CFWAX vs. VGENX

Last updated Jun 4, 2026

CFWAX (Calvert Global Water Fund) and VGENX (Vanguard Energy Fund Investor Shares) are both Energy Equities funds. Over the past 10 years, CFWAX returned 8.43%/yr vs 9.44%/yr for VGENX. A 0.68 correlation means they provide meaningful diversification when combined. CFWAX charges 1.24%/yr vs 0.41%/yr for VGENX.

Performance

CFWAX vs. VGENX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Global Water Fund (CFWAX) and Vanguard Energy Fund Investor Shares (VGENX). 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 VGENX's 20.03% return. Over the past 10 years, CFWAX has underperformed VGENX with an annualized return of 8.43%, while VGENX has yielded a comparatively higher 9.44% 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%

VGENX

• 1D: 1.24%
• 1M: -3.39%
• YTD: 20.03%
• 6M: 18.09%
• 1Y: 32.90%
• 3Y*: 28.15%
• 5Y*: 22.01%
• 10Y*: 9.44%

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

CFWAX vs. VGENX - 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%
VGENX Vanguard Energy Fund Investor Shares	20.03%	20.67%	30.25%	8.78%	23.59%	27.71%	-30.85%	13.23%	-17.19%	3.22%

Correlation

The correlation between CFWAX and VGENX is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.22
Correlation (3Y) Calculated over the trailing 3-year period	0.43
Correlation (5Y) Calculated over the trailing 5-year period	0.50
Correlation (10Y) Calculated over the trailing 10-year period	0.58
Correlation (All Time) Calculated using the full available price history since Oct 1, 2008	0.68

Over the past year, the correlation between CFWAX and VGENX has dropped to 0.22 - well below their long-term average of 0.68, suggesting their price drivers have been diverging.

Return for Risk

CFWAX vs. VGENX — 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

VGENX

VGENX Risk / Return Rank: 85
VGENX Sharpe Ratio Rank: 85
VGENX Sortino Ratio Rank: 79
VGENX Omega Ratio Rank: 73
VGENX Calmar Ratio Rank: 95
VGENX Martin Ratio Rank: 93

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. 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 ratio: Return per unit of total volatility	0.78	2.74	-1.96
Sortino ratio: Return per unit of downside risk	1.20	3.74	-2.54
Omega ratio: Gain probability vs. loss probability	1.14	1.48	-0.34
Calmar ratio: Return relative to maximum drawdown	0.83	5.82	-4.98
Martin ratio: Return relative to average drawdown	2.50	20.05	-17.55
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. VGENX - Sharpe Ratio Comparison

The current CFWAX Sharpe Ratio is 0.78, which is lower than the VGENX Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of CFWAX and VGENX, 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	VGENX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.78	2.74	-1.96
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.31	1.18	-0.88
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.41	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.44	-0.05

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.

Drawdown Indicators

	CFWAX	VGENX	Difference
Max Drawdown Largest peak-to-trough decline	-39.67%	-65.37%	+25.70%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-5.71%	-7.08%
Max Drawdown (3Y) Largest decline over 3 years	-17.64%	-12.30%	-5.34%
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 Drawdown Current decline from peak	-7.71%	-4.26%	-3.45%
Average Drawdown Average peak-to-trough decline	-7.96%	-14.94%	+6.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.25%	1.65%	+2.60%

Volatility

CFWAX vs. VGENX - Volatility Comparison

The current volatility for Calvert Global Water Fund (CFWAX) is 4.43%, while Vanguard Energy Fund Investor Shares (VGENX) has a volatility of 4.92%. This indicates that CFWAX experiences smaller price fluctuations and is considered to be less risky than VGENX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CFWAX	VGENX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.43%	4.92%	-0.49%
Volatility (6M) Calculated over the trailing 6-month period	10.65%	10.21%	+0.44%
Volatility (1Y) Calculated over the trailing 1-year period	13.65%	12.14%	+1.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.72%	18.71%	-2.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.94%	23.20%	-6.26%

CFWAX vs. VGENX - Expense Ratio Comparison

CFWAX has a 1.24% expense ratio, which is higher than VGENX's 0.41% expense ratio.

Dividends

CFWAX vs. VGENX - Dividend Comparison

CFWAX's dividend yield for the trailing twelve months is around 4.62%, less than VGENX's 7.14% 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%
VGENX Vanguard Energy Fund Investor Shares	7.14%	4.71%	33.96%	6.83%	4.63%	3.63%	4.46%	3.30%	2.96%	2.96%	1.84%	2.63%

Frequently Asked Questions

Can I hold both CFWAX and VGENX in my portfolio?

CFWAX and VGENX have a correlation of 0.22, 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 VGENX?

VGENX has higher volatility (4.92%) compared to CFWAX (4.43%). In terms of maximum drawdown, CFWAX dropped -39.67% vs VGENX's -65.37%.

Which has better risk-adjusted returns?

VGENX currently has the higher Sharpe Ratio (2.74 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.