CMJIX vs. CFJIX
CMJIX (Calvert US Mid-Cap Core Responsible Index Fund) and CFJIX (Calvert US Large-Cap Value Responsible Index Fund) are both mutual funds - CMJIX is a Mid Cap Blend Equities fund managed by Calvert Research and Management, while CFJIX is a Large Cap Value Equities fund managed by Calvert Research and Management. Over the past 10 years, CMJIX returned 11.92%/yr vs 11.84%/yr for CFJIX. Their correlation of 0.92 suggests significant overlap in exposure. Both charge a 0.24% expense ratio.
Performance
CMJIX vs. CFJIX - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with CMJIX having a 15.46% return and CFJIX slightly lower at 15.07%. Both investments have delivered pretty close results over the past 10 years, with CMJIX having a 11.92% annualized return and CFJIX not far behind at 11.84%.
CMJIX
- 1D
- 1.33%
- 1M
- 6.21%
- YTD
- 15.46%
- 6M
- 15.62%
- 1Y
- 25.72%
- 3Y*
- 16.41%
- 5Y*
- 7.39%
- 10Y*
- 11.92%
CFJIX
- 1D
- 0.89%
- 1M
- 5.68%
- YTD
- 15.07%
- 6M
- 16.33%
- 1Y
- 30.02%
- 3Y*
- 19.73%
- 5Y*
- 9.31%
- 10Y*
- 11.84%
CMJIX vs. CFJIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMJIX Calvert US Mid-Cap Core Responsible Index Fund | 15.46% | 9.41% | 12.53% | 15.25% | -19.10% | 21.27% | 24.04% | 31.03% | -9.21% | 19.13% |
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 15.07% | 16.76% | 14.63% | 9.86% | -11.70% | 24.40% | 9.06% | 29.36% | -10.08% | 15.17% |
Correlation
The correlation between CMJIX and CFJIX is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | 0.92 |
The correlation between CMJIX and CFJIX has been stable across timeframes, ranging from 0.92 to 0.93 - a consistent structural relationship.
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Return for Risk
CMJIX vs. CFJIX — Risk / Return Rank
CMJIX
CFJIX
CMJIX vs. CFJIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert US Mid-Cap Core Responsible Index Fund (CMJIX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX). 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.
| CMJIX | CFJIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.51 | ||
| Sortino ratioReturn per unit of downside risk | -0.72 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.43 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.88 | 3.44 | -0.56 |
| Martin ratioReturn relative to average drawdown | 11.62 | 13.35 | -1.73 |
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
| CMJIX | CFJIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.92 | 2.44 | -0.51 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.40 | 0.59 | -0.19 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.61 | 0.66 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.62 | 0.67 | -0.04 |
Drawdowns
CMJIX vs. CFJIX - Drawdown Comparison
The maximum CMJIX drawdown since its inception was -38.09%, roughly equal to the maximum CFJIX drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for CMJIX and CFJIX.
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Drawdown Indicators
| CMJIX | CFJIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -36.91% | -1.18% |
Max Drawdown (1Y)Largest decline over 1 year | -9.38% | -9.00% | -0.38% |
Max Drawdown (3Y)Largest decline over 3 years | -21.46% | -16.60% | -4.86% |
Max Drawdown (5Y)Largest decline over 5 years | -28.13% | -22.62% | -5.51% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | -36.91% | -1.18% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -6.24% | -5.10% | -1.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.32% | 2.31% | +0.01% |
Volatility
CMJIX vs. CFJIX - Volatility Comparison
Calvert US Mid-Cap Core Responsible Index Fund (CMJIX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX) have volatilities of 4.05% and 3.91%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMJIX | CFJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 3.91% | +0.14% |
Volatility (6M)Calculated over the trailing 6-month period | 10.68% | 9.60% | +1.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.07% | 12.70% | +1.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.61% | 15.97% | +2.64% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.57% | 17.99% | +1.58% |
CMJIX vs. CFJIX - Expense Ratio Comparison
Both CMJIX and CFJIX have an expense ratio of 0.24%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
CMJIX vs. CFJIX - Dividend Comparison
CMJIX's dividend yield for the trailing twelve months is around 3.98%, less than CFJIX's 7.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
CFJIX Calvert US Large-Cap Value Responsible Index Fund | 7.96% | 9.16% | 6.31% | 2.07% | 2.02% | 4.17% | 1.88% | 2.17% | 4.87% | 6.79% | 2.28% |
CMJIX Calvert US Mid-Cap Core Responsible Index Fund | 3.98% | 4.59% | 1.14% | 1.06% | 0.99% | 2.78% | 2.60% | 1.85% | 3.19% | 2.85% | 1.99% |
Frequently Asked Questions
With a correlation of 0.93, CMJIX and CFJIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
CMJIX has higher volatility (4.05%) compared to CFJIX (3.91%). In terms of maximum drawdown, CMJIX dropped -38.09% vs CFJIX's -36.91%.
CFJIX currently has the higher Sharpe Ratio (2.44 vs 1.92), 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.
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