CFWAX vs. VGENX
Compare and contrast key facts about Calvert Global Water Fund (CFWAX) and Vanguard Energy Fund Investor Shares (VGENX).
CFWAX is managed by Calvert Research and Management. It was launched on Sep 29, 2008. VGENX is managed by Vanguard. It was launched on May 23, 1984.
Performance
CFWAX vs. VGENX - Performance Comparison
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CFWAX vs. VGENX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | -1.37% | 14.38% | 3.91% | 18.34% | -19.63% | 22.59% | 14.79% | 28.02% | -13.63% | 18.88% |
VGENX Vanguard Energy Fund Investor Shares | 24.04% | 20.67% | 30.25% | 8.78% | 23.59% | 27.71% | -30.85% | 13.23% | -17.19% | 3.22% |
Returns By Period
In the year-to-date period, CFWAX achieves a -1.37% return, which is significantly lower than VGENX's 24.04% return. Over the past 10 years, CFWAX has underperformed VGENX with an annualized return of 8.44%, while VGENX has yielded a comparatively higher 10.86% annualized return.
CFWAX
- 1D
- 0.07%
- 1M
- -11.15%
- YTD
- -1.37%
- 6M
- -1.97%
- 1Y
- 12.60%
- 3Y*
- 8.77%
- 5Y*
- 5.11%
- 10Y*
- 8.44%
VGENX
- 1D
- 0.58%
- 1M
- 4.50%
- YTD
- 24.04%
- 6M
- 29.22%
- 1Y
- 35.84%
- 3Y*
- 28.98%
- 5Y*
- 24.71%
- 10Y*
- 10.86%
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CFWAX vs. VGENX - Expense Ratio Comparison
CFWAX has a 1.24% expense ratio, which is higher than VGENX's 0.41% expense ratio.
Return for Risk
CFWAX vs. VGENX — Risk / Return Rank
CFWAX
VGENX
CFWAX vs. VGENX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and Vanguard Energy Fund Investor Shares (VGENX). 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 | VGENX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.79 | 2.51 | -1.72 |
Sortino ratioReturn per unit of downside risk | 1.21 | 3.11 | -1.90 |
Omega ratioGain probability vs. loss probability | 1.15 | 1.49 | -0.34 |
Calmar ratioReturn relative to maximum drawdown | 0.87 | 3.03 | -2.16 |
Martin ratioReturn relative to average drawdown | 3.32 | 14.75 | -11.43 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CFWAX | VGENX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.79 | 2.51 | -1.72 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.33 | 1.33 | -1.00 |
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 | 0.38 | 0.45 | -0.06 |
Correlation
The correlation between CFWAX and VGENX is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
CFWAX vs. VGENX - Dividend Comparison
CFWAX's dividend yield for the trailing twelve months is around 4.84%, less than VGENX's 6.91% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 4.84% | 4.77% | 9.25% | 2.57% | 1.47% | 0.93% | 0.77% | 0.83% | 1.30% | 0.93% | 0.00% | 0.03% |
VGENX Vanguard Energy Fund Investor Shares | 6.91% | 4.71% | 33.96% | 6.83% | 4.63% | 3.63% | 4.46% | 3.30% | 2.96% | 2.96% | 1.84% | 2.63% |
Drawdowns
CFWAX vs. VGENX - Drawdown Comparison
The maximum CFWAX drawdown since its inception was -39.67%, smaller than the maximum VGENX drawdown of -65.37%. Use the drawdown chart below to compare losses from any high point for CFWAX and VGENX.
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Drawdown Indicators
| CFWAX | VGENX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.67% | -65.37% | +25.70% |
Max Drawdown (1Y)Largest decline over 1 year | -12.79% | -12.30% | -0.49% |
Max Drawdown (5Y)Largest decline over 5 years | -29.17% | -19.72% | -9.45% |
Max Drawdown (10Y)Largest decline over 10 years | -36.25% | -61.19% | +24.94% |
Current DrawdownCurrent decline from peak | -11.96% | 0.00% | -11.96% |
Average DrawdownAverage peak-to-trough decline | -7.98% | -14.99% | +7.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.34% | 2.53% | +0.81% |
Volatility
CFWAX vs. VGENX - Volatility Comparison
Calvert Global Water Fund (CFWAX) has a higher volatility of 5.35% compared to Vanguard Energy Fund Investor Shares (VGENX) at 3.80%. This indicates that CFWAX's price experiences larger fluctuations and is considered to be riskier than VGENX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CFWAX | VGENX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.35% | 3.80% | +1.55% |
Volatility (6M)Calculated over the trailing 6-month period | 9.61% | 8.61% | +1.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.51% | 14.82% | +0.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.58% | 18.64% | -3.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.86% | 23.26% | -6.40% |