CMJIX vs. QQQ
Compare and contrast key facts about Calvert US Mid-Cap Core Responsible Index Fund (CMJIX) and Invesco QQQ ETF (QQQ).
CMJIX is managed by Calvert Research and Management. It was launched on Oct 30, 2015. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Performance
CMJIX vs. QQQ - Performance Comparison
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CMJIX vs. QQQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CMJIX Calvert US Mid-Cap Core Responsible Index Fund | 0.05% | 9.41% | 12.53% | 15.25% | -19.10% | 21.27% | 24.04% | 31.03% | -9.21% | 19.13% |
QQQ Invesco QQQ ETF | -4.76% | 20.77% | 25.58% | 54.86% | -32.58% | 27.42% | 48.62% | 38.96% | -0.13% | 32.66% |
Returns By Period
In the year-to-date period, CMJIX achieves a 0.05% return, which is significantly higher than QQQ's -4.76% return. Over the past 10 years, CMJIX has underperformed QQQ with an annualized return of 10.66%, while QQQ has yielded a comparatively higher 18.99% annualized return.
CMJIX
- 1D
- 2.86%
- 1M
- -6.22%
- YTD
- 0.05%
- 6M
- 1.44%
- 1Y
- 13.98%
- 3Y*
- 10.78%
- 5Y*
- 5.00%
- 10Y*
- 10.66%
QQQ
- 1D
- 1.24%
- 1M
- -3.79%
- YTD
- -4.76%
- 6M
- -2.89%
- 1Y
- 24.21%
- 3Y*
- 22.83%
- 5Y*
- 13.16%
- 10Y*
- 18.99%
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CMJIX vs. QQQ - Expense Ratio Comparison
CMJIX has a 0.24% expense ratio, which is higher than QQQ's 0.18% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Return for Risk
CMJIX vs. QQQ — Risk / Return Rank
CMJIX
QQQ
CMJIX vs. QQQ - 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 Invesco QQQ ETF (QQQ). 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 | QQQ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.76 | 1.07 | -0.31 |
Sortino ratioReturn per unit of downside risk | 1.20 | 1.66 | -0.46 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.24 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 1.14 | 2.00 | -0.86 |
Martin ratioReturn relative to average drawdown | 4.92 | 7.32 | -2.40 |
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 | QQQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.76 | 1.07 | -0.31 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.27 | 0.59 | -0.32 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | 0.86 | -0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.55 | 0.38 | +0.18 |
Correlation
The correlation between CMJIX and QQQ is 0.76, 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
CMJIX vs. QQQ - Dividend Comparison
CMJIX's dividend yield for the trailing twelve months is around 4.59%, more than QQQ's 0.48% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CMJIX Calvert US Mid-Cap Core Responsible Index Fund | 4.59% | 4.59% | 1.14% | 1.06% | 0.99% | 2.78% | 2.60% | 1.85% | 3.19% | 2.85% | 1.99% | 0.00% |
QQQ Invesco QQQ ETF | 0.48% | 0.45% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% |
Drawdowns
CMJIX vs. QQQ - Drawdown Comparison
The maximum CMJIX drawdown since its inception was -38.09%, smaller than the maximum QQQ drawdown of -82.97%. Use the drawdown chart below to compare losses from any high point for CMJIX and QQQ.
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Drawdown Indicators
| CMJIX | QQQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.09% | -82.97% | +44.88% |
Max Drawdown (1Y)Largest decline over 1 year | -13.04% | -12.62% | -0.42% |
Max Drawdown (5Y)Largest decline over 5 years | -28.13% | -35.12% | +6.99% |
Max Drawdown (10Y)Largest decline over 10 years | -38.09% | -35.12% | -2.97% |
Current DrawdownCurrent decline from peak | -6.79% | -7.86% | +1.07% |
Average DrawdownAverage peak-to-trough decline | -6.32% | -32.99% | +26.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.01% | 3.44% | -0.43% |
Volatility
CMJIX vs. QQQ - Volatility Comparison
The current volatility for Calvert US Mid-Cap Core Responsible Index Fund (CMJIX) is 5.95%, while Invesco QQQ ETF (QQQ) has a volatility of 6.61%. This indicates that CMJIX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMJIX | QQQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.95% | 6.61% | -0.66% |
Volatility (6M)Calculated over the trailing 6-month period | 10.58% | 12.82% | -2.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.96% | 22.70% | -3.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.57% | 22.38% | -3.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.53% | 22.25% | -2.72% |