Calvert Large Cap Fund Volatility
Calvert Large Cap secures Sharpe Ratio (or Efficiency) of -0.11, which signifies that the fund had a -0.11 % return per unit of risk over the last 3 months. Calvert Large Cap exposes fifteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Calvert Us' Mean Deviation of 0.9654, standard deviation of 1.22, and Risk Adjusted Performance of (0.09) to double-check the risk estimate we provide.
Calvert |
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. We also use Calvert's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Calvert Us volatility.
Calvert Large Cap 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' price changes. Investors will then calculate the volatility of Calvert Us' mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Calvert Us' volatility:
Historical Volatility
This type of fund volatility measures Calvert Us' fluctuations based on previous trends. It's commonly used to predict Calvert Us' future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Calvert Us' current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Calvert Us' to be redeemed at a future date.Transformation |
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Calvert Us Projected Return Density Against Market
Assuming the 90 days horizon the mutual fund has the beta coefficient of 1.0197 suggesting Calvert Large Cap market returns are sensitive to returns on the market. As the market goes up or down, Calvert Us is expected to follow.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Calvert Us or Calvert Research and Management sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Calvert Us' price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Calvert fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Calvert Large Cap has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
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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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Calvert Us Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Calvert Us is -935.15. The daily returns are distributed with a variance of 1.49 and standard deviation of 1.22. The mean deviation of Calvert Large Cap is currently at 0.97. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.86
α | Alpha over Dow Jones | -0.09 | |
β | Beta against Dow Jones | 1.02 | |
σ | Overall volatility | 1.22 | |
Ir | Information ratio | -0.08 |
Calvert Us 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 1.2198% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8771% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Calvert Us Investment Opportunity
Calvert Large Cap has a volatility of 1.22 and is 1.39 times more volatile than Dow Jones Industrial. 10 percent of all equities and portfolios are less risky than Calvert Us. You can use Calvert Large Cap to enhance the returns of your portfolios. The mutual fund experiences a moderate downward daily trend and can be a good diversifier. Check odds of Calvert Us to be traded at $61.09 in 90 days.Poor diversification
The correlation between Calvert Large Cap and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Calvert Large Cap and DJI in the same portfolio, assuming nothing else is changed.
Calvert Us Additional Risk Indicators
The analysis of Calvert Us' secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Calvert Us' investment and either accepting that risk or mitigating it. Along with some common measures of Calvert Us mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.09) | |||
| Market Risk Adjusted Performance | (0.13) | |||
| Mean Deviation | 0.9654 | |||
| Coefficient Of Variation | (935.15) | |||
| Standard Deviation | 1.22 | |||
| Variance | 1.49 | |||
| Information Ratio | (0.08) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Calvert Us Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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' 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' 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.
Other Information on Investing in Calvert Mutual Fund
Calvert Us financial ratios help investors to determine whether Calvert Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Calvert with respect to the benefits of owning Calvert Us security.
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