Calvert Large Cap Fund Volatility
| CGJIX Fund | USD 71.61 -0.50 -0.69% |
Recent trading patterns suggest Calvert Large Cap maintains a minimal volatility profile. Calvert Large Cap still shows a Sharpe Ratio (Efficiency) of -0.0787, showing negative reward per unit of risk over the last 3 months. The latest risk read is supported by 20 technical indicators.
Sharpe Ratio = -0.0787
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| Negative Returns | CGJIX |
For Calvert Large Cap, recent data highlights a Market Risk Adjusted Performance of -0.1%, a Risk of 0.86, and a Risk Adjusted Performance of -0.1%. Moving average data indicates Calvert US is not operating at maximum efficiency. A well-diversified portfolio allocation can reduce market risk and improve total performance.
Key indicators related to Calvert US's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for Calvert US draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of Calvert US's risk profile.
Calvert |
Volatility Strategy
Observed trading dispersion in Calvert Large Cap can affect long-term allocation structure. Current statistical measures show total volatility near 0.86% with a beta coefficient of 0.82, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0787, evaluates return per unit of total risk. An alpha value of -0.0559 reflects performance relative to systematic market exposure. Expected return estimates near -0.0674% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to Calvert US's market risk premium analysis include:
Beta 0.82 | Alpha -0.06 | Risk 0.86 | Sharpe Ratio -0.08 | Expected Return -0.07 |
Moving together with Calvert Mutual Fund
Moving against Calvert Mutual Fund
| 0.49 | CDSIX | Calvert Short Duration | PairCorr |
| 0.48 | CDSRX | Calvert Short Duration | PairCorr |
| 0.45 | CDICX | Calvert Short Duration | PairCorr |
| 0.41 | CFICX | Calvert Income | PairCorr |
| 0.37 | CVMAX | Calvert Emerging Markets | PairCorr |
| 0.35 | CDHAX | Calvert Developed Market | PairCorr |
Sensitivity To Market
Calvert US'sCalvert US systematic risk exposure is reflected in a beta value of 0.82. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.86%.Over the current lookback period, Calvert Large Cap shows a minimal volatility profile, using downside deviation (0.0%) as a primary reference. For Calvert US, the volatility profile is a portfolio effect rather than a single-company effect.
3 Months Beta |Analyze Calvert Large Cap Demand TrendCheck current 90 days Calvert US correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for Calvert expresses the daily price volatility over a selected time horizon as a spread around the mean. High values indicate volatile instruments; low values indicate stable ones.
Standard Deviation | 0.86 |
For Calvert US investors, the distinction between upside and downside risk matters. Standard deviation measures total volatility including favorable moves, while downside deviation and semi-deviation isolate the loss risk in Calvert US's daily returns. For Calvert Large Cap, recent data highlights a Maximum Drawdown of 4.10.
Mutual Fund Volatility Analysis
Volatility describes the degree to which Calvert US mutual fund price fluctuates in either direction. Highly volatile mutual funds like Calvert US can offer significant profit opportunities, but also come with heightened risk.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Calvert Large Cap Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Calvert US Projected Return Density Against Market
Assuming a 90-day horizon Calvert US has a beta of 0.8223 suggesting as returns on the market go up, Calvert US's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Calvert Large Cap is expected to be smaller as well.Systematic risk links Calvert US to overall mutual fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. For Calvert Large Cap, recent data highlights a Mean Deviation of 0.66 and a Standard Deviation of 0.85.
Predicted Return Density |
| Returns |
What Drives a Calvert US Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Calvert US is -1270.5. The daily returns are distributed with a variance of 0.73 and standard deviation of 0.86. The mean deviation of Calvert Large Cap is currently at 0.67. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0559 | |
β | Beta against Dow Jones | 0.82 | |
σ | Overall volatility | 0.86 | |
Ir | Information ratio | -0.0565 |
Mutual Fund Return Volatility
Calvert US historical daily return volatility represents how much of Calvert US fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.856% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.792% volatility on return distribution over a 90-day horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
There is a big difference between Calvert Mutual Fund performing well and Calvert US Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Calvert US's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CGJAX | 0.65 | -0.10 | 0.00 | 0.41 | 0.00 | 1.11 | 4.00 | |||
| FAMEX | 0.67 | -0.03 | 0.00 | -0.08 | 0.00 | 1.23 | 3.90 | |||
| HWSIX | 0.83 | 0.11 | 0.09 | 0.05 | 1.03 | 2.17 | 5.70 | |||
| HWSCX | 0.83 | 0.10 | 0.09 | 0.05 | 1.04 | 2.18 | 5.70 | |||
| FCIRX | 0.67 | -0.06 | 0.00 | 0.38 | 0.00 | 1.09 | 4.47 | |||
| BAMPX | 0.32 | -0.01 | 0.00 | 0.29 | 0.00 | 0.59 | 2.18 | |||
| HGHAX | 0.70 | -0.06 | 0.00 | 6.88 | 0.00 | 1.68 | 3.96 | |||
| EEMAX | 1.06 | 0.18 | 0.14 | -0.96 | 1.44 | 2.34 | 10.14 | |||
| IVFIX | 0.53 | 0.12 | 0.19 | -1.42 | 0.65 | 1.20 | 4.64 | |||
| HWSAX | 0.84 | 0.03 | 0.08 | -0.18 | 1.05 | 2.17 | 5.69 |
Risk Metrics, Assumptions & Methodology
Volatility for Calvert US reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for Calvert Large Cap come from fund disclosures and market reference feeds and are mapped into a consistent schema for analysis. Some fields can appear with publication lag. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Michael Smolkin - Member of Macroaxis Board of DirectorsCalvert US Investment Opportunity
Measured over the selected horizon, Calvert Large Cap carries roughly 1.09 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Calvert Large Cap to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a moderate downward daily trend and can be a good diversifier. Check odds of Calvert US to be traded at $70.18 in 90 days.Very weak diversification
Across the chosen horizon, CGJIX and DJI show a correlation of 0.41 and fall into the Very weak diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Calvert US Additional Risk Indicators
Risk analysis around Calvert Large Cap becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.10 | |||
| Mean Deviation | 0.6608 | |||
| Coefficient Of Variation | -1,025 | |||
| Standard Deviation | 0.8482 | |||
| Variance | 0.7195 | |||
| Information Ratio | -0.06 |
Calvert US Suggested Diversification Pairs
Pair trading with Calvert US can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Calvert US as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Calvert US's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Calvert US's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Calvert Large Cap.