CMJAX vs. JNVSX
Compare and contrast key facts about Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Jensen Quality Value Fund (JNVSX).
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. JNVSX is managed by Jensen. It was launched on Mar 31, 2010.
Performance
CMJAX vs. JNVSX - Performance Comparison
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CMJAX vs. JNVSX - 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% | 18.70% |
JNVSX Jensen Quality Value Fund | -2.61% | -2.58% | 9.40% | 18.58% | -15.83% | 60.71% | 14.79% | 27.58% | -9.03% | 15.08% |
Returns By Period
In the year-to-date period, CMJAX achieves a -0.02% return, which is significantly higher than JNVSX's -2.61% return. Both investments have delivered pretty close results over the past 10 years, with CMJAX having a 10.35% annualized return and JNVSX not far ahead at 10.78%.
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%
JNVSX
- 1D
- 1.20%
- 1M
- -7.83%
- YTD
- -2.61%
- 6M
- -6.59%
- 1Y
- -2.89%
- 3Y*
- 5.33%
- 5Y*
- 8.67%
- 10Y*
- 10.78%
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CMJAX vs. JNVSX - Expense Ratio Comparison
CMJAX has a 0.49% expense ratio, which is lower than JNVSX's 1.05% expense ratio.
Return for Risk
CMJAX vs. JNVSX — Risk / Return Rank
CMJAX
JNVSX
CMJAX vs. JNVSX - 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 Jensen Quality Value Fund (JNVSX). 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 | JNVSX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.74 | -0.16 | +0.90 |
Sortino ratioReturn per unit of downside risk | 1.18 | -0.11 | +1.29 |
Omega ratioGain probability vs. loss probability | 1.16 | 0.99 | +0.18 |
Calmar ratioReturn relative to maximum drawdown | 1.11 | -0.16 | +1.27 |
Martin ratioReturn relative to average drawdown | 4.81 | -0.38 | +5.19 |
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 | JNVSX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.74 | -0.16 | +0.90 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.26 | 0.43 | -0.17 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.53 | 0.56 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.54 | 0.57 | -0.04 |
Correlation
The correlation between CMJAX and JNVSX is 0.91, 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. JNVSX - Dividend Comparison
CMJAX's dividend yield for the trailing twelve months is around 4.41%, less than JNVSX's 11.51% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
JNVSX Jensen Quality Value Fund | 11.51% | 11.31% | 6.15% | 0.56% | 2.69% | 22.40% | 1.27% | 5.13% | 6.15% | 4.14% | 1.34% | 17.62% |
Drawdowns
CMJAX vs. JNVSX - Drawdown Comparison
The maximum CMJAX drawdown since its inception was -38.09%, which is greater than JNVSX's maximum drawdown of -34.52%. Use the drawdown chart below to compare losses from any high point for CMJAX and JNVSX.
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Drawdown Indicators
| CMJAX | JNVSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -34.52% | -3.57% |
Max Drawdown (1Y)Largest decline over 1 year | -13.05% | -10.62% | -2.43% |
Max Drawdown (5Y)Largest decline over 5 years | -28.22% | -24.56% | -3.66% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | -34.52% | -3.57% |
Current DrawdownCurrent decline from peak | -6.82% | -10.92% | +4.10% |
Average DrawdownAverage peak-to-trough decline | -6.43% | -5.13% | -1.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 4.49% | -1.47% |
Volatility
CMJAX vs. JNVSX - Volatility Comparison
Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) has a higher volatility of 5.94% compared to Jensen Quality Value Fund (JNVSX) at 3.78%. This indicates that CMJAX's price experiences larger fluctuations and is considered to be riskier than JNVSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMJAX | JNVSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.94% | 3.78% | +2.16% |
Volatility (6M)Calculated over the trailing 6-month period | 10.58% | 9.33% | +1.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.98% | 16.24% | +2.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.58% | 20.45% | -1.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.53% | 19.26% | +0.27% |