CFWAX vs. ARTRX

Last updated Jun 4, 2026

CFWAX (Calvert Global Water Fund) and ARTRX (Artisan Global Opportunities Fund Class I) are both mutual funds - CFWAX is a Energy Equities fund managed by Calvert Research and Management, while ARTRX is a Global Equities fund managed by Artisan. Over the past 10 years, CFWAX returned 8.43%/yr vs 11.37%/yr for ARTRX. A 0.79 correlation means they provide meaningful diversification when combined. CFWAX charges 1.24%/yr vs 1.14%/yr for ARTRX.

Performance

CFWAX vs. ARTRX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Global Water Fund (CFWAX) and Artisan Global Opportunities Fund Class I (ARTRX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CFWAX achieves a 3.39% return, which is significantly lower than ARTRX's 5.78% return. Over the past 10 years, CFWAX has underperformed ARTRX with an annualized return of 8.43%, while ARTRX has yielded a comparatively higher 11.37% annualized return.

CFWAX

• 1D: 0.50%
• 1M: -0.95%
• YTD: 3.39%
• 6M: 1.94%
• 1Y: 10.11%
• 3Y*: 9.84%
• 5Y*: 4.81%
• 10Y*: 8.43%

ARTRX

• 1D: 0.28%
• 1M: 2.23%
• YTD: 5.78%
• 6M: 3.91%
• 1Y: 12.20%
• 3Y*: 12.83%
• 5Y*: 4.45%
• 10Y*: 11.37%

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

CFWAX vs. ARTRX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CFWAX Calvert Global Water Fund	3.39%	14.38%	3.91%	18.34%	-19.63%	22.59%	14.79%	28.02%	-13.63%	18.88%
ARTRX Artisan Global Opportunities Fund Class I	5.78%	8.91%	14.82%	23.02%	-30.38%	13.48%	39.84%	35.54%	-9.20%	31.22%

Correlation

The correlation between CFWAX and ARTRX is 0.69, 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Oct 1, 2008	0.79

The correlation between CFWAX and ARTRX shifts across timeframes, from 0.69 (1 year) to 0.79 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CFWAX vs. ARTRX — Risk / Return Rank

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

CFWAX

CFWAX Risk / Return Rank: 9
CFWAX Sharpe Ratio Rank: 10
CFWAX Sortino Ratio Rank: 10
CFWAX Omega Ratio Rank: 9
CFWAX Calmar Ratio Rank: 8
CFWAX Martin Ratio Rank: 8

ARTRX

ARTRX Risk / Return Rank: 11
ARTRX Sharpe Ratio Rank: 11
ARTRX Sortino Ratio Rank: 11
ARTRX Omega Ratio Rank: 11
ARTRX Calmar Ratio Rank: 10
ARTRX 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. ARTRX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and Artisan Global Opportunities Fund Class I (ARTRX). 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.

	CFWAX	ARTRX	Difference
Sharpe ratio: Return per unit of total volatility	0.78	0.89	-0.11
Sortino ratio: Return per unit of downside risk	1.20	1.28	-0.09
Omega ratio: Gain probability vs. loss probability	1.14	1.16	-0.02
Calmar ratio: Return relative to maximum drawdown	0.83	0.98	-0.15
Martin ratio: Return relative to average drawdown	2.50	2.99	-0.49
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CFWAX vs. ARTRX - Sharpe Ratio Comparison

The current CFWAX Sharpe Ratio is 0.78, which is comparable to the ARTRX Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of CFWAX and ARTRX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CFWAX	ARTRX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.78	0.89	-0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.31	0.23	+0.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.60	-0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.52	-0.13

Drawdowns

CFWAX vs. ARTRX - Drawdown Comparison

The maximum CFWAX drawdown since its inception was -39.67%, smaller than the maximum ARTRX drawdown of -46.00%. Use the drawdown chart below to compare losses from any high point for CFWAX and ARTRX.

Drawdown Indicators

	CFWAX	ARTRX	Difference
Max Drawdown Largest peak-to-trough decline	-39.67%	-46.00%	+6.33%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-12.71%	-0.08%
Max Drawdown (3Y) Largest decline over 3 years	-17.64%	-25.82%	+8.18%
Max Drawdown (5Y) Largest decline over 5 years	-29.17%	-38.37%	+9.20%
Max Drawdown (10Y) Largest decline over 10 years	-36.25%	-38.37%	+2.12%
Current Drawdown Current decline from peak	-7.71%	-0.28%	-7.43%
Average Drawdown Average peak-to-trough decline	-7.96%	-8.25%	+0.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.25%	4.15%	+0.10%

Volatility

CFWAX vs. ARTRX - Volatility Comparison

Calvert Global Water Fund (CFWAX) has a higher volatility of 4.43% compared to Artisan Global Opportunities Fund Class I (ARTRX) at 4.04%. This indicates that CFWAX's price experiences larger fluctuations and is considered to be riskier than ARTRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CFWAX	ARTRX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.43%	4.04%	+0.39%
Volatility (6M) Calculated over the trailing 6-month period	10.65%	10.98%	-0.33%
Volatility (1Y) Calculated over the trailing 1-year period	13.65%	14.05%	-0.40%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.72%	19.73%	-4.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.94%	19.00%	-2.06%

CFWAX vs. ARTRX - Expense Ratio Comparison

CFWAX has a 1.24% expense ratio, which is higher than ARTRX's 1.14% expense ratio.

Dividends

CFWAX vs. ARTRX - Dividend Comparison

CFWAX's dividend yield for the trailing twelve months is around 4.62%, more than ARTRX's 3.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARTRX Artisan Global Opportunities Fund Class I	3.38%	3.57%	12.34%	2.30%	0.00%	10.78%	6.67%	6.94%	7.32%	4.15%	0.17%	0.70%
CFWAX Calvert Global Water Fund	4.62%	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 ARTRX in my portfolio?

CFWAX and ARTRX have a correlation of 0.69, 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 ARTRX?

CFWAX has higher volatility (4.43%) compared to ARTRX (4.04%). In terms of maximum drawdown, CFWAX dropped -39.67% vs ARTRX's -46.00%.

Which has better risk-adjusted returns?

ARTRX currently has the higher Sharpe Ratio (0.89 vs 0.78), 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.