Morgan Stanley ETF Trust - Calvert US Large-Cap Core Responsible Index ETF

10-Year Study

CVLC.US · · US · ETF

Executive Summary: Morgan Stanley ETF Trust - Calvert US Large-Cap Core Responsible Index ETF has compounded at 20.4% annually over the last 10 years, with a maximum drawdown of 9.6% and an annualized volatility of 16.4%.

1Y CAGR
+21.8%
3Y CAGR
+20.4%
5Y CAGR
+20.4%
10Y CAGR
+20.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
9.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.27
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.24
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
13.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +24.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · 3.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
100%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.1-0.5-5.68.4————————3.0%
20253.0-2.4-6.3-0.46.35.12.02.03.12.70.6-0.116.1%
20241.65.23.1-4.24.43.71.42.02.3-0.86.7-2.924.2%
2023——2.80.61.17.03.2-1.7-5.2-3.010.15.421.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 16.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 53.2% of variance. Idiosyncratic stock-specific factors contribute 0.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2023-02-0110000
2023-03-0110278.324827005761
2023-04-0110344.848316493431
2023-05-0110457.41377237316
2023-06-0111185.81385031904
2023-07-0111538.39456368966
2023-08-0111341.767795914477
2023-09-0110752.156986313865
2023-10-0110434.133660595457
2023-11-0111483.79098895905
2023-12-0112107.58604105426
2024-01-0112300.667929832127
2024-02-0112940.135078547055
2024-03-0113345.764595158236
2024-04-0112781.900801432877
2024-05-0113346.780379198402
2024-06-0113837.839406616278
2024-07-0114034.19668066652
2024-08-0114318.864975351687
2024-09-0114644.060980210868
2024-10-0114522.021783385091
2024-11-0115488.944538191407
2024-12-0115037.37670662084
2025-01-0115492.344305182987
2025-02-0115127.781486195701
2025-03-0114171.928704398553
2025-04-0114120.517593794182
2025-05-0115010.634636991954
2025-06-0115775.167604366628
2025-07-0116083.095280542968
2025-08-0116406.674323052495
2025-09-0116915.14679115895
2025-10-0117377.950438030955
2025-11-0117481.042152964637
2025-12-0117463.193376258845
2026-01-0117662.204126985445
2026-02-0117581.356009502764
2026-03-0116596.667399136793
2026-04-0117991.67057087063
Annual Return Matrix
YearAnnual Return
20240.24197975183759013
20250.16131913943274023
20260.030262345679012315
Total Factor Risk
0.1644601316983534
VTI.US Exposure
0.5320973873255939
VEA.US Exposure
-0.0024994642342605873
VWO.US Exposure
-0.0015704489353511478
QQQ.US Exposure
0.06866275553204612
VTV.US Exposure
0.02102684447943325
IJR.US Exposure
-0.011848503125360657
QUAL.US Exposure
-0.01237373422841655
SHV.US Exposure
0.3807348109098392
TLT.US Exposure
-0.003145645712008911
LQD.US Exposure
0.00015621779844004
HYG.US Exposure
0.029749455588988158
GLD.US Exposure
-0.0007449367032116049
USO.US Exposure
0.0046237148052117195
VNQ.US Exposure
0.003623261977877363
BTC-USD.CC Exposure
-0.0012114036716265421
CPER.US Exposure
0.001841361655500309
VIX.INDX Exposure
-0.006920966075096055
UUP.US Exposure
-0.0015847964272186455
TIP.US Exposure
-0.0028216035896966546
Idiosyncratic Exposure
0.002205692629317591
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$35
Avg Yield on Cost
0.35%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$34.830.35%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+4.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.07
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Morgan Stanley ETF Trust - Calvert US Large-Cap Core Responsible Index ETF a high-risk investment?

Morgan Stanley ETF Trust - Calvert US Large-Cap Core Responsible Index ETF (CVLC.US) has an annualized volatility of 16.4% and experienced a maximum drawdown of 9.6% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of CVLC.US?

Over the past 10 years, CVLC.US has generated a Compound Annual Growth Rate (CAGR) of 20.4%. It has had a positive return in 100% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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