CSIEX vs. FITLX
CSIEX (Calvert Equity Fund) and FITLX (Fidelity U.S. Sustainability Index Fund) are both mutual funds - CSIEX is a Large Cap Growth Equities fund managed by Calvert, while FITLX is a Large Cap Blend Equities fund tracking the MSCI USA ESG Leaders Index. Over the past 5 years, CSIEX returned 3.27%/yr vs 12.48%/yr for FITLX. Their correlation of 0.86 means they have usually moved in the same direction. CSIEX charges 0.91%/yr vs 0.11%/yr for FITLX.
Performance
CSIEX vs. FITLX - Performance Comparison
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Returns By Period
In the year-to-date period, CSIEX achieves a -4.38% return, which is significantly lower than FITLX's 8.63% return.
CSIEX
- 1D
- -0.83%
- 1M
- 2.53%
- 6M
- -3.13%
- YTD
- -4.38%
- 1Y
- -1.72%
- 3Y*
- 5.38%
- 5Y*
- 3.27%
- 10Y*
- 11.84%
- ALL TIME*
- 8.60%
FITLX
- 1D
- 2.13%
- 1M
- -1.05%
- 6M
- 7.02%
- YTD
- 8.63%
- 1Y
- 20.47%
- 3Y*
- 19.14%
- 5Y*
- 12.48%
- 10Y*
- —
- ALL TIME*
- 15.18%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
CSIEX Calvert Equity Fund | $0.00 | $0.00 | $0.00 |
| $0.00 | $0.00 | $0.00 |
CSIEX vs. FITLX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CSIEX Calvert Equity Fund | -4.38% | 7.27% | 8.35% | 17.93% | -17.61% | 28.90% | 24.26% | 36.46% | 5.03% | 12.90% |
FITLX Fidelity U.S. Sustainability Index Fund | 8.63% | 18.77% | 23.59% | 29.04% | -20.28% | 31.55% | 18.69% | 31.54% | -3.32% | 13.07% |
Correlation
The correlation between CSIEX and FITLX is 0.48, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.48 |
Correlation (3Y) Balances recent behavior with more history. | 0.68 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.81 |
Correlation (All Time) Calculated using the full available price history since May 9, 2017 | 0.86 |
Over the past year, the correlation between CSIEX and FITLX has dropped to 0.48 - well below their long-term average of 0.86, suggesting their price drivers have been diverging.
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Return for Risk
CSIEX vs. FITLX — Risk / Return Rank
CSIEX
FITLX
CSIEX vs. FITLX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Equity Fund (CSIEX) and Fidelity U.S. Sustainability Index Fund (FITLX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CSIEX | FITLX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.54 | ||
| Sortino ratioReturn per unit of downside risk | -2.11 | ||
| Omega ratioGain probability vs. loss probability | 0.98 | 1.24 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 1.64 | -1.85 |
| Martin ratioReturn relative to average drawdown | -0.41 | 6.77 | -7.18 |
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Drawdowns
CSIEX vs. FITLX - Drawdown Comparison
The maximum CSIEX drawdown since its inception was -50.81%, which is greater than FITLX's maximum drawdown of -34.35%. Use the drawdown chart below to compare losses from any high point for CSIEX and FITLX.
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Drawdown Indicators
| CSIEX | FITLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -50.81% | -34.35% | -16.46% |
Max Drawdown (1Y)Largest decline over 1 year | -14.28% | -11.15% | -3.13% |
Max Drawdown (3Y)Largest decline over 3 years | -14.87% | -19.99% | +5.12% |
Max Drawdown (5Y)Largest decline over 5 years | -25.71% | -26.91% | +1.20% |
Max Drawdown (10Y)Largest decline over 10 years | -30.50% | — | — |
Current DrawdownCurrent decline from peak | -6.68% | -2.10% | -4.58% |
Average DrawdownAverage peak-to-trough decline | -6.25% | -5.02% | -1.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.25% | 2.69% | +4.56% |
Volatility
CSIEX vs. FITLX - Volatility Comparison
Calvert Equity Fund (CSIEX) has a higher volatility of 5.58% compared to Fidelity U.S. Sustainability Index Fund (FITLX) at 3.84%. This indicates that CSIEX's price experiences larger fluctuations and is considered to be riskier than FITLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CSIEX | FITLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.58% | 3.84% | +1.74% |
Volatility (6M)Calculated over the trailing 6-month period | 11.19% | 11.03% | +0.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.72% | 13.83% | -0.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.46% | 17.73% | -1.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.22% | 19.05% | -1.83% |
CSIEX vs. FITLX - Expense Ratio Comparison
CSIEX has a 0.91% expense ratio, which is higher than FITLX's 0.11% expense ratio.
Dividends
CSIEX vs. FITLX - Dividend Comparison
CSIEX's dividend yield for the trailing twelve months is around 24.02%, more than FITLX's 1.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CSIEX Calvert Equity Fund | 24.02% | 22.97% | 8.74% | 1.79% | 3.40% | 3.56% | 2.70% | 2.87% | 8.78% | 8.10% | 11.30% | 25.62% |
FITLX Fidelity U.S. Sustainability Index Fund | 1.02% | 1.11% | 1.29% | 1.12% | 1.49% | 0.99% | 1.01% | 1.41% | 1.58% | 0.76% | 0.00% | 0.00% |
Frequently Asked Questions
CSIEX and FITLX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CSIEX has higher volatility (5.58%) compared to FITLX (3.84%). In terms of maximum drawdown, CSIEX dropped -50.81% vs FITLX's -34.35%.
FITLX currently has the higher Sharpe Ratio (1.32 vs -0.22), 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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