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CMJAX vs. FITLX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CMJAX and FITLX is 0.90, 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.


-0.50.00.51.00.9

Performance

CMJAX vs. FITLX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Fidelity US Sustainability Index Fund (FITLX). The values are adjusted to include any dividend payments, if applicable.

60.00%80.00%100.00%120.00%140.00%160.00%180.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
86.22%
184.12%
CMJAX
FITLX

Key characteristics

Sharpe Ratio

CMJAX:

1.07

FITLX:

1.83

Sortino Ratio

CMJAX:

1.53

FITLX:

2.46

Omega Ratio

CMJAX:

1.19

FITLX:

1.34

Calmar Ratio

CMJAX:

1.02

FITLX:

2.68

Martin Ratio

CMJAX:

5.09

FITLX:

10.93

Ulcer Index

CMJAX:

2.89%

FITLX:

2.33%

Daily Std Dev

CMJAX:

13.76%

FITLX:

13.95%

Max Drawdown

CMJAX:

-38.09%

FITLX:

-34.35%

Current Drawdown

CMJAX:

-6.96%

FITLX:

-4.45%

Returns By Period

In the year-to-date period, CMJAX achieves a 12.40% return, which is significantly lower than FITLX's 23.39% return.


CMJAX

YTD

12.40%

1M

-3.12%

6M

8.50%

1Y

13.14%

5Y*

8.34%

10Y*

N/A

FITLX

YTD

23.39%

1M

-1.69%

6M

6.11%

1Y

24.09%

5Y*

14.67%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CMJAX vs. FITLX - Expense Ratio Comparison

CMJAX has a 0.49% expense ratio, which is higher than FITLX's 0.11% expense ratio.


CMJAX
Calvert US Mid-Cap Core Responsible Index Fund Class A
Expense ratio chart for CMJAX: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
Expense ratio chart for FITLX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

CMJAX vs. FITLX - Risk-Adjusted Performance 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.


Sharpe ratio
The chart of Sharpe ratio for CMJAX, currently valued at 1.07, compared to the broader market-1.000.001.002.003.004.001.071.83
The chart of Sortino ratio for CMJAX, currently valued at 1.53, compared to the broader market-2.000.002.004.006.008.0010.001.532.46
The chart of Omega ratio for CMJAX, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.003.501.191.34
The chart of Calmar ratio for CMJAX, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.0012.0014.001.022.68
The chart of Martin ratio for CMJAX, currently valued at 5.09, compared to the broader market0.0020.0040.0060.005.0910.93
CMJAX
FITLX

The current CMJAX Sharpe Ratio is 1.07, which is lower than the FITLX Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of CMJAX and FITLX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.07
1.83
CMJAX
FITLX

Dividends

CMJAX vs. FITLX - Dividend Comparison

Neither CMJAX nor FITLX has paid dividends to shareholders.


TTM202320222021202020192018201720162015
CMJAX
Calvert US Mid-Cap Core Responsible Index Fund Class A
0.00%0.84%0.80%0.34%0.56%0.63%1.10%0.95%0.72%0.29%
FITLX
Fidelity US Sustainability Index Fund
0.00%1.12%1.49%0.81%1.01%1.27%1.37%0.71%0.00%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. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.96%
-4.45%
CMJAX
FITLX

Volatility

CMJAX vs. FITLX - Volatility Comparison

Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) has a higher volatility of 5.03% compared to Fidelity US Sustainability Index Fund (FITLX) at 4.44%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.03%
4.44%
CMJAX
FITLX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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