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

Correlation

The correlation between CMJAX and PARMX is 0.93, 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. PARMX - 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 Parnassus Mid Cap Fund (PARMX). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
121.00%
43.63%
CMJAX
PARMX

Key characteristics

Sharpe Ratio

CMJAX:

1.07

PARMX:

0.28

Sortino Ratio

CMJAX:

1.53

PARMX:

0.46

Omega Ratio

CMJAX:

1.19

PARMX:

1.06

Calmar Ratio

CMJAX:

1.02

PARMX:

0.18

Martin Ratio

CMJAX:

5.09

PARMX:

1.08

Ulcer Index

CMJAX:

2.89%

PARMX:

3.68%

Daily Std Dev

CMJAX:

13.76%

PARMX:

14.22%

Max Drawdown

CMJAX:

-38.09%

PARMX:

-51.40%

Current Drawdown

CMJAX:

-6.96%

PARMX:

-18.24%

Returns By Period

In the year-to-date period, CMJAX achieves a 12.40% return, which is significantly higher than PARMX's 1.56% return.


CMJAX

YTD

12.40%

1M

-3.12%

6M

8.50%

1Y

13.14%

5Y*

8.34%

10Y*

N/A

PARMX

YTD

1.56%

1M

-11.82%

6M

-0.55%

1Y

2.60%

5Y*

1.42%

10Y*

3.66%

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. PARMX - Expense Ratio Comparison

CMJAX has a 0.49% expense ratio, which is lower than PARMX's 0.96% expense ratio.


PARMX
Parnassus Mid Cap Fund
Expense ratio chart for PARMX: current value at 0.96% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.96%
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%

Risk-Adjusted Performance

CMJAX vs. PARMX - 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 Parnassus Mid Cap Fund (PARMX). 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-1.000.001.002.003.004.001.070.28
The chart of Sortino ratio for CMJAX, currently valued at 1.53, compared to the broader market-2.000.002.004.006.008.0010.001.530.46
The chart of Omega ratio for CMJAX, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.003.501.191.06
The chart of Calmar ratio for CMJAX, currently valued at 1.02, compared to the broader market0.002.004.006.008.0010.0012.0014.001.020.18
The chart of Martin ratio for CMJAX, currently valued at 5.09, compared to the broader market0.0020.0040.0060.005.091.08
CMJAX
PARMX

The current CMJAX Sharpe Ratio is 1.07, which is higher than the PARMX Sharpe Ratio of 0.28. The chart below compares the historical Sharpe Ratios of CMJAX and PARMX, 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.07
0.28
CMJAX
PARMX

Dividends

CMJAX vs. PARMX - Dividend Comparison

Neither CMJAX nor PARMX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
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%0.00%0.00%
PARMX
Parnassus Mid Cap Fund
0.00%0.37%0.01%0.03%0.19%0.51%0.76%1.49%0.38%0.70%0.72%1.04%

Drawdowns

CMJAX vs. PARMX - Drawdown Comparison

The maximum CMJAX drawdown since its inception was -38.09%, smaller than the maximum PARMX drawdown of -51.40%. Use the drawdown chart below to compare losses from any high point for CMJAX and PARMX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.96%
-18.24%
CMJAX
PARMX

Volatility

CMJAX vs. PARMX - Volatility Comparison

The current volatility for Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) is 5.03%, while Parnassus Mid Cap Fund (PARMX) has a volatility of 6.94%. This indicates that CMJAX experiences smaller price fluctuations and is considered to be less risky than PARMX 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%
6.94%
CMJAX
PARMX
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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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