CMJAX vs. FITLX

Last updated Jun 3, 2026

CMJAX (Calvert US Mid-Cap Core Responsible Index Fund Class A) and FITLX (Fidelity US Sustainability Index Fund) are both mutual funds - CMJAX is a Mid Cap Blend Equities fund tracking the Calvert US Mid-Cap Core Responsible Index, while FITLX is a Large Cap Blend Equities fund managed by Fidelity. Over the past 5 years, CMJAX returned 6.75%/yr vs 14.20%/yr for FITLX. Their correlation of 0.88 suggests significant overlap in exposure. CMJAX charges 0.49%/yr vs 0.11%/yr for FITLX.

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.

Returns By Period

In the year-to-date period, CMJAX achieves a 13.83% return, which is significantly higher than FITLX's 10.47% return.

CMJAX

• 1D: 0.27%
• 1M: 4.34%
• YTD: 13.83%
• 6M: 14.82%
• 1Y: 24.94%
• 3Y*: 15.60%
• 5Y*: 6.75%
• 10Y*: 11.47%

FITLX

• 1D: -0.44%
• 1M: 5.58%
• YTD: 10.47%
• 6M: 11.11%
• 1Y: 28.82%
• 3Y*: 22.72%
• 5Y*: 14.20%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

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	13.83%	9.14%	12.24%	15.00%	-19.32%	20.96%	23.72%	30.67%	-9.50%	10.26%
FITLX Fidelity US Sustainability Index Fund	10.47%	18.77%	23.59%	29.04%	-20.28%	31.55%	18.69%	31.54%	-3.32%	13.07%

Correlation

The correlation between CMJAX and FITLX is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (All Time) Calculated using the full available price history since May 10, 2017	0.88

The correlation between CMJAX and FITLX shifts across timeframes, from 0.73 (1 year) to 0.88 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CMJAX vs. FITLX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CMJAX

CMJAX Risk / Return Rank: 42
CMJAX Sharpe Ratio Rank: 37
CMJAX Sortino Ratio Rank: 38
CMJAX Omega Ratio Rank: 35
CMJAX Calmar Ratio Rank: 48
CMJAX Martin Ratio Rank: 52

FITLX

FITLX Risk / Return Rank: 57
FITLX Sharpe Ratio Rank: 63
FITLX Sortino Ratio Rank: 59
FITLX Omega Ratio Rank: 57
FITLX Calmar Ratio Rank: 49
FITLX Martin Ratio Rank: 58

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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 ratio Return per unit of total volatility	1.78	2.33	-0.55
Sortino ratio Return per unit of downside risk	2.61	3.23	-0.62
Omega ratio Gain probability vs. loss probability	1.31	1.42	-0.10
Calmar ratio Return relative to maximum drawdown	2.66	2.67	-0.02
Martin ratio Return relative to average drawdown	10.71	11.60	-0.89
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CMJAX vs. FITLX - Sharpe Ratio Comparison

The current CMJAX Sharpe Ratio is 1.78, which is comparable to the FITLX Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of CMJAX and FITLX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CMJAX	FITLX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.78	2.33	-0.55
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.36	0.81	-0.45
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.59	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.82	-0.22

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.

Drawdown Indicators

	CMJAX	FITLX	Difference
Max Drawdown Largest peak-to-trough decline	-38.09%	-34.35%	-3.74%
Max Drawdown (1Y) Largest decline over 1 year	-9.39%	-11.15%	+1.76%
Max Drawdown (3Y) Largest decline over 3 years	-21.53%	-19.99%	-1.54%
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 Drawdown Current decline from peak	0.00%	-0.44%	+0.44%
Average Drawdown Average peak-to-trough decline	-6.35%	-5.07%	-1.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.33%	2.56%	-0.23%

Volatility

CMJAX vs. FITLX - Volatility Comparison

Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) has a higher volatility of 3.89% compared to Fidelity US Sustainability Index Fund (FITLX) at 3.56%. 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.

Volatility by Period

	CMJAX	FITLX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.89%	3.56%	+0.33%
Volatility (6M) Calculated over the trailing 6-month period	10.60%	9.77%	+0.83%
Volatility (1Y) Calculated over the trailing 1-year period	14.04%	12.76%	+1.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.61%	17.58%	+1.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.57%	19.10%	+0.47%

CMJAX vs. FITLX - Expense Ratio Comparison

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

Dividends

CMJAX vs. FITLX - Dividend Comparison

CMJAX's dividend yield for the trailing twelve months is around 3.87%, more than FITLX's 1.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
CMJAX Calvert US Mid-Cap Core Responsible Index Fund Class A	3.87%	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	1.00%	1.11%	1.29%	1.12%	1.49%	0.99%	1.01%	1.41%	1.58%	0.76%	0.00%

Frequently Asked Questions

Can I hold both CMJAX and FITLX in my portfolio?

CMJAX and FITLX have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CMJAX or FITLX?

CMJAX has higher volatility (3.89%) compared to FITLX (3.56%). In terms of maximum drawdown, CMJAX dropped -38.09% vs FITLX's -34.35%.

Which has better risk-adjusted returns?

FITLX currently has the higher Sharpe Ratio (2.33 vs 1.78), 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.