison
CMJAX has a 0.49% expense ratio, which is higher than CFJIX's 0.24% expense ratio.
Return for Risk
CMJAX vs. CFJIX — Risk / Return Rank
CMJAX
CFJIX
CMJAX vs. CFJIX - 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 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.
| CMJAX | CFJIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.61 | 0.88 | -0.27 |
Sortino ratioReturn per unit of downside risk | 0.99 | 1.31 | -0.33 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.18 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 0.73 | 1.09 | -0.36 |
Martin ratioReturn relative to average drawdown | 3.19 | 4.50 | -1.31 |
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 | CFJIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.61 | 0.88 | -0.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | 0.46 | -0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.58 | -0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.52 | 0.58 | -0.06 |
Correlation
The correlation between CMJAX and CFJIX is 0.92, 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. CFJIX - Dividend Comparison
CMJAX's dividend yield for the trailing twelve months is around 4.53%, less than CFJIX's 9.33% 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% |
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
CMJAX vs. CFJIX - Drawdown Comparison
The maximum CMJAX drawdown since its inception was -38.09%, roughly equal to the maximum CFJIX drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for CMJAX and CFJIX.
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Drawdown Indicators
| CMJAX | CFJIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -36.91% | -1.18% |
Max Drawdown (1Y)Largest decline over 1 year | -13.05% | -11.88% | -1.17% |
Max Drawdown (5Y)Largest decline over 5 years | -28.22% | -22.62% | -5.60% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | -36.91% | -1.18% |
Current DrawdownCurrent decline from peak | -9.39% | -9.00% | -0.39% |
Average DrawdownAverage peak-to-trough decline | -6.43% | -5.17% | -1.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 2.88% | +0.11% |
Volatility
CMJAX vs. CFJIX - Volatility Comparison
Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) has a higher volatility of 4.97% compared to Calvert US Large-Cap Value Responsible Index Fund (CFJIX) at 4.18%. This indicates that CMJAX'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
| CMJAX | CFJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.97% | 4.18% | +0.79% |
Volatility (6M)Calculated over the trailing 6-month period | 10.20% | 9.15% | +1.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.81% | 16.63% | +2.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.54% | 15.88% | +2.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.51% | 17.94% | +1.57% |