CFWAX vs. AQWA

Last updated Jun 24, 2026

CFWAX (Calvert Global Water Fund) and AQWA (Global X Clean Water ETF) are both funds - CFWAX is a Energy Equities fund managed by Calvert Research and Management, while AQWA is a Water Equities fund tracking the Solactive Global Clean Water Industry Index. Over the past 5 years, CFWAX returned 5.50%/yr vs 5.21%/yr for AQWA. Their correlation of 0.90 suggests significant overlap in exposure. CFWAX charges 1.24%/yr vs 0.50%/yr for AQWA.

Performance

CFWAX vs. AQWA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Global Water Fund (CFWAX) and Global X Clean Water ETF (AQWA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CFWAX achieves a 5.28% return, which is significantly higher than AQWA's 0.45% return.

CFWAX

• 1D: -0.36%
• 1M: 1.89%
• YTD: 5.28%
• 6M: 4.38%
• 1Y: 11.22%
• 3Y*: 10.65%
• 5Y*: 5.50%
• 10Y*: 8.91%

AQWA

• 1D: -0.81%
• 1M: 0.95%
• YTD: 0.45%
• 6M: -0.87%
• 1Y: 1.37%
• 3Y*: 9.09%
• 5Y*: 5.21%
• 10Y*: —

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

CFWAX vs. AQWA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
CFWAX Calvert Global Water Fund	5.28%	14.38%	3.91%	18.34%	-19.63%	11.90%
AQWA Global X Clean Water ETF	0.45%	13.15%	4.34%	20.13%	-19.89%	15.67%

Correlation

The correlation between CFWAX and AQWA is 0.88, 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	0.88
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (All Time) Calculated using the full available price history since Apr 12, 2021	0.90

The correlation between CFWAX and AQWA has been stable across timeframes, ranging from 0.88 to 0.90 - a consistent structural relationship.

Return for Risk

CFWAX vs. AQWA — Risk / Return Rank

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

CFWAX

CFWAX Risk / Return Rank: 12
CFWAX Sharpe Ratio Rank: 13
CFWAX Sortino Ratio Rank: 13
CFWAX Omega Ratio Rank: 12
CFWAX Calmar Ratio Rank: 11
CFWAX Martin Ratio Rank: 10

AQWA

AQWA Risk / Return Rank: 9
AQWA Sharpe Ratio Rank: 10
AQWA Sortino Ratio Rank: 9
AQWA Omega Ratio Rank: 9
AQWA Calmar Ratio Rank: 10
AQWA Martin Ratio Rank: 10

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.

CFWAX vs. AQWA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and Global X Clean Water ETF (AQWA). 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.

	CFWAX	AQWA	Difference
Sharpe ratio: Return per unit of total volatility	0.91	0.10	+0.81
Sortino ratio: Return per unit of downside risk	1.38	0.24	+1.14
Omega ratio: Gain probability vs. loss probability	1.16	1.03	+0.13
Calmar ratio: Return relative to maximum drawdown	0.99	0.11	+0.87
Martin ratio: Return relative to average drawdown	2.77	0.26	+2.51

CFWAX vs. AQWA - Sharpe Ratio Comparison

The current CFWAX Sharpe Ratio is 0.91, which is higher than the AQWA Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of CFWAX and AQWA, 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

CFWAX vs. AQWA - Drawdown Comparison

The maximum CFWAX drawdown since its inception was -39.67%, which is greater than AQWA's maximum drawdown of -29.44%. Use the drawdown chart below to compare losses from any high point for CFWAX and AQWA.

Drawdown Indicators

	CFWAX	AQWA	Difference
Max Drawdown Largest peak-to-trough decline	-39.67%	-29.44%	-10.23%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-12.34%	-0.45%
Max Drawdown (3Y) Largest decline over 3 years	-17.64%	-14.55%	-3.09%
Max Drawdown (5Y) Largest decline over 5 years	-29.17%	-29.44%	+0.27%
Max Drawdown (10Y) Largest decline over 10 years	-36.25%	—	—
Current Drawdown Current decline from peak	-6.03%	-9.77%	+3.74%
Average Drawdown Average peak-to-trough decline	-7.96%	-8.28%	+0.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.54%	5.39%	-0.85%

Volatility

CFWAX vs. AQWA - Volatility Comparison

The current volatility for Calvert Global Water Fund (CFWAX) is 3.78%, while Global X Clean Water ETF (AQWA) has a volatility of 4.43%. This indicates that CFWAX experiences smaller price fluctuations and is considered to be less risky than AQWA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CFWAX	AQWA	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.78%	4.43%	-0.65%
Volatility (6M) Calculated over the trailing 6-month period	10.94%	11.18%	-0.24%
Volatility (1Y) Calculated over the trailing 1-year period	13.92%	14.54%	-0.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.75%	16.79%	-1.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.93%	16.65%	+0.28%

CFWAX vs. AQWA - Expense Ratio Comparison

CFWAX has a 1.24% expense ratio, which is higher than AQWA's 0.50% expense ratio.

Dividends

CFWAX vs. AQWA - Dividend Comparison

CFWAX's dividend yield for the trailing twelve months is around 4.53%, more than AQWA's 1.46% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQWA Global X Clean Water ETF	1.46%	1.47%	1.40%	1.53%	1.56%	1.20%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CFWAX Calvert Global Water Fund	4.53%	4.77%	9.25%	2.57%	1.47%	0.93%	0.77%	0.83%	1.30%	0.93%	0.00%	0.03%

Frequently Asked Questions

Can I hold both CFWAX and AQWA in my portfolio?

CFWAX and AQWA have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CFWAX or AQWA?

AQWA has higher volatility (4.43%) compared to CFWAX (3.78%). In terms of maximum drawdown, CFWAX dropped -39.67% vs AQWA's -29.44%.

Which has better risk-adjusted returns?

CFWAX currently has the higher Sharpe Ratio (0.91 vs 0.10), 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.