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FGMNX vs. CLDAX
Performance
Return for Risk
Dividends
Drawdowns
Volatility

Performance

FGMNX vs. CLDAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity GNMA Fund (FGMNX) and Calvert Core Bond Fund (CLDAX). The values are adjusted to include any dividend payments, if applicable.

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FGMNX vs. CLDAX - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
FGMNX
Fidelity GNMA Fund
0.46%7.89%0.43%5.46%-11.52%-1.03%3.74%5.72%0.62%1.74%
CLDAX
Calvert Core Bond Fund
-0.71%7.27%1.39%5.04%-13.48%-2.30%14.56%20.77%-5.73%9.47%

Returns By Period

In the year-to-date period, FGMNX achieves a 0.46% return, which is significantly higher than CLDAX's -0.71% return. Over the past 10 years, FGMNX has underperformed CLDAX with an annualized return of 1.22%, while CLDAX has yielded a comparatively higher 3.26% annualized return.


FGMNX

1D
0.19%
1M
-1.33%
YTD
0.46%
6M
1.56%
1Y
4.70%
3Y*
3.76%
5Y*
0.19%
10Y*
1.22%

CLDAX

1D
0.25%
1M
-1.81%
YTD
-0.71%
6M
0.09%
1Y
3.42%
3Y*
3.17%
5Y*
-0.16%
10Y*
3.26%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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FGMNX vs. CLDAX - Expense Ratio Comparison

FGMNX has a 0.45% expense ratio, which is lower than CLDAX's 0.74% expense ratio.


Return for Risk

FGMNX vs. CLDAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FGMNX
FGMNX Risk / Return Rank: 6161
Overall Rank
FGMNX Sharpe Ratio Rank: 6262
Sharpe Ratio Rank
FGMNX Sortino Ratio Rank: 6363
Sortino Ratio Rank
FGMNX Omega Ratio Rank: 4848
Omega Ratio Rank
FGMNX Calmar Ratio Rank: 7777
Calmar Ratio Rank
FGMNX Martin Ratio Rank: 5454
Martin Ratio Rank

CLDAX
CLDAX Risk / Return Rank: 3636
Overall Rank
CLDAX Sharpe Ratio Rank: 3737
Sharpe Ratio Rank
CLDAX Sortino Ratio Rank: 3434
Sortino Ratio Rank
CLDAX Omega Ratio Rank: 2424
Omega Ratio Rank
CLDAX Calmar Ratio Rank: 5050
Calmar Ratio Rank
CLDAX Martin Ratio Rank: 3636
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FGMNX vs. CLDAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity GNMA Fund (FGMNX) and Calvert Core Bond Fund (CLDAX). 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.


FGMNXCLDAXDifference

Sharpe ratio

Return per unit of total volatility

1.17

0.89

+0.28

Sortino ratio

Return per unit of downside risk

1.69

1.27

+0.42

Omega ratio

Gain probability vs. loss probability

1.21

1.16

+0.06

Calmar ratio

Return relative to maximum drawdown

1.94

1.40

+0.54

Martin ratio

Return relative to average drawdown

5.55

4.35

+1.19

FGMNX vs. CLDAX - Sharpe Ratio Comparison

The current FGMNX Sharpe Ratio is 1.17, which is higher than the CLDAX Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of FGMNX and CLDAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Sharpe Ratios by Period


FGMNXCLDAXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.17

0.89

+0.28

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.03

-0.03

+0.06

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.26

0.48

-0.21

Sharpe Ratio (All Time)

Calculated using the full available price history

1.04

0.82

+0.22

Correlation

The correlation between FGMNX and CLDAX is 0.73, 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

FGMNX vs. CLDAX - Dividend Comparison

FGMNX's dividend yield for the trailing twelve months is around 3.30%, less than CLDAX's 3.90% yield.


TTM20252024202320222021202020192018201720162015
FGMNX
Fidelity GNMA Fund
3.30%3.61%3.23%3.45%1.68%0.76%1.61%2.46%2.19%2.17%2.61%2.25%
CLDAX
Calvert Core Bond Fund
3.90%4.24%4.16%3.17%1.80%6.08%5.22%3.04%3.63%3.02%7.02%2.85%

Drawdowns

FGMNX vs. CLDAX - Drawdown Comparison

The maximum FGMNX drawdown since its inception was -16.84%, smaller than the maximum CLDAX drawdown of -18.88%. Use the drawdown chart below to compare losses from any high point for FGMNX and CLDAX.


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Drawdown Indicators


FGMNXCLDAXDifference

Max Drawdown

Largest peak-to-trough decline

-16.84%

-18.88%

+2.04%

Max Drawdown (1Y)

Largest decline over 1 year

-2.91%

-3.04%

+0.13%

Max Drawdown (5Y)

Largest decline over 5 years

-16.62%

-18.21%

+1.59%

Max Drawdown (10Y)

Largest decline over 10 years

-16.84%

-18.88%

+2.04%

Current Drawdown

Current decline from peak

-1.71%

-4.11%

+2.40%

Average Drawdown

Average peak-to-trough decline

-1.91%

-3.92%

+2.01%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.02%

0.98%

+0.04%

Volatility

FGMNX vs. CLDAX - Volatility Comparison

The current volatility for Fidelity GNMA Fund (FGMNX) is 1.50%, while Calvert Core Bond Fund (CLDAX) has a volatility of 1.60%. This indicates that FGMNX experiences smaller price fluctuations and is considered to be less risky than CLDAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


FGMNXCLDAXDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.50%

1.60%

-0.10%

Volatility (6M)

Calculated over the trailing 6-month period

2.49%

2.56%

-0.07%

Volatility (1Y)

Calculated over the trailing 1-year period

4.41%

4.27%

+0.14%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

6.21%

5.59%

+0.62%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

4.65%

6.85%

-2.20%