Calvert Large Cap Fund Market Value
| CFJAX Fund | USD 30.85 0.02 0.06% |
| Symbol | Calvert |
Calvert Large 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Calvert Large's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Calvert Large.
| 01/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Calvert Large on January 26, 2024 and sell it all today you would earn a total of 0.00 from holding Calvert Large Cap or generate 0.0% return on investment in Calvert Large over 90 days. Calvert Large is related to or competes with Calvert Developed, Calvert Developed, Calvert Short, Calvert International, Calvert Short, Calvert Short, and Calvert Emerging. The manager employs a passive management strategy designed to track, as closely as possible, the performance of the inde... More
Calvert Large Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Calvert Large's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Calvert Large Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8433 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 3.35 | |||
| Value At Risk | (1.24) | |||
| Potential Upside | 1.07 |
Calvert Large Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Calvert Large's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Calvert Large's standard deviation. In reality, there are many statistical measures that can use Calvert Large historical prices to predict the future Calvert Large's volatility.| Risk Adjusted Performance | 0.0725 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0677 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Calvert Large's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Calvert Large Cap Backtested Returns
We consider Calvert Large very steady. Calvert Large Cap secures Sharpe Ratio (or Efficiency) of 0.1, which signifies that the fund had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Calvert Large Cap, which you can use to evaluate the volatility of the entity. Please confirm Calvert Large's Downside Deviation of 0.8433, risk adjusted performance of 0.0725, and Mean Deviation of 0.5213 to double-check if the risk estimate we provide is consistent with the expected return of 0.0735%. The fund shows a Beta (market volatility) of 1.03, which signifies a somewhat significant risk relative to the market. Calvert Large returns are very sensitive to returns on the market. As the market goes up or down, Calvert Large is expected to follow.
Auto-correlation | -0.58 |
Good reverse predictability
Calvert Large Cap has good reverse predictability. Overlapping area represents the amount of predictability between Calvert Large time series from 26th of January 2024 to 11th of March 2024 and 11th of March 2024 to 25th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Calvert Large Cap price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Calvert Large price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
Calvert Large Cap lagged returns against current returns
Autocorrelation, which is Calvert Large mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Calvert Large's mutual fund expected returns. We can calculate the autocorrelation of Calvert Large returns to help us make a trade decision. For example, suppose you find that Calvert Large has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Calvert Large regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Calvert Large mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Calvert Large mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Calvert Large mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Calvert Large Lagged Returns
When evaluating Calvert Large's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Calvert Large mutual fund have on its future price. Calvert Large autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Calvert Large autocorrelation shows the relationship between Calvert Large mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Calvert Large Cap.
Regressed Prices |
| Timeline |
Pair Trading with Calvert Large
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Calvert Large position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Calvert Large will appreciate offsetting losses from the drop in the long position's value.Moving together with Calvert Mutual Fund
| 0.93 | CDHIX | Calvert Developed Market | PairCorr |
| 0.87 | CDHAX | Calvert Developed Market | PairCorr |
| 0.62 | CDICX | Calvert Short Duration | PairCorr |
| 0.87 | CDHRX | Calvert International | PairCorr |
| 0.69 | CDSIX | Calvert Short Duration | PairCorr |
The ability to find closely correlated positions to Calvert Large could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Calvert Large when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Calvert Large - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Calvert Large Cap to buy it.
The correlation of Calvert Large is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Calvert Large moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Calvert Large Cap moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Calvert Large can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Calvert Large Correlation, Calvert Large Volatility and Calvert Large Alpha and Beta module to complement your research on Calvert Large. Note that the Calvert Large Cap information on this page should be used as a complementary analysis to other Calvert Large's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
Calvert Large technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.