CFWAX vs. SWSSX

Last updated Jun 4, 2026

CFWAX (Calvert Global Water Fund) and SWSSX (Schwab Small-Cap Index Fund-Select Shares) are both mutual funds - CFWAX is a Energy Equities fund managed by Calvert Research and Management, while SWSSX is a Small Cap Blend Equities fund tracking the Russell 2000 Index. Over the past 10 years, CFWAX returned 8.43%/yr vs 11.20%/yr for SWSSX. Their correlation of 0.84 suggests significant overlap in exposure. CFWAX charges 1.24%/yr vs 0.04%/yr for SWSSX.

Performance

CFWAX vs. SWSSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Global Water Fund (CFWAX) and Schwab Small-Cap Index Fund-Select Shares (SWSSX). 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 SWSSX's 18.71% return. Over the past 10 years, CFWAX has underperformed SWSSX with an annualized return of 8.43%, while SWSSX has yielded a comparatively higher 11.20% 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%

SWSSX

• 1D: 0.92%
• 1M: 5.00%
• YTD: 18.71%
• 6M: 17.43%
• 1Y: 41.24%
• 3Y*: 18.69%
• 5Y*: 6.65%
• 10Y*: 11.20%

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

CFWAX vs. SWSSX - 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%
SWSSX Schwab Small-Cap Index Fund-Select Shares	18.71%	12.88%	11.57%	17.07%	-20.43%	14.77%	20.12%	25.63%	-11.19%	14.76%

Correlation

The correlation between CFWAX and SWSSX is 0.78, 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	0.78
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since Oct 1, 2008	0.84

The correlation between CFWAX and SWSSX has been stable across timeframes, ranging from 0.78 to 0.84 - a consistent structural relationship.

Return for Risk

CFWAX vs. SWSSX — 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

SWSSX

SWSSX Risk / Return Rank: 64
SWSSX Sharpe Ratio Rank: 60
SWSSX Sortino Ratio Rank: 55
SWSSX Omega Ratio Rank: 47
SWSSX Calmar Ratio Rank: 84
SWSSX Martin Ratio Rank: 74

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. SWSSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and Schwab Small-Cap Index Fund-Select Shares (SWSSX). 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	SWSSX	Difference
Sharpe ratio: Return per unit of total volatility	0.78	2.28	-1.50
Sortino ratio: Return per unit of downside risk	1.20	3.13	-1.93
Omega ratio: Gain probability vs. loss probability	1.14	1.37	-0.23
Calmar ratio: Return relative to maximum drawdown	0.83	3.97	-3.14
Martin ratio: Return relative to average drawdown	2.50	14.11	-11.61
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. SWSSX - Sharpe Ratio Comparison

The current CFWAX Sharpe Ratio is 0.78, which is lower than the SWSSX Sharpe Ratio of 2.28. The chart below compares the historical Sharpe Ratios of CFWAX and SWSSX, 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	SWSSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.78	2.28	-1.50
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.31	0.30	+0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.47	+0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.36	+0.03

Drawdowns

CFWAX vs. SWSSX - Drawdown Comparison

The maximum CFWAX drawdown since its inception was -39.67%, smaller than the maximum SWSSX drawdown of -60.34%. Use the drawdown chart below to compare losses from any high point for CFWAX and SWSSX.

Drawdown Indicators

	CFWAX	SWSSX	Difference
Max Drawdown Largest peak-to-trough decline	-39.67%	-60.34%	+20.67%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-11.00%	-1.79%
Max Drawdown (3Y) Largest decline over 3 years	-17.64%	-27.50%	+9.86%
Max Drawdown (5Y) Largest decline over 5 years	-29.17%	-31.93%	+2.76%
Max Drawdown (10Y) Largest decline over 10 years	-36.25%	-41.81%	+5.56%
Current Drawdown Current decline from peak	-7.71%	-0.13%	-7.58%
Average Drawdown Average peak-to-trough decline	-7.96%	-10.73%	+2.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.25%	3.09%	+1.16%

Volatility

CFWAX vs. SWSSX - Volatility Comparison

The current volatility for Calvert Global Water Fund (CFWAX) is 4.43%, while Schwab Small-Cap Index Fund-Select Shares (SWSSX) has a volatility of 5.61%. This indicates that CFWAX experiences smaller price fluctuations and is considered to be less risky than SWSSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CFWAX	SWSSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.43%	5.61%	-1.18%
Volatility (6M) Calculated over the trailing 6-month period	10.65%	13.60%	-2.95%
Volatility (1Y) Calculated over the trailing 1-year period	13.65%	19.15%	-5.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.72%	22.59%	-6.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.94%	24.09%	-7.15%

CFWAX vs. SWSSX - Expense Ratio Comparison

CFWAX has a 1.24% expense ratio, which is higher than SWSSX's 0.04% expense ratio.

Dividends

CFWAX vs. SWSSX - Dividend Comparison

CFWAX's dividend yield for the trailing twelve months is around 4.62%, more than SWSSX's 1.08% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
SWSSX Schwab Small-Cap Index Fund-Select Shares	1.08%	1.29%	1.66%	1.49%	1.32%	8.88%	2.55%	6.12%	10.45%	5.22%	4.10%	6.92%

Frequently Asked Questions

Can I hold both CFWAX and SWSSX in my portfolio?

CFWAX and SWSSX have a correlation of 0.78, 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 SWSSX?

SWSSX has higher volatility (5.61%) compared to CFWAX (4.43%). In terms of maximum drawdown, CFWAX dropped -39.67% vs SWSSX's -60.34%.

Which has better risk-adjusted returns?

SWSSX currently has the higher Sharpe Ratio (2.28 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.