Calvert Mid Cap Fund Volatility
| CMJAX Fund | USD 43.23 0.08 0.19% |
Calvert Mid Cap continues to exhibit a minimal volatility profile over the designated horizon. Calvert Mid Cap still shows a Sharpe Ratio (Efficiency) of -0.0192, indicating negative risk-adjusted returns over the last 3 months. 20 technical indicators currently contribute to the broader risk narrative.
Sharpe Ratio = -0.0192
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CMJAX |
Latest disclosures for Calvert Mid Cap show a Market Risk Adjusted Performance of 0.1%, a Risk of 0.88, and a Risk Adjusted Performance of -0.01%. Based on monthly moving average Calvert US is not performing at its full potential. However, if added to a well-diversified portfolio the total return can be enhanced and market risk can be reduced.
Key indicators related to Calvert US's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Calvert US Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Calvert daily returns, and it is calculated using variance and standard deviation.
Calvert |
Volatility Strategy
Calvert Mid Cap price volatility may influence cost basis positioning and portfolio weighting over time. Price retracements and recoveries can alter allocation balance. Current statistical measures show total volatility near 0.88% with a beta coefficient of -0.17, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0192, evaluates return per unit of total risk. An alpha value of -0.0329 reflects performance relative to systematic market exposure. Expected return estimates near -0.0169% 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 -0.17 | Alpha -0.03 | Risk 0.88 | Sharpe Ratio -0.02 | Expected Return -0.02 |
Moving together with Calvert Mutual Fund
| 0.88 | CDHIX | Calvert Developed Market | PairCorr |
| 0.9 | CDHAX | Calvert Developed Market | PairCorr |
| 0.77 | CDICX | Calvert Short Duration | PairCorr |
| 0.88 | CDHRX | Calvert International | PairCorr |
| 0.73 | CDSRX | Calvert Short Duration | PairCorr |
| 0.73 | CDSIX | Calvert Short Duration | PairCorr |
| 0.82 | CVMAX | Calvert Emerging Markets | PairCorr |
| 0.8 | CVMRX | Calvert Emerging Markets | PairCorr |
| 0.8 | CVMIX | Calvert Emerging Markets | PairCorr |
| 0.8 | CVMCX | Calvert Emerging Markets | PairCorr |
| 0.85 | CEFAX | Calvert Emerging Markets | PairCorr |
| 0.85 | CEFIX | Congressional Effect | PairCorr |
| 0.83 | CEMCX | Calvert Emerging Markets | PairCorr |
| 0.79 | CEMAX | Calvert Emerging Markets | PairCorr |
| 0.85 | CFAIX | Calvert Conservative | PairCorr |
| 0.72 | CWVIX | Calvert International | PairCorr |
| 0.8 | CWVGX | Calvert International | PairCorr |
| 0.7 | CWVCX | Calvert International | PairCorr |
| 0.84 | CFICX | Calvert Income | PairCorr |
| 0.89 | CFJIX | Calvert Large Cap | PairCorr |
| 0.89 | CFJAX | Calvert Large Cap | PairCorr |
| 0.91 | CFWCX | Calvert Global Water | PairCorr |
| 0.81 | CGARX | Calvert Responsible Index | PairCorr |
| 0.79 | CGAEX | Calvert Global Energy | PairCorr |
| 0.83 | CGAFX | Calvert Green Bond | PairCorr |
| 0.79 | CGACX | Calvert Global Energy | PairCorr |
Sensitivity To Market
Calvert US beta coefficient measures the volatility of Calvert mutual fund relative to the systematic risk of the overall market benchmark. Mathematically, beta represents the slope of the regression line comparing Calvert returns against market returns. A beta of -0.17 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.88%.Calvert Mid Cap has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 0.86%, which summarize how widely returns have moved. A fund’s downside behavior depends on what it holds and how correlated those holdings are in stressed markets.
3 Months Beta |Analyze Calvert Mid Cap Demand TrendCheck current 90 days Calvert US correlation with market (Dow Jones Industrial)Downside Risk
Calvert standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low.
