CFWAX vs. XYL
CFWAX (Calvert Global Water Fund) is Energy Equities fund managed by Calvert, while XYL (Xylem Inc.) is a stock. Over the past 10 years, CFWAX returned 8.50%/yr vs 11.03%/yr for XYL. Their 0.70 correlation means they have sometimes moved together and sometimes differently.
Performance
CFWAX vs. XYL - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, CFWAX achieves a 7.16% return, which is significantly higher than XYL's -13.48% return. Over the past 10 years, CFWAX has underperformed XYL with an annualized return of 8.50%, while XYL has yielded a comparatively higher 11.03% annualized return.
CFWAX
- 1D
- 0.90%
- 1M
- -0.06%
- 6M
- 0.87%
- YTD
- 7.16%
- 1Y
- 11.71%
- 3Y*
- 9.39%
- 5Y*
- 5.03%
- 10Y*
- 8.50%
- ALL TIME*
- 7.63%
XYL
- 1D
- 0.13%
- 1M
- -0.97%
- 6M
- -14.54%
- YTD
- -13.48%
- 1Y
- -16.66%
- 3Y*
- 2.73%
- 5Y*
- -0.26%
- 10Y*
- 11.03%
- ALL TIME*
- 12.95%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
XYL Xylem Inc. | $278.33M | $249.35M | $230.13M |
CFWAX vs. XYL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 7.16% | 14.38% | 3.91% | 18.34% | -19.63% | 22.59% | 14.79% | 28.02% | -13.63% | 18.88% |
XYL Xylem Inc. | -13.48% | 18.78% | 2.57% | 4.77% | -6.60% | 18.94% | 30.90% | 19.59% | -1.01% | 39.50% |
Correlation
The correlation between CFWAX and XYL is 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (3Y) Balances recent behavior with more history. | 0.70 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.74 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.72 |
Correlation (All Time) Calculated using the full available price history since Oct 13, 2011 | 0.70 |
The correlation between CFWAX and XYL has been stable across timeframes, ranging from 0.65 to 0.74 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
CFWAX vs. XYL — Risk / Return Rank
CFWAX
XYL
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CFWAX | XYL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.51 | ||
| Sortino ratioReturn per unit of downside risk | +2.09 | ||
| Omega ratioGain probability vs. loss probability | 1.13 | 0.88 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 0.83 | -0.60 | +1.43 |
| Martin ratioReturn relative to average drawdown | 2.20 | -1.15 | +3.35 |
Loading charts...
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.
Loading charts...
Drawdown Indicators
| CFWAX | XYL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.67% | -46.69% | +7.02% |
Max Drawdown (1Y)Largest decline over 1 year | -12.79% | -30.04% | +17.25% |
Max Drawdown (3Y)Largest decline over 3 years | -17.64% | -30.04% | +12.40% |
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 DrawdownCurrent decline from peak | -4.35% | -22.75% | +18.40% |
Average DrawdownAverage peak-to-trough decline | -7.94% | -10.50% | +2.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.82% | 15.78% | -10.96% |
Volatility
CFWAX vs. XYL - Volatility Comparison
The current volatility for Calvert Global Water Fund (CFWAX) is 4.05%, while Xylem Inc. (XYL) has a volatility of 9.36%. 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.
Loading charts...
Volatility by Period
| CFWAX | XYL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 9.36% | -5.31% |
Volatility (6M)Calculated over the trailing 6-month period | 11.13% | 20.08% | -8.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.15% | 26.28% | -12.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.79% | 26.34% | -10.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.87% | 27.41% | -10.54% |
Dividends
CFWAX vs. XYL - Dividend Comparison
CFWAX's dividend yield for the trailing twelve months is around 4.45%, more than XYL's 1.42% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CFWAX Calvert Global Water Fund | 4.45% | 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. | 1.42% | 1.17% | 1.24% | 1.15% | 1.09% | 0.93% | 1.02% | 1.22% | 1.26% | 1.06% | 1.25% | 1.54% |
Frequently Asked Questions
CFWAX and XYL have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
XYL has higher volatility (9.36%) compared to CFWAX (4.05%). In terms of maximum drawdown, CFWAX dropped -39.67% vs XYL's -46.69%.
CFWAX currently has the higher Sharpe Ratio (0.75 vs -0.76), 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.
Find the right allocation for CFWAX and XYL
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer