CALVERT Mutual Fund Volatility

CISIX Fund

USD 36.39 0.24 0.66%

We consider CALVERT US very steady. CALVERT US LARGE secures Sharpe Ratio (or Efficiency) of 0.0512, which signifies that the fund had 0.0512% of return per unit of return volatility over the last 3 months. Our approach into foreseeing the volatility of a fund is to use all available market data together with fund-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for CALVERT US LARGE, which you can use to evaluate the future volatility of the entity. Please confirm CALVERT US LARGE Downside Deviation of 0.9008, coefficient of variation of 1343.76, and Mean Deviation of 0.7261 to double-check if the risk estimate we provide is consistent with the expected return of 0.0481%.

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.

360 Days Market Risk

Very steady

Focus

Chance of Distress

Very Small

Focus

360 Days Economic Sensitivity

Almost mirrors the market

Focus

Since volatility provides investors with entry points to take advantage of stock prices, companies, such as CALVERT US can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of CALVERT US at lower prices. For example, an investor can purchase CALVERT stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of CALVERT US's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with CALVERT Mutual Fund

+	0.99	VSTSX	VANGUARD TOTAL STOCK	Pair Corr
+	0.99	VTSAX	VANGUARD TOTAL STOCK	Pair Corr
+	0.99	VSMPX	VANGUARD TOTAL STOCK	Pair Corr
+	0.99	VTSMX	VANGUARD TOTAL STOCK	Pair Corr
+	0.89	VITSX	VANGUARD TOTAL STOCK	Pair Corr
+	0.98	VFINX	VANGUARD 500 INDEX	Pair Corr
+	0.99	VFFSX	VANGUARD 500 INDEX	Pair Corr
+	0.99	VFIAX	VANGUARD 500 INDEX	Pair Corr
+	0.99	VINIX	VANGUARD INSTITUTIONAL	Pair Corr

Moving against CALVERT Mutual Fund

0.6

PFHCX

PACIFIC FUNDS SMALL-CAP

Pair Corr

CALVERT US Market Sensitivity And Downside Risk

CALVERT US's beta coefficient measures the volatility of CALVERT mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents CALVERT mutual fund's returns against your selected market. In other words, CALVERT US's beta of 0.95 provides an investor with an approximation of how much risk CALVERT US mutual fund can potentially add to one of your existing portfolios.

CALVERT US LARGE has low volatility with Treynor Ratio of 0.06, Maximum Drawdown of 3.64 and kurtosis of -0.29. However, we advice all investors to further analyze CALVERT US LARGE to make certain all market information is desiminated and is consistent with the current expectations about CALVERT US upside potential. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure CALVERT US's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact CALVERT US's mutual fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.

3 Months Beta |Analyze CALVERT US LARGE Demand Trend

Check current 90 days CALVERT US correlation with market (NYSE Composite)

CALVERT Beta

0.95

CALVERT standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

0.94

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. Since the actual investment returns on holding a position in calvert mutual fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in CALVERT US.

CALVERT US LARGE 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. Investors will then calculate the volatility of CALVERT US's 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's volatility:

Historical Volatility

This type of fund volatility measures CALVERT US's fluctuations based on previous trends. It's commonly used to predict CALVERT US's 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's 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's to be redeemed at a future date.

Transformation

The output start index for this execution was zero with a total number of output elements of sixty-one. CALVERT US LARGE 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 the 90 days horizon CALVERT US has a beta of 0.9501 suggesting CALVERT US LARGE 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's 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.

The company has an alpha of 0.1235, implying that it can generate a 0.12 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta).

Predicted Return Density

Returns

CALVERT US's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how calvert mutual fund's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

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

α	Alpha over NYSE Composite	0.12	Details
β	Beta against NYSE Composite	0.95	Details
σ	Overall volatility	0.94	Details
Ir	Information ratio	0.13	Details

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 0.9404% volatility of returns over 90 . By contrast, NYSE Composite accepts 0.9046% volatility on return distribution over the 90 days horizon.

