Calvert Conservative Allocation Fund Volatility
| CAARX Fund | USD 18.75 -0.14 -0.74% |
Calvert Conservative Allocation exhibits a minimal volatility profile over the current measurement period. Calvert Conservative Allocation continues to report a Sharpe Ratio (Efficiency) of -0.0401, indicating deteriorating return efficiency over the last 3 months. We reviewed 21 technical indicators influencing the latest risk profile.
Sharpe Ratio = -0.0401
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CAARX |
Calvert Conservative Allocation posted a Market Risk Adjusted Performance of -0.1%, a Risk of 0.34, and a Risk Adjusted Performance of -0.1% for the reported period. Calvert Conservative is below full potential per monthly moving average. Adding it to a well-diversified portfolio can optimize the risk-return balance.
Key indicators related to Calvert Conservative's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Managing volatility risk for Calvert Conservative positions requires understanding whether Calvert Conservative's elevated volatility is driven by fundamental changes or temporary market sentiment. Fundamental-driven volatility for Calvert Conservative tends to persist longer than sentiment-driven spikes.
Calvert |
Volatility Strategy
Calvert Conservative Allocation return swings may impact long-term portfolio variance. Current statistical measures show total volatility near 0.34% with a beta coefficient of 0.34, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0401, evaluates return per unit of total risk. An alpha value of 0.003022 reflects performance relative to systematic market exposure. Expected return estimates near -0.0136% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to Calvert Conservative's market risk premium analysis include:
Beta 0.34 | Alpha 0.003022 | Risk 0.34 | Sharpe Ratio -0.04 | Expected Return -0.01 |
Moving together with Calvert Mutual Fund
| 0.84 | CDHIX | Calvert Developed Market | PairCorr |
| 0.77 | CDHAX | Calvert Developed Market | PairCorr |
| 0.65 | CDICX | Calvert Short Duration | PairCorr |
| 0.84 | CDHRX | Calvert International | PairCorr |
| 0.63 | CDSRX | Calvert Short Duration | PairCorr |
| 0.62 | CDSIX | Calvert Short Duration | PairCorr |
| 0.7 | CVMAX | Calvert Emerging Markets | PairCorr |
| 0.75 | CVMIX | Calvert Emerging Markets | PairCorr |
| 0.76 | CVMCX | Calvert Emerging Markets | PairCorr |
| 0.82 | CEFAX | Calvert Emerging Markets | PairCorr |
| 0.82 | CEFIX | Congressional Effect Potential Growth | PairCorr |
| 0.81 | CEMAX | Calvert Emerging Markets | PairCorr |
| 1.0 | CFAIX | Calvert Conservative | PairCorr |
| 0.91 | CWVIX | Calvert International | PairCorr |
| 0.89 | CWVCX | Calvert International | PairCorr |
| 0.71 | CFICX | Calvert Income | PairCorr |
| 0.88 | CFJIX | Calvert Large Cap | PairCorr |
| 0.88 | CFJAX | Calvert Large Cap | PairCorr |
| 0.87 | CFWCX | Calvert Global Water | PairCorr |
| 0.82 | CFWAX | Calvert Global Water | PairCorr |
| 0.92 | CGARX | Calvert Responsible Index | PairCorr |
| 0.72 | CGAEX | Calvert Global Energy | PairCorr |
| 0.68 | CGAFX | Calvert Green Bond | PairCorr |
| 0.74 | CGBIX | Calvert Green Bond | PairCorr |
Moving against Calvert Mutual Fund
Sensitivity To Market
Calvert Conservative demonstrates a beta of 0.34, indicating market-linked volatility exposure. Regression slope interpretation supports this systematic risk estimate. Total volatility measures approximately 0.34%.Calvert Conservative Allocation volatility can be described using downside deviation (0.0%), which captures negative-return intensity over the selected horizon. Global funds can add currency-related movement on top of underlying asset volatility.
| α | 0.003 | β | 0.34 | Check current 90 days Calvert Conservative correlation with market (Dow Jones Industrial)
Downside Risk
Calvert standard deviation quantifies the magnitude of daily price swings relative to the average over the selected period. More volatile instruments exhibit higher standard deviations. This measure counts all price dispersion as risk, including returns above the mean.
Standard Deviation | 0.34 |
Standard deviation of Calvert Conservative captures both favorable and adverse price swings. Downside deviation and semi-deviation focus exclusively on the adverse side of Calvert Conservative's return distribution. Calvert Conservative Allocation posted a Maximum Drawdown of 1.68 for the reported period.
Mutual Fund Volatility Analysis
Volatility is a core concept when evaluating Calvert Conservative as part of a diversified portfolio. The mutual fund's historical price swings give investors a sense of how much risk Calvert Conservative's adds. Combining Calvert Conservative with lower-volatility assets can reduce overall portfolio risk.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calvert Conservative 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.
