CALVERT GLOBAL Downside Deviation
| CAEIX Fund | | | USD 16.72 -0.27 -1.59% |
Downside Deviation (or DD) is measured by target semi-deviation (the square root of target semi-variance) and is termed downside risk. It is expressed in percentages and therefore allows for rankings in the same way as standard deviation. An intuitive way to view the downside risk is the annualized standard deviation of returns below the target. Below is CALVERT GLOBAL's current Downside Deviation with peer comparisons and related risk metrics.
Current Downside Deviation Value
A Downside Deviation of 1.31 for CALVERT GLOBAL signals moderate price variability. This places CALVERT GLOBAL within the typical volatility range for Calvert Research and Management Funds.
Downside Deviation | = | SQRT(DV) |
| = | 1.31 | |
Downside Deviation Peers Comparison
The peer group averages 1.44 for Downside Deviation, with CALVERT GLOBAL at 1.31 falling below that level. Readings span 0.6336 (Walden Asset Management) to 2.05 (Needham Growth Fund). CALVERT GLOBAL has exhibited less price dispersion than the peer average over the measured period.
Downside Deviation Relative To Other Indicators
The chart below plots Downside Deviation against Maximum Drawdown for Calvert Global and its peers. Each point represents one equity — position along the horizontal axis shows Downside Deviation while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
CALVERT GLOBAL's Maximum Drawdown of
6.64 runs about
5.09 times its Downside Deviation of
1.31 . This indicates Maximum Drawdown substantially exceeds Downside Deviation for CALVERT GLOBAL.
Methodology, Assumptions & Data Sources
The current Downside Deviation for CALVERT GLOBAL is 1.31. The Downside Deviation for CALVERT GLOBAL applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. All inputs are based on exchange-reported closing prices, with adjustments for stock splits, dividends, and other corporate actions. CALVERT GLOBAL operates in the world small/mid stock sector, which may exhibit distinct volatility and momentum characteristics relative to the broader market. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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