RYEIX vs. CFWAX

Last updated Jun 4, 2026

RYEIX (Rydex Energy Fund) and CFWAX (Calvert Global Water Fund) are both Energy Equities funds. Over the past 10 years, RYEIX returned 6.68%/yr vs 8.43%/yr for CFWAX. A 0.62 correlation means they provide meaningful diversification when combined. RYEIX charges 1.36%/yr vs 1.24%/yr for CFWAX.

Performance

RYEIX vs. CFWAX - Performance Comparison

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

Returns By Period

In the year-to-date period, RYEIX achieves a 35.81% return, which is significantly higher than CFWAX's 3.39% return. Over the past 10 years, RYEIX has underperformed CFWAX with an annualized return of 6.68%, while CFWAX has yielded a comparatively higher 8.43% annualized return.

RYEIX

• 1D: 1.86%
• 1M: -1.58%
• YTD: 35.81%
• 6M: 31.02%
• 1Y: 51.80%
• 3Y*: 17.07%
• 5Y*: 17.42%
• 10Y*: 6.68%

CFWAX

• 1D: 0.50%
• 1M: -0.95%
• YTD: 3.39%
• 6M: 1.94%
• 1Y: 10.11%
• 3Y*: 9.84%
• 5Y*: 4.81%
• 10Y*: 8.43%

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

RYEIX vs. CFWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RYEIX Rydex Energy Fund	35.81%	6.96%	0.49%	1.87%	49.54%	50.70%	-34.24%	6.50%	-25.31%	-6.17%
CFWAX Calvert Global Water Fund	3.39%	14.38%	3.91%	18.34%	-19.63%	22.59%	14.79%	28.02%	-13.63%	18.88%

Correlation

The correlation between RYEIX and CFWAX is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.36
Correlation (5Y) Calculated over the trailing 5-year period	0.42
Correlation (10Y) Calculated over the trailing 10-year period	0.51
Correlation (All Time) Calculated using the full available price history since Oct 1, 2008	0.62

Over the past year, the correlation between RYEIX and CFWAX has dropped to 0.11 - well below their long-term average of 0.62, suggesting their price drivers have been diverging.

Return for Risk

RYEIX vs. CFWAX — Risk / Return Rank

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

RYEIX

RYEIX Risk / Return Rank: 81
RYEIX Sharpe Ratio Rank: 86
RYEIX Sortino Ratio Rank: 72
RYEIX Omega Ratio Rank: 64
RYEIX Calmar Ratio Rank: 94
RYEIX Martin Ratio Rank: 89

CFWAX

CFWAX Risk / Return Rank: 9
CFWAX Sharpe Ratio Rank: 10
CFWAX Sortino Ratio Rank: 10
CFWAX Omega Ratio Rank: 9
CFWAX Calmar Ratio Rank: 8
CFWAX Martin Ratio Rank: 8

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.

RYEIX vs. CFWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Rydex Energy Fund (RYEIX) and Calvert Global Water Fund (CFWAX). 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.

	RYEIX	CFWAX	Difference
Sharpe ratio Return per unit of total volatility	2.81	0.78	+2.03
Sortino ratio Return per unit of downside risk	3.54	1.20	+2.34
Omega ratio Gain probability vs. loss probability	1.45	1.14	+0.30
Calmar ratio Return relative to maximum drawdown	5.63	0.83	+4.80
Martin ratio Return relative to average drawdown	17.55	2.50	+15.05
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RYEIX vs. CFWAX - Sharpe Ratio Comparison

The current RYEIX Sharpe Ratio is 2.81, which is higher than the CFWAX Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of RYEIX and CFWAX, 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

	RYEIX	CFWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.81	0.78	+2.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	0.31	+0.35
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.21	0.50	-0.29
Sharpe Ratio (All Time) Calculated using the full available price history	0.18	0.39	-0.21

Drawdowns

RYEIX vs. CFWAX - Drawdown Comparison

The maximum RYEIX drawdown since its inception was -83.50%, which is greater than CFWAX's maximum drawdown of -39.67%. Use the drawdown chart below to compare losses from any high point for RYEIX and CFWAX.

Drawdown Indicators

	RYEIX	CFWAX	Difference
Max Drawdown Largest peak-to-trough decline	-83.50%	-39.67%	-43.83%
Max Drawdown (1Y) Largest decline over 1 year	-9.74%	-12.79%	+3.05%
Max Drawdown (3Y) Largest decline over 3 years	-26.94%	-17.64%	-9.30%
Max Drawdown (5Y) Largest decline over 5 years	-26.94%	-29.17%	+2.23%
Max Drawdown (10Y) Largest decline over 10 years	-74.93%	-36.25%	-38.68%
Current Drawdown Current decline from peak	-2.86%	-7.71%	+4.85%
Average Drawdown Average peak-to-trough decline	-28.62%	-7.96%	-20.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.12%	4.25%	-1.13%

Volatility

RYEIX vs. CFWAX - Volatility Comparison

Rydex Energy Fund (RYEIX) has a higher volatility of 6.66% compared to Calvert Global Water Fund (CFWAX) at 4.43%. This indicates that RYEIX's price experiences larger fluctuations and is considered to be riskier than CFWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RYEIX	CFWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.66%	4.43%	+2.23%
Volatility (6M) Calculated over the trailing 6-month period	14.99%	10.65%	+4.34%
Volatility (1Y) Calculated over the trailing 1-year period	19.58%	13.65%	+5.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	26.46%	15.72%	+10.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	31.83%	16.94%	+14.89%

RYEIX vs. CFWAX - Expense Ratio Comparison

RYEIX has a 1.36% expense ratio, which is higher than CFWAX's 1.24% expense ratio.

Dividends

RYEIX vs. CFWAX - Dividend Comparison

RYEIX's dividend yield for the trailing twelve months is around 1.85%, less than CFWAX's 4.62% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CFWAX Calvert Global Water Fund	4.62%	4.77%	9.25%	2.57%	1.47%	0.93%	0.77%	0.83%	1.30%	0.93%	0.00%	0.03%
RYEIX Rydex Energy Fund	1.85%	2.51%	3.84%	2.68%	2.55%	0.50%	2.38%	0.78%	0.81%	0.71%	0.62%	0.43%

Frequently Asked Questions

Can I hold both RYEIX and CFWAX in my portfolio?

RYEIX and CFWAX have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, RYEIX or CFWAX?

RYEIX has higher volatility (6.66%) compared to CFWAX (4.43%). In terms of maximum drawdown, RYEIX dropped -83.50% vs CFWAX's -39.67%.

Which has better risk-adjusted returns?

RYEIX currently has the higher Sharpe Ratio (2.81 vs 0.78), 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.