MCNAX vs. CFAIX

Last updated Jun 3, 2026

MCNAX (Madison Conservative Allocation Fund) and CFAIX (Calvert Conservative Allocation Fund Class I) are both Diversified Portfolio funds. Over the past 5 years, MCNAX returned 2.48%/yr vs 3.87%/yr for CFAIX. Their correlation of 0.94 suggests significant overlap in exposure. MCNAX charges 0.71%/yr vs 0.66%/yr for CFAIX.

Performance

MCNAX vs. CFAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Madison Conservative Allocation Fund (MCNAX) and Calvert Conservative Allocation Fund Class I (CFAIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MCNAX achieves a 4.85% return, which is significantly higher than CFAIX's 4.43% return.

MCNAX

• 1D: 0.19%
• 1M: 1.90%
• YTD: 4.85%
• 6M: 5.53%
• 1Y: 12.05%
• 3Y*: 7.83%
• 5Y*: 2.48%
• 10Y*: 4.25%

CFAIX

• 1D: 0.15%
• 1M: 2.02%
• YTD: 4.43%
• 6M: 4.92%
• 1Y: 12.28%
• 3Y*: 9.17%
• 5Y*: 3.87%
• 10Y*: —

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

MCNAX vs. CFAIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MCNAX Madison Conservative Allocation Fund	4.85%	9.31%	4.55%	7.96%	-13.79%	2.97%	9.16%	12.44%	-2.98%	9.36%
CFAIX Calvert Conservative Allocation Fund Class I	4.43%	10.50%	6.65%	10.34%	-14.13%	7.92%	12.51%	15.89%	-2.54%	8.20%

Correlation

The correlation between MCNAX and CFAIX is 0.97 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.97
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017	0.94

The correlation between MCNAX and CFAIX has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.

Return for Risk

MCNAX vs. CFAIX — Risk / Return Rank

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

MCNAX

MCNAX Risk / Return Rank: 47
MCNAX Sharpe Ratio Rank: 48
MCNAX Sortino Ratio Rank: 50
MCNAX Omega Ratio Rank: 52
MCNAX Calmar Ratio Rank: 39
MCNAX Martin Ratio Rank: 49

CFAIX

CFAIX Risk / Return Rank: 51
CFAIX Sharpe Ratio Rank: 52
CFAIX Sortino Ratio Rank: 55
CFAIX Omega Ratio Rank: 54
CFAIX Calmar Ratio Rank: 42
CFAIX Martin Ratio Rank: 55

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.

MCNAX vs. CFAIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Madison Conservative Allocation Fund (MCNAX) and Calvert Conservative Allocation Fund Class I (CFAIX). 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.

	MCNAX	CFAIX	Difference
Sharpe ratio Return per unit of total volatility	2.04	2.12	-0.08
Sortino ratio Return per unit of downside risk	2.98	3.12	-0.14
Omega ratio Gain probability vs. loss probability	1.40	1.41	-0.01
Calmar ratio Return relative to maximum drawdown	2.38	2.46	-0.08
Martin ratio Return relative to average drawdown	10.12	11.09	-0.98
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MCNAX vs. CFAIX - Sharpe Ratio Comparison

The current MCNAX Sharpe Ratio is 2.04, which is comparable to the CFAIX Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of MCNAX and CFAIX, 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

	MCNAX	CFAIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.04	2.12	-0.08
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.33	0.54	-0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.62	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.87	-0.28

Drawdowns

MCNAX vs. CFAIX - Drawdown Comparison

The maximum MCNAX drawdown since its inception was -27.65%, which is greater than CFAIX's maximum drawdown of -18.74%. Use the drawdown chart below to compare losses from any high point for MCNAX and CFAIX.

Drawdown Indicators

	MCNAX	CFAIX	Difference
Max Drawdown Largest peak-to-trough decline	-27.65%	-18.74%	-8.91%
Max Drawdown (1Y) Largest decline over 1 year	-5.10%	-5.01%	-0.09%
Max Drawdown (3Y) Largest decline over 3 years	-6.06%	-7.83%	+1.77%
Max Drawdown (5Y) Largest decline over 5 years	-22.20%	-18.74%	-3.46%
Max Drawdown (10Y) Largest decline over 10 years	-22.20%	—	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-4.42%	-3.26%	-1.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.20%	1.11%	+0.09%

Volatility

MCNAX vs. CFAIX - Volatility Comparison

Madison Conservative Allocation Fund (MCNAX) and Calvert Conservative Allocation Fund Class I (CFAIX) have volatilities of 2.23% and 2.20%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MCNAX	CFAIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.23%	2.20%	+0.03%
Volatility (6M) Calculated over the trailing 6-month period	4.95%	4.80%	+0.15%
Volatility (1Y) Calculated over the trailing 1-year period	5.94%	5.80%	+0.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.66%	7.16%	+0.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.85%	6.92%	-0.07%

MCNAX vs. CFAIX - Expense Ratio Comparison

MCNAX has a 0.71% expense ratio, which is higher than CFAIX's 0.66% expense ratio.

Dividends

MCNAX vs. CFAIX - Dividend Comparison

MCNAX's dividend yield for the trailing twelve months is around 2.57%, less than CFAIX's 3.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CFAIX Calvert Conservative Allocation Fund Class I	3.38%	3.56%	3.62%	3.48%	2.48%	5.55%	4.39%	4.38%	5.10%	2.39%	0.00%	0.00%
MCNAX Madison Conservative Allocation Fund	2.57%	2.63%	2.81%	2.40%	1.49%	6.65%	7.32%	3.75%	5.24%	4.24%	3.43%	4.51%

Frequently Asked Questions

Can I hold both MCNAX and CFAIX in my portfolio?

With a correlation of 0.97, MCNAX and CFAIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, MCNAX or CFAIX?

MCNAX has higher volatility (2.23%) compared to CFAIX (2.20%). In terms of maximum drawdown, MCNAX dropped -27.65% vs CFAIX's -18.74%.

Which has better risk-adjusted returns?

CFAIX currently has the higher Sharpe Ratio (2.12 vs 2.04), 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.