CMJAX vs. CFJIX
CMJAX (Calvert US Mid-Cap Core Responsible Index Fund Class A) and CFJIX (Calvert US Large-Cap Value Responsible Index Fund) are both mutual funds - CMJAX is a Mid Cap Blend Equities fund tracking the Calvert US Mid-Cap Core Responsible Index, while CFJIX is a Large Cap Value Equities fund managed by Calvert Research and Management. Over the past 10 years, CMJAX returned 11.61%/yr vs 11.84%/yr for CFJIX. Their correlation of 0.92 suggests significant overlap in exposure. CMJAX charges 0.49%/yr vs 0.24%/yr for CFJIX.
Performance
CMJAX vs. CFJIX - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with CMJAX having a 15.34% return and CFJIX slightly lower at 15.07%. Both investments have delivered pretty close results over the past 10 years, with CMJAX having a 11.61% annualized return and CFJIX not far ahead at 11.84%.
CMJAX
- 1D
- 1.33%
- 1M
- 6.20%
- YTD
- 15.34%
- 6M
- 15.48%
- 1Y
- 25.40%
- 3Y*
- 16.11%
- 5Y*
- 7.13%
- 10Y*
- 11.61%
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%
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 | 15.34% | 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 | 15.07% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 29.36% | -10.08% | 15.17% |
Correlation
The correlation between CMJAX and CFJIX is 0.93, 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 | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | 0.92 |
The correlation between CMJAX and CFJIX has been stable across timeframes, ranging from 0.92 to 0.93 - a consistent structural relationship.
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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 | -0.54 | ||
| Sortino ratioReturn per unit of downside risk | -0.75 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.43 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.84 | 3.44 | -0.59 |
| Martin ratioReturn relative to average drawdown | 11.45 | 13.35 | -1.90 |
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 | 1.90 | 2.44 | -0.54 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.38 | 0.59 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.60 | 0.66 | -0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.61 | 0.67 | -0.06 |
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 | -9.39% | -9.00% | -0.39% |
Max Drawdown (3Y)Largest decline over 3 years | -21.53% | -16.60% | -4.93% |
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 | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -6.35% | -5.10% | -1.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.33% | 2.31% | +0.02% |
Volatility
CMJAX vs. CFJIX - Volatility Comparison
Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX) have volatilities of 4.04% and 3.91%, 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
| CMJAX | CFJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.04% | 3.91% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 10.67% | 9.60% | +1.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.07% | 12.70% | +1.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.61% | 15.97% | +2.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.58% | 17.99% | +1.59% |
CMJAX vs. CFJIX - Expense Ratio Comparison
CMJAX has a 0.49% expense ratio, which is higher than CFJIX's 0.24% expense ratio.
Dividends
CMJAX vs. CFJIX - Dividend Comparison
CMJAX's dividend yield for the trailing twelve months is around 3.82%, less than CFJIX's 7.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
CMJAX Calvert US Mid-Cap Core Responsible Index Fund Class A | 3.82% | 4.40% | 0.89% | 0.84% | 0.80% | 2.64% | 2.43% | 1.57% | 2.97% | 2.81% | 1.86% |
Frequently Asked Questions
With a correlation of 0.93, CMJAX and CFJIX 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.
CMJAX has higher volatility (4.04%) compared to CFJIX (3.91%). In terms of maximum drawdown, CMJAX dropped -38.09% vs CFJIX's -36.91%.
CFJIX currently has the higher Sharpe Ratio (2.44 vs 1.90), 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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