Projected Return Density Against Market
Assuming a 90-day horizon Calvert Conservative has a beta of 0.3411 suggesting as returns on the market go up, Calvert Conservative's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Calvert Conservative Allocation is expected to be smaller as well.Market risk ties Calvert Conservative to macro cycles, whereas company or sector-specific developments represent independent drivers. Volatility metrics help measure this balance. Calvert Conservative Allocation posted a Mean Deviation of 0.25 and a Standard Deviation of 0.34 for the reported period.
Predicted Return Density |
| Returns |
What Drives Calvert Conservative's Price Volatility?
Several factors can influence Calvert Conservative's market volatility:Industry Dynamics
Sector-level events can directly affect Calvert Conservative's price stability. Regulatory changes, supply disruptions, or shifts in demand within Calvert Conservative's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Calvert Conservative.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Calvert Conservative's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Calvert Conservative. During periods of economic expansion, Calvert Conservative's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Calvert Conservative's Company-Specific Factors
Volatility can also stem from events unique to Calvert Conservative. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Calvert Conservative's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Calvert Conservative's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Calvert Conservative is -2495.19. The daily returns are distributed with a variance of 0.12 and standard deviation of 0.34. The mean deviation of Calvert Conservative Allocation is currently at 0.25. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.003 | |
β | Beta against Dow Jones | 0.34 | |
σ | Overall volatility | 0.34 | |
Ir | Information ratio | 0.18 |
Mutual Fund Return Volatility
Calvert Conservative daily volatility tracks how widely fund returns have moved around the mean across the selected time frame. The fund reflects 0.3391% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial has volatility of 0.8255% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
| 0.59 | 0.64 | 0.08 | 0.52 | RYANX | ||
| 0.59 | 0.54 | 0.77 | 0.98 | DGITX | ||
| 0.64 | 0.54 | 0.1 | 0.51 | XHYIX | ||
| 0.08 | 0.77 | 0.1 | 0.78 | ARDBX | ||
| 0.52 | 0.98 | 0.51 | 0.78 | TRNZX | ||
Risk-Adjusted Indicators
Surface-level performance for Calvert Mutual Fund can mask how the business actually stacks up against its competitive set. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RYANX | 0.84 | -0.01 | 0.00 | -0.10 | 0.00 | 1.31 | 5.27 | |||
| DGITX | 0.38 | 0.02 | 0.00 | -0.05 | 0.00 | 0.54 | 2.54 | |||
| XHYIX | 0.15 | -0.01 | 0.00 | -0.19 | 0.00 | 0.25 | 1.09 | |||
| ARDBX | 0.60 | 0.05 | 0.18 | -0.35 | 0.73 | 1.41 | 4.14 | |||
| TRNZX | 0.79 | 0.06 | 0.00 | -0.02 | 0.00 | 1.39 | 5.90 |
Risk Metrics, Assumptions & Methodology
Volatility for Calvert Conservative reflects NAV dispersion and exposure stability across disclosure periods. Uncertainty impacts position sizing assumptions in portfolio models.
Macroaxis compiles Calvert Conservative Allocation metrics from fund disclosures and market reference feeds and applies consistent transformation rules before display. Not all fields update in real time. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Gabriel Shpitalnik - Member of Macroaxis Editorial BoardCalvert Conservative Investment Opportunity
Measured over the selected horizon, Dow Jones Industrial carries roughly 2.44 times the return volatility of Calvert Conservative Allocation. Across the current 90-day horizon, that places the security below 3% of the broader equity and portfolio universe on a pure volatility basis.You can use Calvert Conservative Allocation to protect your portfolios against small market fluctuations. This price-change note interprets the latest move in the context of short-horizon trading behavior. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a moderate downward daily trend and can be a good diversifier. Check odds of Calvert Conservative to be traded at $18.38 in 90 days.Very poor diversification
CAARX currently posts a 0.83 correlation with DJI, indicating a Very poor diversification relationship for the active sample. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
Calvert Conservative Additional Risk Indicators
Secondary risk indicators for Calvert Conservative Allocation can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. A disciplined risk review helps investors decide whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.05 | |||
| Market Risk Adjusted Performance | -0.07 | |||
| Mean Deviation | 0.2524 | |||
| Coefficient Of Variation | -2,069 | |||
| Standard Deviation | 0.3375 | |||
| Variance | 0.1139 | |||
| Information Ratio | 0.1768 |
Calvert Conservative Suggested Diversification Pairs
Pair analysis around Calvert Conservative Allocation matters because it can turn one security idea into a more market-neutral structure. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Pair strategies help manage risk, but investors should recognize that not all risk can be diversified away through pairing. Market-level risk for Calvert Conservative persists even in a well-constructed pair. The benefit is in offsetting Calvert Conservative's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Calvert Conservative Allocation.