CFWAX vs. XYL

Last updated Apr 1, 2026

Compare and contrast key facts about Calvert Global Water Fund (CFWAX) and Xylem Inc. (XYL).

CFWAX is managed by Calvert Research and Management. It was launched on Sep 29, 2008.

Performance

CFWAX vs. XYL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Global Water Fund (CFWAX) and Xylem Inc. (XYL). The values are adjusted to include any dividend payments, if applicable.

CFWAX vs. XYL - 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%
XYL Xylem Inc.	-11.95%	18.78%	2.57%	4.77%	-6.60%	18.94%	30.90%	19.59%	-1.01%	39.50%

Returns By Period

In the year-to-date period, CFWAX achieves a -1.37% return, which is significantly higher than XYL's -11.95% return. Over the past 10 years, CFWAX has underperformed XYL with an annualized return of 8.44%, while XYL has yielded a comparatively higher 12.59% 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%

XYL

• 1D: 2.86%
• 1M: -7.76%
• YTD: -11.95%
• 6M: -18.48%
• 1Y: 1.26%
• 3Y*: 5.77%
• 5Y*: 3.91%
• 10Y*: 12.59%

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

Return for Risk

CFWAX vs. XYL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CFWAX

CFWAX Risk / Return Rank: 33
CFWAX Sharpe Ratio Rank: 36
CFWAX Sortino Ratio Rank: 37
CFWAX Omega Ratio Rank: 29
CFWAX Calmar Ratio Rank: 30
CFWAX Martin Ratio Rank: 31

XYL

XYL Risk / Return Rank: 41
XYL Sharpe Ratio Rank: 43
XYL Sortino Ratio Rank: 36
XYL Omega Ratio Rank: 37
XYL Calmar Ratio Rank: 43
XYL Martin Ratio Rank: 43

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. XYL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Global Water Fund (CFWAX) and Xylem Inc. (XYL). 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	XYL	Difference
Sharpe ratio Return per unit of total volatility	0.79	0.05	+0.74
Sortino ratio Return per unit of downside risk	1.21	0.26	+0.95
Omega ratio Gain probability vs. loss probability	1.15	1.04	+0.12
Calmar ratio Return relative to maximum drawdown	0.87	0.05	+0.81
Martin ratio Return relative to average drawdown	3.32	0.15	+3.16
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. XYL - Sharpe Ratio Comparison

The current CFWAX Sharpe Ratio is 0.79, which is higher than the XYL Sharpe Ratio of 0.05. The chart below compares the historical Sharpe Ratios of CFWAX and XYL, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	CFWAX	XYL	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.79	0.05	+0.74
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.15	+0.18
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.47	+0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.50	-0.12

Correlation

The correlation between CFWAX and XYL is 0.70, 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. XYL - Dividend Comparison

CFWAX's dividend yield for the trailing twelve months is around 4.84%, more than XYL's 1.36% 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%
XYL Xylem Inc.	1.36%	1.17%	1.24%	1.15%	1.09%	0.93%	1.02%	1.22%	1.26%	1.06%	1.25%	1.54%

Drawdowns

CFWAX vs. XYL - Drawdown Comparison

The maximum CFWAX drawdown since its inception was -39.67%, smaller than the maximum XYL drawdown of -46.69%. Use the drawdown chart below to compare losses from any high point for CFWAX and XYL.

Drawdown Indicators

	CFWAX	XYL	Difference
Max Drawdown Largest peak-to-trough decline	-39.67%	-46.69%	+7.02%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-23.57%	+10.78%
Max Drawdown (5Y) Largest decline over 5 years	-29.17%	-46.69%	+17.52%
Max Drawdown (10Y) Largest decline over 10 years	-36.25%	-46.69%	+10.44%
Current Drawdown Current decline from peak	-11.96%	-21.38%	+9.42%
Average Drawdown Average peak-to-trough decline	-7.98%	-10.21%	+2.23%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	8.44%	-5.10%

Volatility

CFWAX vs. XYL - Volatility Comparison

The current volatility for Calvert Global Water Fund (CFWAX) is 5.35%, while Xylem Inc. (XYL) has a volatility of 6.54%. This indicates that CFWAX experiences smaller price fluctuations and is considered to be less risky than XYL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CFWAX	XYL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.35%	6.54%	-1.19%
Volatility (6M) Calculated over the trailing 6-month period	9.61%	16.78%	-7.17%
Volatility (1Y) Calculated over the trailing 1-year period	15.51%	25.97%	-10.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.58%	25.86%	-10.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.86%	27.11%	-10.25%