LGVAX vs. CFJIX

Last updated Jun 26, 2026

LGVAX (ClearBridge Value Fund Class A) and CFJIX (Calvert US Large-Cap Value Responsible Index Fund) are both Large Cap Value Equities funds. Over the past 10 years, LGVAX returned 12.57%/yr vs 12.68%/yr for CFJIX. Their correlation of 0.91 suggests significant overlap in exposure. LGVAX charges 1.01%/yr vs 0.24%/yr for CFJIX.

Performance

LGVAX vs. CFJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ClearBridge Value Fund Class A (LGVAX) 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, LGVAX achieves a 10.02% return, which is significantly lower than CFJIX's 20.41% return. Both investments have delivered pretty close results over the past 10 years, with LGVAX having a 12.57% annualized return and CFJIX not far ahead at 12.68%.

LGVAX

• 1D: -0.12%
• 1M: -0.91%
• YTD: 10.02%
• 6M: 8.39%
• 1Y: 20.08%
• 3Y*: 16.31%
• 5Y*: 9.86%
• 10Y*: 12.57%

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)

LGVAX vs. CFJIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LGVAX ClearBridge Value Fund Class A	10.02%	10.56%	15.04%	19.69%	-6.33%	27.81%	11.40%	27.04%	-12.93%	14.59%
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 LGVAX and CFJIX is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.91

The correlation between LGVAX and CFJIX has been stable across timeframes, ranging from 0.89 to 0.91 - a consistent structural relationship.

Return for Risk

LGVAX vs. CFJIX — Risk / Return Rank

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

LGVAX

LGVAX Risk / Return Rank: 46
LGVAX Sharpe Ratio Rank: 40
LGVAX Sortino Ratio Rank: 39
LGVAX Omega Ratio Rank: 39
LGVAX Calmar Ratio Rank: 56
LGVAX Martin Ratio Rank: 54

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.

LGVAX vs. CFJIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearBridge Value Fund Class A (LGVAX) 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.

	LGVAX	CFJIX	Difference
Sharpe ratio: Return per unit of total volatility	1.51	2.57	-1.06
Sortino ratio: Return per unit of downside risk	2.12	3.69	-1.57
Omega ratio: Gain probability vs. loss probability	1.27	1.45	-0.18
Calmar ratio: Return relative to maximum drawdown	2.44	3.72	-1.28
Martin ratio: Return relative to average drawdown	9.20	14.45	-5.26

LGVAX vs. CFJIX - Sharpe Ratio Comparison

The current LGVAX Sharpe Ratio is 1.51, which is lower than the CFJIX Sharpe Ratio of 2.57. The chart below compares the historical Sharpe Ratios of LGVAX 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

LGVAX vs. CFJIX - Drawdown Comparison

The maximum LGVAX drawdown since its inception was -40.40%, which is greater than CFJIX's maximum drawdown of -36.91%. Use the drawdown chart below to compare losses from any high point for LGVAX and CFJIX.

Drawdown Indicators

	LGVAX	CFJIX	Difference
Max Drawdown Largest peak-to-trough decline	-40.40%	-36.91%	-3.49%
Max Drawdown (1Y) Largest decline over 1 year	-7.81%	-9.00%	+1.19%
Max Drawdown (3Y) Largest decline over 3 years	-19.09%	-16.60%	-2.49%
Max Drawdown (5Y) Largest decline over 5 years	-20.41%	-22.62%	+2.21%
Max Drawdown (10Y) Largest decline over 10 years	-40.40%	-36.91%	-3.49%
Current Drawdown Current decline from peak	-2.04%	0.00%	-2.04%
Average Drawdown Average peak-to-trough decline	-5.19%	-5.08%	-0.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.07%	2.31%	-0.24%

Volatility

LGVAX vs. CFJIX - Volatility Comparison

ClearBridge Value Fund Class A (LGVAX) and Calvert US Large-Cap Value Responsible Index Fund (CFJIX) have volatilities of 4.15% 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

	LGVAX	CFJIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.15%	4.24%	-0.09%
Volatility (6M) Calculated over the trailing 6-month period	9.58%	10.06%	-0.48%
Volatility (1Y) Calculated over the trailing 1-year period	12.69%	13.09%	-0.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.72%	16.01%	+1.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.20%	17.97%	+1.23%

LGVAX vs. CFJIX - Expense Ratio Comparison

LGVAX has a 1.01% expense ratio, which is higher than CFJIX's 0.24% expense ratio.

Dividends

LGVAX vs. CFJIX - Dividend Comparison

LGVAX's dividend yield for the trailing twelve months is around 9.78%, 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%
LGVAX ClearBridge Value Fund Class A	9.78%	10.76%	10.83%	12.64%	8.49%	18.44%	6.01%	0.54%	1.86%	0.50%	0.93%	0.39%

Frequently Asked Questions

Can I hold both LGVAX and CFJIX in my portfolio?

LGVAX and CFJIX have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, LGVAX or CFJIX?

CFJIX has higher volatility (4.24%) compared to LGVAX (4.15%). In terms of maximum drawdown, LGVAX dropped -40.40% vs CFJIX's -36.91%.

Which has better risk-adjusted returns?

CFJIX currently has the higher Sharpe Ratio (2.57 vs 1.51), 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.