CFWAX vs. AQWA
CFWAX (Calvert Global Water Fund) and AQWA (Global X Clean Water ETF) are both funds - CFWAX is a Energy Equities fund managed by Calvert, while AQWA is a Water Equities fund tracking the Solactive Global Clean Water Industry Index. Over the past 5 years, CFWAX returned 5.03%/yr vs 4.27%/yr for AQWA. Their correlation of 0.90 means they have usually moved in the same direction. CFWAX charges 1.24%/yr vs 0.50%/yr for AQWA.
Performance
CFWAX vs. AQWA - Performance Comparison
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Returns By Period
In the year-to-date period, CFWAX achieves a 7.16% return, which is significantly higher than AQWA's 2.35% return.
CFWAX
- 1D
- 0.90%
- 1M
- -0.06%
- 6M
- 0.87%
- YTD
- 7.16%
- 1Y
- 11.71%
- 3Y*
- 9.39%
- 5Y*
- 5.03%
- 10Y*
- 8.50%
- ALL TIME*
- 7.63%
AQWA
- 1D
- 0.25%
- 1M
- -1.90%
- 6M
- -3.47%
- YTD
- 2.35%
- 1Y
- 1.78%
- 3Y*
- 8.08%
- 5Y*
- 4.27%
- 10Y*
- —
- ALL TIME*
- 5.75%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $117.29K | $132.55K | $162.20K | |
| $0.00 | $0.00 | $0.00 |
CFWAX vs. AQWA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 7.16% | 14.38% | 3.91% | 18.34% | -19.63% | 11.90% |
AQWA Global X Clean Water ETF | 2.35% | 13.15% | 4.34% | 20.13% | -19.89% | 15.67% |
Correlation
The correlation between CFWAX and AQWA is 0.90, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.90 |
Correlation (3Y) Balances recent behavior with more history. | 0.89 |
Correlation (5Y) Shows whether the relationship held over a longer 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 0.89 to 0.90 - a consistent structural relationship.
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Return for Risk
CFWAX vs. AQWA — Risk / Return Rank
CFWAX
AQWA
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 ratioReturn per unit of total volatility | +0.63 | ||
| Sortino ratioReturn per unit of downside risk | +0.88 | ||
| Omega ratioGain probability vs. loss probability | 1.13 | 1.03 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 0.83 | 0.15 | +0.68 |
| Martin ratioReturn relative to average drawdown | 2.20 | 0.31 | +1.88 |
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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.
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Drawdown Indicators
| CFWAX | AQWA | Difference | |
|---|---|---|---|
Max DrawdownLargest 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% | -14.43% | -3.21% |
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 DrawdownCurrent decline from peak | -4.35% | -8.06% | +3.71% |
Average DrawdownAverage peak-to-trough decline | -7.94% | -8.27% | +0.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.82% | 5.93% | -1.11% |
Volatility
CFWAX vs. AQWA - Volatility Comparison
The current volatility for Calvert Global Water Fund (CFWAX) is 4.05%, while Global X Clean Water ETF (AQWA) has a volatility of 4.51%. 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.
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Volatility by Period
| CFWAX | AQWA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 4.51% | -0.46% |
Volatility (6M)Calculated over the trailing 6-month period | 11.13% | 11.47% | -0.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.15% | 15.03% | -0.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.79% | 16.86% | -1.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.87% | 16.63% | +0.24% |
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 4.45%, more than AQWA's 1.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQWA Global X Clean Water ETF | 1.57% | 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 | 4.45% | 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
With a correlation of 0.90, CFWAX and AQWA 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.
AQWA has higher volatility (4.51%) compared to CFWAX (4.05%). In terms of maximum drawdown, CFWAX dropped -39.67% vs AQWA's -29.44%.
CFWAX currently has the higher Sharpe Ratio (0.75 vs 0.12), 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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