GAB vs. CFJIX

Last updated Jun 26, 2026

GAB (The Gabelli Equity Trust Inc) and CFJIX (Calvert US Large-Cap Value Responsible Index Fund) are both Large Cap Value Equities funds. Over the past 10 years, GAB returned 11.83%/yr vs 12.68%/yr for CFJIX. A 0.66 correlation means they provide meaningful diversification when combined. GAB charges 0.01%/yr vs 0.24%/yr for CFJIX.

Performance

GAB vs. CFJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Gabelli Equity Trust Inc (GAB) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GAB achieves a -2.41% return, which is significantly lower than CFJIX's 20.41% return. Over the past 10 years, GAB has underperformed CFJIX with an annualized return of 11.83%, while CFJIX has yielded a comparatively higher 12.68% annualized return.

GAB

• 1D: 1.99%
• 1M: 3.28%
• YTD: -2.41%
• 6M: -2.10%
• 1Y: 10.31%
• 3Y*: 10.86%
• 5Y*: 6.54%
• 10Y*: 11.83%

CFJIX

• 1D: 0.34%
• 1M: 5.55%
• YTD: 20.41%
• 6M: 18.88%
• 1Y: 34.23%
• 3Y*: 21.21%
• 5Y*: 10.69%
• 10Y*: 12.68%

*Multi-year figures are annualized to reflect compound growth (CAGR)

GAB vs. CFJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GAB The Gabelli Equity Trust Inc	-2.41%	27.03%	18.05%	3.37%	-16.30%	28.26%	14.70%	31.62%	-8.77%	24.66%
CFJIX Calvert US Large-Cap Value Responsible Index Fund	20.41%	16.76%	14.63%	9.86%	-11.70%	24.40%	9.06%	29.36%	-10.08%	15.17%

Correlation

The correlation between GAB and CFJIX is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.54
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.65
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.66

The correlation between GAB and CFJIX shifts across timeframes, from 0.54 (1 year) to 0.66 (all time), reflecting how their relationship changes across market environments.

Return for Risk

GAB vs. CFJIX — Risk / Return Rank

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

GAB

GAB Risk / Return Rank: 11
GAB Sharpe Ratio Rank: 11
GAB Sortino Ratio Rank: 12
GAB Omega Ratio Rank: 11
GAB Calmar Ratio Rank: 11
GAB Martin Ratio Rank: 9

CFJIX

CFJIX Risk / Return Rank: 87
CFJIX Sharpe Ratio Rank: 90
CFJIX Sortino Ratio Rank: 88
CFJIX Omega Ratio Rank: 82
CFJIX Calmar Ratio Rank: 87
CFJIX Martin Ratio Rank: 88

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.

GAB vs. CFJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for The Gabelli Equity Trust Inc (GAB) 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.

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.

	GAB	CFJIX	Difference
Sharpe ratio: Return per unit of total volatility	0.70	2.57	-1.86
Sortino ratio: Return per unit of downside risk	1.11	3.69	-2.58
Omega ratio: Gain probability vs. loss probability	1.13	1.45	-0.32
Calmar ratio: Return relative to maximum drawdown	0.80	3.72	-2.92
Martin ratio: Return relative to average drawdown	1.99	14.45	-12.46

GAB vs. CFJIX - Sharpe Ratio Comparison

The current GAB Sharpe Ratio is 0.70, which is lower than the CFJIX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of GAB and CFJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

GAB vs. CFJIX - Drawdown Comparison

The maximum GAB drawdown since its inception was -74.62%, which is greater than CFJIX's maximum drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for GAB and CFJIX.

Drawdown Indicators

	GAB	CFJIX	Difference
Max Drawdown Largest peak-to-trough decline	-74.62%	-36.91%	-37.71%
Max Drawdown (1Y) Largest decline over 1 year	-12.90%	-9.00%	-3.90%
Max Drawdown (3Y) Largest decline over 3 years	-19.63%	-16.60%	-3.03%
Max Drawdown (5Y) Largest decline over 5 years	-26.60%	-22.62%	-3.98%
Max Drawdown (10Y) Largest decline over 10 years	-46.92%	-36.91%	-10.01%
Current Drawdown Current decline from peak	-5.33%	0.00%	-5.33%
Average Drawdown Average peak-to-trough decline	-10.64%	-5.08%	-5.56%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.19%	2.31%	+2.88%

Volatility

GAB vs. CFJIX - Volatility Comparison

The Gabelli Equity Trust Inc (GAB) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX) have volatilities of 4.45% and 4.24%, 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.

Volatility by Period

	GAB	CFJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.45%	4.24%	+0.21%
Volatility (6M) Calculated over the trailing 6-month period	11.85%	10.06%	+1.79%
Volatility (1Y) Calculated over the trailing 1-year period	14.73%	13.09%	+1.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.15%	16.01%	+2.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.91%	17.97%	+3.94%

GAB vs. CFJIX - Expense Ratio Comparison

GAB has a 0.01% expense ratio, which is lower than CFJIX's 0.24% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

GAB vs. CFJIX - Dividend Comparison

GAB's dividend yield for the trailing twelve months is around 10.57%, more than CFJIX's 7.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CFJIX Calvert US Large-Cap Value Responsible Index Fund	7.61%	9.16%	6.31%	2.07%	2.02%	4.17%	1.88%	2.17%	4.87%	6.79%	2.28%	0.00%
GAB The Gabelli Equity Trust Inc	10.57%	9.72%	11.15%	11.81%	10.95%	8.72%	9.57%	9.85%	12.55%	9.80%	10.87%	12.05%

Frequently Asked Questions

Can I hold both GAB and CFJIX in my portfolio?

GAB and CFJIX have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GAB or CFJIX?

GAB has higher volatility (4.45%) compared to CFJIX (4.24%). In terms of maximum drawdown, GAB dropped -74.62% vs CFJIX's -36.91%.

Which has better risk-adjusted returns?

CFJIX currently has the higher Sharpe Ratio (2.57 vs 0.70), 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.