CFWAX vs. SPY
Compare and contrast key facts about Calvert Global Water Fund (CFWAX) and SPDR S&P 500 ETF (SPY).
CFWAX is managed by Calvert Research and Management. It was launched on Sep 29, 2008. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CFWAX or SPY.
Key characteristics
| CFWAX | SPY | |
|---|---|---|
| YTD Return | 6.84% | 10.44% |
| 1Y Return | 15.35% | 28.54% |
| 3Y Return (Ann) | 3.64% | 9.53% |
| 5Y Return (Ann) | 10.64% | 14.57% |
| 10Y Return (Ann) | 5.78% | 12.81% |
| Sharpe Ratio | 1.18 | 2.52 |
| Daily Std Dev | 13.66% | 11.50% |
| Max Drawdown | -39.67% | -55.19% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between CFWAX and SPY is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
CFWAX vs. SPY - Performance Comparison
In the year-to-date period, CFWAX achieves a 6.84% return, which is significantly lower than SPY's 10.44% return. Over the past 10 years, CFWAX has underperformed SPY with an annualized return of 5.78%, while SPY has yielded a comparatively higher 12.81% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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CFWAX vs. SPY - Expense Ratio Comparison
CFWAX has a 1.24% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
CFWAX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and SPDR S&P 500 ETF (SPY). 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.
Dividends
CFWAX vs. SPY - Dividend Comparison
CFWAX's dividend yield for the trailing twelve months is around 2.40%, more than SPY's 1.28% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 2.40% | 2.57% | 1.47% | 0.93% | 0.77% | 0.83% | 1.30% | 0.93% | 0.00% | 0.03% | 7.21% | 6.86% |
SPY SPDR S&P 500 ETF | 1.28% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
CFWAX vs. SPY - Drawdown Comparison
The maximum CFWAX drawdown since its inception was -39.67%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CFWAX and SPY. For additional features, visit the drawdowns tool.
Volatility
CFWAX vs. SPY - Volatility Comparison
Calvert Global Water Fund (CFWAX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.45% and 3.34%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.