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CLDAX vs. ETH-USD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


CLDAXETH-USD
YTD Return1.86%16.48%
1Y Return10.06%46.29%
3Y Return (Ann)-2.30%-14.74%
5Y Return (Ann)0.98%70.59%
Sharpe Ratio1.77-0.23
Sortino Ratio2.600.11
Omega Ratio1.321.01
Calmar Ratio0.620.00
Martin Ratio6.59-0.56
Ulcer Index1.58%26.43%
Daily Std Dev5.88%51.49%
Max Drawdown-18.88%-93.96%
Current Drawdown-8.54%-44.78%

Correlation

-0.50.00.51.00.0

The correlation between CLDAX and ETH-USD is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

CLDAX vs. ETH-USD - Performance Comparison

In the year-to-date period, CLDAX achieves a 1.86% return, which is significantly lower than ETH-USD's 16.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-30.00%-20.00%-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctober
4.50%
-10.52%
CLDAX
ETH-USD

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Risk-Adjusted Performance

CLDAX vs. ETH-USD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Core Bond Fund (CLDAX) and Ethereum (ETH-USD). 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.


CLDAX
Sharpe ratio
The chart of Sharpe ratio for CLDAX, currently valued at 1.12, compared to the broader market-2.000.002.004.001.12
Sortino ratio
The chart of Sortino ratio for CLDAX, currently valued at 1.60, compared to the broader market0.005.0010.001.60
Omega ratio
The chart of Omega ratio for CLDAX, currently valued at 1.19, compared to the broader market1.002.003.004.001.19
Calmar ratio
The chart of Calmar ratio for CLDAX, currently valued at 0.07, compared to the broader market0.005.0010.0015.0020.000.07
Martin ratio
The chart of Martin ratio for CLDAX, currently valued at 4.61, compared to the broader market0.0020.0040.0060.0080.004.61
ETH-USD
Sharpe ratio
The chart of Sharpe ratio for ETH-USD, currently valued at -0.23, compared to the broader market-2.000.002.004.00-0.23
Sortino ratio
The chart of Sortino ratio for ETH-USD, currently valued at 0.11, compared to the broader market0.005.0010.000.11
Omega ratio
The chart of Omega ratio for ETH-USD, currently valued at 1.01, compared to the broader market1.002.003.004.001.01
Calmar ratio
The chart of Calmar ratio for ETH-USD, currently valued at 0.00, compared to the broader market0.005.0010.0015.0020.000.00
Martin ratio
The chart of Martin ratio for ETH-USD, currently valued at -0.56, compared to the broader market0.0020.0040.0060.0080.00-0.56

CLDAX vs. ETH-USD - Sharpe Ratio Comparison

The current CLDAX Sharpe Ratio is 1.77, which is higher than the ETH-USD Sharpe Ratio of -0.23. The chart below compares the historical Sharpe Ratios of CLDAX and ETH-USD, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctober
1.12
-0.23
CLDAX
ETH-USD

Drawdowns

CLDAX vs. ETH-USD - Drawdown Comparison

The maximum CLDAX drawdown since its inception was -18.88%, smaller than the maximum ETH-USD drawdown of -93.96%. Use the drawdown chart below to compare losses from any high point for CLDAX and ETH-USD. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctober
-8.54%
-44.78%
CLDAX
ETH-USD

Volatility

CLDAX vs. ETH-USD - Volatility Comparison

The current volatility for Calvert Core Bond Fund (CLDAX) is 1.37%, while Ethereum (ETH-USD) has a volatility of 14.30%. This indicates that CLDAX experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctober
1.37%
14.30%
CLDAX
ETH-USD