CMJAX vs. FITLX
Compare and contrast key facts about Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Fidelity US Sustainability Index Fund (FITLX).
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. FITLX is managed by Fidelity. It was launched on May 9, 2017.
Performance
CMJAX vs. FITLX - Performance Comparison
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CMJAX vs. FITLX - 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 | -0.02% | 9.14% | 12.24% | 15.00% | -19.32% | 20.96% | 23.72% | 30.67% | -9.50% | 10.26% |
FITLX Fidelity US Sustainability Index Fund | -5.94% | 18.77% | 23.59% | 29.04% | -20.28% | 31.55% | 18.69% | 31.54% | -3.32% | 13.07% |
Returns By Period
In the year-to-date period, CMJAX achieves a -0.02% return, which is significantly higher than FITLX's -5.94% return.
CMJAX
- 1D
- 2.84%
- 1M
- -6.25%
- YTD
- -0.02%
- 6M
- 1.32%
- 1Y
- 13.70%
- 3Y*
- 10.50%
- 5Y*
- 4.74%
- 10Y*
- 10.35%
FITLX
- 1D
- 3.06%
- 1M
- -5.69%
- YTD
- -5.94%
- 6M
- -2.92%
- 1Y
- 18.96%
- 3Y*
- 18.12%
- 5Y*
- 11.53%
- 10Y*
- —
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CMJAX vs. FITLX - Expense Ratio Comparison
CMJAX has a 0.49% expense ratio, which is higher than FITLX's 0.11% expense ratio.
Return for Risk
CMJAX vs. FITLX — Risk / Return Rank
CMJAX
FITLX
CMJAX vs. FITLX - 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 Fidelity US Sustainability Index Fund (FITLX). 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 | FITLX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.74 | 1.06 | -0.32 |
Sortino ratioReturn per unit of downside risk | 1.18 | 1.63 | -0.45 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.24 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 1.11 | 1.75 | -0.64 |
Martin ratioReturn relative to average drawdown | 4.81 | 7.04 | -2.23 |
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 | FITLX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.74 | 1.06 | -0.32 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.26 | 0.66 | -0.40 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.53 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.54 | 0.73 | -0.19 |
Correlation
The correlation between CMJAX and FITLX is 0.88, 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. FITLX - Dividend Comparison
CMJAX's dividend yield for the trailing twelve months is around 4.41%, more than FITLX's 1.18% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
CMJAX Calvert US Mid-Cap Core Responsible Index Fund Class A | 4.41% | 4.40% | 0.89% | 0.84% | 0.80% | 2.64% | 2.43% | 1.57% | 2.97% | 2.81% | 1.86% |
FITLX Fidelity US Sustainability Index Fund | 1.18% | 1.11% | 1.29% | 1.12% | 1.49% | 0.99% | 1.01% | 1.41% | 1.58% | 0.76% | 0.00% |
Drawdowns
CMJAX vs. FITLX - Drawdown Comparison
The maximum CMJAX drawdown since its inception was -38.09%, which is greater than FITLX's maximum drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for CMJAX and FITLX.
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Drawdown Indicators
| CMJAX | FITLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -34.35% | -3.74% |
Max Drawdown (1Y)Largest decline over 1 year | -13.05% | -11.38% | -1.67% |
Max Drawdown (5Y)Largest decline over 5 years | -28.22% | -26.91% | -1.31% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | — | — |
Current DrawdownCurrent decline from peak | -6.82% | -8.43% | +1.61% |
Average DrawdownAverage peak-to-trough decline | -6.43% | -5.14% | -1.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 2.83% | +0.19% |
Volatility
CMJAX vs. FITLX - Volatility Comparison
Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) has a higher volatility of 5.94% compared to Fidelity US Sustainability Index Fund (FITLX) at 5.61%. This indicates that CMJAX's price experiences larger fluctuations and is considered to be riskier than FITLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMJAX | FITLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.94% | 5.61% | +0.33% |
Volatility (6M)Calculated over the trailing 6-month period | 10.58% | 10.07% | +0.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.98% | 18.49% | +0.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.58% | 17.55% | +1.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.53% | 19.19% | +0.34% |