CCLAX vs. DGTSX
CCLAX (Calvert Conservative Allocation Fund) and DGTSX (DFA Global Allocation 25/75 Portfolio) are both Diversified Portfolio funds. Over the past 10 years, CCLAX returned 5.80%/yr vs 5.28%/yr for DGTSX. Their correlation of 0.90 suggests significant overlap in exposure. CCLAX charges 0.41%/yr vs 0.24%/yr for DGTSX.
Performance
CCLAX vs. DGTSX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with CCLAX having a 4.21% return and DGTSX slightly higher at 4.23%. Over the past 10 years, CCLAX has outperformed DGTSX with an annualized return of 5.80%, while DGTSX has yielded a comparatively lower 5.28% annualized return.
CCLAX
- 1D
- -0.25%
- 1M
- 1.29%
- YTD
- 4.21%
- 6M
- 4.09%
- 1Y
- 10.92%
- 3Y*
- 8.75%
- 5Y*
- 3.64%
- 10Y*
- 5.80%
DGTSX
- 1D
- -0.07%
- 1M
- 0.69%
- YTD
- 4.23%
- 6M
- 4.08%
- 1Y
- 9.62%
- 3Y*
- 8.40%
- 5Y*
- 5.27%
- 10Y*
- 5.28%
CCLAX vs. DGTSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CCLAX Calvert Conservative Allocation Fund | 4.21% | 10.23% | 6.39% | 10.07% | -14.32% | 7.73% | 12.18% | 15.62% | -2.96% | 8.28% |
DGTSX DFA Global Allocation 25/75 Portfolio | 4.23% | 8.39% | 7.43% | 8.93% | -8.06% | 10.20% | 7.29% | 9.80% | -1.85% | 5.83% |
Correlation
The correlation between CCLAX and DGTSX is 0.93, 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 | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.87 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.90 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Apr 29, 2005 | 0.90 |
The correlation between CCLAX and DGTSX has been stable across timeframes, ranging from 0.87 to 0.93 - a consistent structural relationship.
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Return for Risk
CCLAX vs. DGTSX — Risk / Return Rank
CCLAX
DGTSX
CCLAX vs. DGTSX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Conservative Allocation Fund (CCLAX) and DFA Global Allocation 25/75 Portfolio (DGTSX). 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.
| CCLAX | DGTSX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.88 | ||
| Sortino ratioReturn per unit of downside risk | -1.37 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.57 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 2.28 | 3.76 | -1.48 |
| Martin ratioReturn relative to average drawdown | 10.07 | 16.52 | -6.45 |
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Drawdowns
CCLAX vs. DGTSX - Drawdown Comparison
The maximum CCLAX drawdown since its inception was -23.98%, which is greater than DGTSX's maximum drawdown of -16.71%. Use the drawdown chart below to compare losses from any high point for CCLAX and DGTSX.
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Drawdown Indicators
| CCLAX | DGTSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.98% | -16.71% | -7.27% |
Max Drawdown (1Y)Largest decline over 1 year | -5.02% | -2.64% | -2.38% |
Max Drawdown (3Y)Largest decline over 3 years | -7.90% | -7.46% | -0.44% |
Max Drawdown (5Y)Largest decline over 5 years | -18.86% | -11.26% | -7.60% |
Max Drawdown (10Y)Largest decline over 10 years | -18.86% | -11.26% | -7.60% |
Current DrawdownCurrent decline from peak | -0.31% | -0.20% | -0.11% |
Average DrawdownAverage peak-to-trough decline | -2.85% | -1.64% | -1.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.14% | 0.60% | +0.54% |
Volatility
CCLAX vs. DGTSX - Volatility Comparison
Calvert Conservative Allocation Fund (CCLAX) has a higher volatility of 2.39% compared to DFA Global Allocation 25/75 Portfolio (DGTSX) at 1.38%. This indicates that CCLAX's price experiences larger fluctuations and is considered to be riskier than DGTSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CCLAX | DGTSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.39% | 1.38% | +1.01% |
Volatility (6M)Calculated over the trailing 6-month period | 5.13% | 2.97% | +2.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.07% | 3.60% | +2.47% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.19% | 5.98% | +1.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.78% | 5.24% | +1.54% |
CCLAX vs. DGTSX - Expense Ratio Comparison
CCLAX has a 0.41% expense ratio, which is higher than DGTSX's 0.24% expense ratio.
Dividends
CCLAX vs. DGTSX - Dividend Comparison
CCLAX's dividend yield for the trailing twelve months is around 3.14%, less than DGTSX's 5.70% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CCLAX Calvert Conservative Allocation Fund | 3.14% | 3.31% | 3.37% | 3.24% | 2.22% | 5.37% | 4.16% | 4.14% | 4.83% | 2.22% | 3.52% | 5.82% |
DGTSX DFA Global Allocation 25/75 Portfolio | 5.70% | 5.54% | 7.28% | 4.75% | 2.77% | 7.62% | 2.12% | 2.57% | 2.99% | 1.25% | 1.26% | 1.50% |
Frequently Asked Questions
With a correlation of 0.93, CCLAX and DGTSX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
CCLAX has higher volatility (2.39%) compared to DGTSX (1.38%). In terms of maximum drawdown, CCLAX dropped -23.98% vs DGTSX's -16.71%.
DGTSX currently has the higher Sharpe Ratio (2.77 vs 1.89), 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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