CFWAX vs. CSIEX
CFWAX (Calvert Global Water Fund) and CSIEX (Calvert Equity Fund) are both mutual funds - CFWAX is a Energy Equities fund managed by Calvert, while CSIEX is a Large Cap Growth Equities fund managed by Calvert. Over the past 10 years, CFWAX returned 8.53%/yr vs 11.82%/yr for CSIEX. Their 0.79 correlation means they have sometimes moved together and sometimes differently. CFWAX charges 1.24%/yr vs 0.91%/yr for CSIEX.
Performance
CFWAX vs. CSIEX - Performance Comparison
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Returns By Period
In the year-to-date period, CFWAX achieves a 6.86% return, which is significantly higher than CSIEX's -4.70% return. Over the past 10 years, CFWAX has underperformed CSIEX with an annualized return of 8.53%, while CSIEX has yielded a comparatively higher 11.82% annualized return.
CFWAX
- 1D
- -0.29%
- 1M
- -0.35%
- 6M
- -0.13%
- YTD
- 6.86%
- 1Y
- 11.39%
- 3Y*
- 9.60%
- 5Y*
- 4.97%
- 10Y*
- 8.53%
- ALL TIME*
- 7.61%
CSIEX
- 1D
- -0.33%
- 1M
- 2.19%
- 6M
- -3.82%
- YTD
- -4.70%
- 1Y
- -2.04%
- 3Y*
- 5.33%
- 5Y*
- 3.20%
- 10Y*
- 11.82%
- ALL TIME*
- 8.59%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
CSIEX Calvert Equity Fund | $0.00 | $0.00 | $0.00 |
CFWAX vs. CSIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 6.86% | 14.38% | 3.91% | 18.34% | -19.63% | 22.59% | 14.79% | 28.02% | -13.63% | 18.88% |
CSIEX Calvert Equity Fund | -4.70% | 7.27% | 8.35% | 17.93% | -17.61% | 28.90% | 24.26% | 36.46% | 5.03% | 25.78% |
Correlation
The correlation between CFWAX and CSIEX is 0.50, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.50 |
Correlation (3Y) Balances recent behavior with more history. | 0.68 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.77 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.77 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 2008 | 0.79 |
Over the past year, the correlation between CFWAX and CSIEX has dropped to 0.50 - well below their long-term average of 0.79, suggesting their price drivers have been diverging.
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Return for Risk
CFWAX vs. CSIEX — Risk / Return Rank
CFWAX
CSIEX
CFWAX vs. CSIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and Calvert Equity Fund (CSIEX). 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 | CSIEX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.99 | ||
| Sortino ratioReturn per unit of downside risk | +1.41 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 0.98 | +0.16 |
| Calmar ratioReturn relative to maximum drawdown | 0.86 | -0.20 | +1.06 |
| Martin ratioReturn relative to average drawdown | 2.27 | -0.40 | +2.67 |
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Drawdowns
CFWAX vs. CSIEX - Drawdown Comparison
The maximum CFWAX drawdown since its inception was -39.67%, smaller than the maximum CSIEX drawdown of -50.81%. Use the drawdown chart below to compare losses from any high point for CFWAX and CSIEX.
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Drawdown Indicators
| CFWAX | CSIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.67% | -50.81% | +11.14% |
Max Drawdown (1Y)Largest decline over 1 year | -12.79% | -14.28% | +1.49% |
Max Drawdown (3Y)Largest decline over 3 years | -17.64% | -14.87% | -2.77% |
Max Drawdown (5Y)Largest decline over 5 years | -29.17% | -25.71% | -3.46% |
Max Drawdown (10Y)Largest decline over 10 years | -36.25% | -30.50% | -5.75% |
Current DrawdownCurrent decline from peak | -4.62% | -6.99% | +2.37% |
Average DrawdownAverage peak-to-trough decline | -7.94% | -6.25% | -1.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.83% | 7.26% | -2.43% |
Volatility
CFWAX vs. CSIEX - Volatility Comparison
The current volatility for Calvert Global Water Fund (CFWAX) is 3.95%, while Calvert Equity Fund (CSIEX) has a volatility of 5.37%. This indicates that CFWAX experiences smaller price fluctuations and is considered to be less risky than CSIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFWAX | CSIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.95% | 5.37% | -1.42% |
Volatility (6M)Calculated over the trailing 6-month period | 11.11% | 11.18% | -0.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.13% | 13.69% | +0.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.79% | 16.45% | -0.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.87% | 17.22% | -0.35% |
CFWAX vs. CSIEX - Expense Ratio Comparison
CFWAX has a 1.24% expense ratio, which is higher than CSIEX's 0.91% expense ratio.
Dividends
CFWAX vs. CSIEX - Dividend Comparison
CFWAX's dividend yield for the trailing twelve months is around 4.47%, less than CSIEX's 24.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 4.47% | 4.77% | 9.25% | 2.57% | 1.47% | 0.93% | 0.77% | 0.83% | 1.30% | 0.93% | 0.00% | 0.03% |
CSIEX Calvert Equity Fund | 24.10% | 22.97% | 8.74% | 1.79% | 3.40% | 3.56% | 2.70% | 2.87% | 8.78% | 8.10% | 11.30% | 25.62% |
Frequently Asked Questions
CFWAX and CSIEX have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CSIEX has higher volatility (5.37%) compared to CFWAX (3.95%). In terms of maximum drawdown, CFWAX dropped -39.67% vs CSIEX's -50.81%.
CFWAX currently has the higher Sharpe Ratio (0.78 vs -0.21), 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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