Performance (%)

Timeline

About CALVERT US Volatility

Volatility is a rate at which the price of CALVERT US or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of CALVERT US may increase or decrease. In other words, similar to CALVERT's beta indicator, it measures the risk of CALVERT US and helps estimate the fluctuations that may happen in a short period of time. So if prices of CALVERT US fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.

Please read more on our technical analysis page.

The fund normally invests at least 95 percent of its net assets, including borrowings for investment purposes, in securities contained in the index. Calvert US is traded on NASDAQ Exchange in the United States.

CALVERT US's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on CALVERT Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much CALVERT US's price varies over time.

3 ways to utilize CALVERT US's volatility to invest better

Higher CALVERT US's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of CALVERT US LARGE fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. CALVERT US LARGE fund volatility can provide helpful information for making investment decisions in the following ways:

Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of CALVERT US LARGE investment. A higher volatility means higher risk and potentially larger changes in value.
Identifying Opportunities: High volatility in CALVERT US's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
Diversification: Understanding how the volatility of CALVERT US's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.

Remember it's essential to remember that stock volatility is just one of many factors to consider when making investment decisions, and it should be used in conjunction with other fundamental and technical analysis tools.

CALVERT US Investment Opportunity

CALVERT US LARGE has a volatility of 0.94 and is 1.04 times more volatile than NYSE Composite. 8 of all equities and portfolios are less risky than CALVERT US. Compared to the overall equity markets, volatility of historical daily returns of CALVERT US LARGE is lower than 8 () of all global equities and portfolios over the last 90 days. Use CALVERT US LARGE to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The mutual fund experiences a moderate downward daily trend and can be a good diversifier. Check odds of CALVERT US to be traded at $35.66 in 90 days.

Almost no diversification

The correlation between CALVERT US LARGE and NYA is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CALVERT US LARGE and NYA in the same portfolio, assuming nothing else is changed.

View Details

CALVERT US Additional Risk Indicators

The analysis of CALVERT US's 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's 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	0.0672
	Market Risk Adjusted Performance	0.0735
	Mean Deviation	0.7261
	Semi Deviation	0.8023
	Downside Deviation	0.9008
	Coefficient Of Variation	1343.76
	Standard Deviation	0.9456

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'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 US LARGE.

Check out Trending Equities to better understand how to build diversified portfolios. You can also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.

Complementary Tools for CALVERT Mutual Fund analysis

When running CALVERT US's price analysis, check to measure CALVERT US's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy CALVERT US is operating at the current time. Most of CALVERT US's value examination focuses on studying past and present price action to predict the probability of CALVERT US's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move CALVERT US's price. Additionally, you may evaluate how the addition of CALVERT US to your portfolios can decrease your overall portfolio volatility.

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Please note, there is a significant difference between CALVERT US's value and its price as these two are different measures arrived at by different means. Investors typically determine if CALVERT US is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, CALVERT US's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party. Check out Trending Equities to better understand how to build diversified portfolios.

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CALVERT Mutual Fund Volatility

360 Days Market Risk

Chance of Distress

360 Days Economic Sensitivity

Moving together with CALVERT Mutual Fund

Moving against CALVERT Mutual Fund

CALVERT US Market Sensitivity And Downside Risk

CALVERT Beta

Standard Deviation

CALVERT US LARGE Mutual Fund Volatility Analysis

Historical Volatility

Implied Volatility

CALVERT US Projected Return Density Against Market

What Drives a CALVERT US Price Volatility?

Industry

Political and Economic environment

The Company's Performance

CALVERT US Mutual Fund Risk Measures

CALVERT US Mutual Fund Return Volatility

About CALVERT US Volatility

3 ways to utilize CALVERT US's volatility to invest better

CALVERT US Investment Opportunity

Almost no diversification

CALVERT US Additional Risk Indicators

CALVERT US Suggested Diversification Pairs

Complementary Tools for CALVERT Mutual Fund analysis

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