PortfoliosLab logo
CLDAX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CLDAX and VOO is -0.18. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

CLDAX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert Core Bond Fund (CLDAX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

CLDAX:

0.95

VOO:

0.52

Sortino Ratio

CLDAX:

1.40

VOO:

0.89

Omega Ratio

CLDAX:

1.16

VOO:

1.13

Calmar Ratio

CLDAX:

0.27

VOO:

0.57

Martin Ratio

CLDAX:

2.53

VOO:

2.18

Ulcer Index

CLDAX:

1.92%

VOO:

4.85%

Daily Std Dev

CLDAX:

5.17%

VOO:

19.11%

Max Drawdown

CLDAX:

-23.91%

VOO:

-33.99%

Current Drawdown

CLDAX:

-13.30%

VOO:

-7.67%

Returns By Period

In the year-to-date period, CLDAX achieves a 1.55% return, which is significantly higher than VOO's -3.41% return. Over the past 10 years, CLDAX has underperformed VOO with an annualized return of 2.23%, while VOO has yielded a comparatively higher 12.42% annualized return.


CLDAX

YTD

1.55%

1M

0.19%

6M

0.94%

1Y

4.85%

5Y*

-0.67%

10Y*

2.23%

VOO

YTD

-3.41%

1M

7.59%

6M

-5.06%

1Y

9.79%

5Y*

15.86%

10Y*

12.42%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CLDAX vs. VOO - Expense Ratio Comparison

CLDAX has a 0.74% expense ratio, which is higher than VOO's 0.03% expense ratio.


Risk-Adjusted Performance

CLDAX vs. VOO — Risk-Adjusted Performance Rank

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

CLDAX
The Risk-Adjusted Performance Rank of CLDAX is 7070
Overall Rank
The Sharpe Ratio Rank of CLDAX is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of CLDAX is 8080
Sortino Ratio Rank
The Omega Ratio Rank of CLDAX is 7575
Omega Ratio Rank
The Calmar Ratio Rank of CLDAX is 4545
Calmar Ratio Rank
The Martin Ratio Rank of CLDAX is 7070
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6464
Overall Rank
The Sharpe Ratio Rank of VOO is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CLDAX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert Core Bond Fund (CLDAX) and Vanguard S&P 500 ETF (VOO). 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.


The current CLDAX Sharpe Ratio is 0.95, which is higher than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of CLDAX and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Loading data...

Dividends

CLDAX vs. VOO - Dividend Comparison

CLDAX's dividend yield for the trailing twelve months is around 4.13%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
CLDAX
Calvert Core Bond Fund
4.13%4.53%3.86%2.20%6.08%5.22%3.05%3.63%3.02%7.02%2.85%5.15%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

CLDAX vs. VOO - Drawdown Comparison

The maximum CLDAX drawdown since its inception was -23.91%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CLDAX and VOO. For additional features, visit the drawdowns tool.


Loading data...

Volatility

CLDAX vs. VOO - Volatility Comparison


Loading data...