Standard Deviation | 0.88 |
It is essential to understand the difference between upside risk (as represented by Calvert US's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Calvert US's daily returns or price. Latest disclosures for Calvert Mid Cap show a Maximum Drawdown of 4.38.
Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Calvert US fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Calvert US's price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calvert Mid 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.
Projected Return Density Against Market
Assuming a 90-day horizon Calvert Mid Cap has a beta of -0.1668 suggesting that as returns on the benchmark increase, returns on Calvert US tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Calvert Mid Cap is likely to outperform the market.Calvert US is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Latest disclosures for Calvert Mid Cap show a Mean Deviation of 0.65 and a Standard Deviation of 0.86.
Predicted Return Density |
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What Drives Calvert US's Price Volatility?
Several factors can influence Calvert US's market volatility:Industry Dynamics
Sector-level events can directly affect Calvert US's price stability. Regulatory changes, supply disruptions, or shifts in demand within Calvert US's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Calvert US.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Calvert US's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Calvert US. During periods of economic expansion, Calvert US's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Calvert US's Company-Specific Factors
Volatility can also stem from events unique to Calvert US. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Calvert US's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Calvert US's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Calvert US is -5219.21. The daily returns are distributed with a variance of 0.78 and standard deviation of 0.88. The mean deviation of Calvert Mid Cap is currently at 0.66. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0329 | |
β | Beta against Dow Jones | -0.1668 | |
σ | Overall volatility | 0.88 | |
Ir | Information ratio | 0.1 |
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 reported 0.8817% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8248% on return distribution over a 90-day investment 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CMJIX | 0.69 | 0.05 | 0.00 | -0.04 | 0.00 | 1.10 | 4.40 | |||
| STSGX | 1.02 | 0.09 | 0.00 | -0.03 | 0.00 | 1.58 | 6.52 | |||
| GTLIX | 0.67 | 0.08 | 0.00 | -0.02 | 0.00 | 1.39 | 4.25 | |||
| GEMNX | 0.88 | 0.18 | 0.13 | 0.12 | 1.39 | 1.60 | 6.79 | |||
| EXHAX | 0.83 | 0.14 | 0.20 | 0.11 | 0.82 | 1.20 | 12.83 | |||
| FSRBX | 1.03 | 0.00 | 0.00 | -0.10 | 0.00 | 2.05 | 8.11 | |||
| FSRFX | 1.04 | 0.11 | 0.00 | -0.02 | 0.00 | 2.18 | 6.43 | |||
| MIQBX | 0.69 | -0.04 | 0.00 | 0.17 | 0.00 | 1.35 | 4.41 | |||
| FSCHX | 0.76 | 0.22 | 0.22 | 0.20 | 0.88 | 1.86 | 5.36 |
Risk Metrics, Assumptions & Methodology
Volatility for Calvert US reflects NAV dispersion and exposure stability across disclosure periods. Higher dispersion implies wider price swings across observed periods.
Unless otherwise specified, data for Calvert Mid Cap is compiled from fund disclosures and market reference feeds and standardized for comparability. Updates may occur throughout the day. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Ellen Johnson - Member of Macroaxis Editorial BoardCalvert US Investment Opportunity
Calvert Mid Cap currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.07. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Calvert Mid Cap to enhance the returns of your portfolios. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a normal upward fluctuation. Check odds of Calvert US to be traded at $45.39 in 90 days.Poor diversification
For the present investment horizon, the measured correlation between CMJAX and DJI stands at 0.67, or Poor diversification. Used correctly, the chart supports evaluation of whether adding the second position genuinely diversifies the first.
Calvert US Additional Risk Indicators
A broader risk-indicator set for Calvert Mid Cap can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.01 | |||
| Market Risk Adjusted Performance | 0.1088 | |||
| Mean Deviation | 0.6532 | |||
| Coefficient Of Variation | -13,301 | |||
| Standard Deviation | 0.8612 | |||
| Variance | 0.7417 | |||
| Information Ratio | 0.0951 |
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 advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
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 Mid Cap.