CMJAX vs. PARMX
Compare and contrast key facts about Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) and Parnassus Mid Cap Fund (PARMX).
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. PARMX is managed by Parnassus. It was launched on Apr 29, 2005.
Performance
CMJAX vs. PARMX - Performance Comparison
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CMJAX vs. PARMX - 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 | -2.79% | 9.14% | 12.24% | 15.00% | -19.32% | 20.96% | 23.72% | 30.67% | -9.50% | 18.70% |
PARMX Parnassus Mid Cap Fund | -4.88% | 12.86% | 10.05% | 12.66% | -21.41% | 16.38% | 14.88% | 28.74% | -6.67% | 15.80% |
Returns By Period
In the year-to-date period, CMJAX achieves a -2.79% return, which is significantly higher than PARMX's -4.88% return. Over the past 10 years, CMJAX has outperformed PARMX with an annualized return of 10.04%, while PARMX has yielded a comparatively lower 8.12% annualized return.
CMJAX
- 1D
- -0.71%
- 1M
- -8.92%
- YTD
- -2.79%
- 6M
- -1.44%
- 1Y
- 10.92%
- 3Y*
- 9.47%
- 5Y*
- 4.42%
- 10Y*
- 10.04%
PARMX
- 1D
- -0.05%
- 1M
- -9.51%
- YTD
- -4.88%
- 6M
- -4.06%
- 1Y
- 10.00%
- 3Y*
- 9.83%
- 5Y*
- 3.37%
- 10Y*
- 8.12%
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CMJAX vs. PARMX - Expense Ratio Comparison
CMJAX has a 0.49% expense ratio, which is lower than PARMX's 0.96% expense ratio.
Return for Risk
CMJAX vs. PARMX — Risk / Return Rank
CMJAX
PARMX
CMJAX vs. PARMX - 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 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.
| CMJAX | PARMX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.61 | 0.58 | +0.03 |
Sortino ratioReturn per unit of downside risk | 0.99 | 0.96 | +0.03 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.12 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 0.73 | 0.71 | +0.02 |
Martin ratioReturn relative to average drawdown | 3.19 | 2.88 | +0.31 |
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 | PARMX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.61 | 0.58 | +0.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | 0.19 | +0.05 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.52 | 0.46 | +0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.52 | 0.44 | +0.08 |
Correlation
The correlation between CMJAX and PARMX is 0.94, 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. PARMX - Dividend Comparison
CMJAX's dividend yield for the trailing twelve months is around 4.53%, less than PARMX's 10.77% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMJAX Calvert US Mid-Cap Core Responsible Index Fund Class A | 4.53% | 4.40% | 0.89% | 0.84% | 0.80% | 2.64% | 2.43% | 1.57% | 2.97% | 2.81% | 1.86% | 0.00% |
PARMX Parnassus Mid Cap Fund | 10.77% | 10.25% | 9.92% | 2.29% | 4.90% | 4.88% | 0.36% | 4.15% | 3.90% | 4.19% | 2.76% | 6.42% |
Drawdowns
CMJAX vs. PARMX - Drawdown Comparison
The maximum CMJAX drawdown since its inception was -38.09%, smaller than the maximum PARMX drawdown of -49.88%. Use the drawdown chart below to compare losses from any high point for CMJAX and PARMX.
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Drawdown Indicators
| CMJAX | PARMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -49.88% | +11.79% |
Max Drawdown (1Y)Largest decline over 1 year | -13.05% | -12.25% | -0.80% |
Max Drawdown (5Y)Largest decline over 5 years | -28.22% | -29.27% | +1.05% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | -37.39% | -0.70% |
Current DrawdownCurrent decline from peak | -9.39% | -10.49% | +1.10% |
Average DrawdownAverage peak-to-trough decline | -6.43% | -6.94% | +0.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 3.03% | -0.04% |
Volatility
CMJAX vs. PARMX - Volatility Comparison
Calvert US Mid-Cap Core Responsible Index Fund Class A (CMJAX) has a higher volatility of 4.97% compared to Parnassus Mid Cap Fund (PARMX) at 4.66%. This indicates that CMJAX's price experiences larger fluctuations and is considered to be riskier than PARMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMJAX | PARMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.97% | 4.66% | +0.31% |
Volatility (6M)Calculated over the trailing 6-month period | 10.20% | 10.76% | -0.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.81% | 19.25% | -0.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.54% | 17.45% | +1.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.51% | 17.62% | +1.89% |