Calvert Balanced Portfolio Fund Volatility
| CBAIX Fund | USD 46.51 0.44 0.96% |
Recent trading patterns suggest Calvert Balanced Portfolio maintains relatively low price volatility over the last 3 months. Its Sharpe ratio is -0.14, showing negative reward per unit of risk over the last 3 months. The latest risk read is supported by 20 technical indicators.
Sharpe Ratio = -0.1396
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| Negative Returns | CBAIX |
For Calvert Balanced Portfolio, recent data highlights a Market Risk Adjusted Performance of -0.1%, a Risk of 0.56, and a Risk Adjusted Performance of -0.1%. Moving average data indicates CALVERT BALANCED is not operating at maximum efficiency. Including it in a well-diversified portfolio may reduce unsystematic risk and improve returns. Within a multi-asset framework, CALVERT BALANCED position sizing affects the overall risk-return balance. This analysis highlights the gap between CALVERT BALANCED standalone and portfolio-level performance.
Key indicators related to CALVERT BALANCED's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for CALVERT BALANCED draws on both historical price data and forward-looking implied volatility. Periods of elevated CALVERT BALANCED volatility are typically followed by calmer conditions, and vice versa. The odds of financial distress provide a fundamental complement to statistical volatility measures for CALVERT BALANCED. A high-volatility CALVERT BALANCED's environment expands both upside and downside scenarios for CALVERT BALANCED investors.
CALVERT |
Volatility Strategy
Observed trading dispersion in Calvert Balanced Portfolio can affect long-term allocation structure. Current statistical measures show total volatility near 0.56% with a beta coefficient of 0.54, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.14, evaluates return per unit of total risk. An alpha value of -0.0204 reflects performance relative to systematic market exposure. Expected return estimates near -0.0779% 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 BALANCED's market risk premium analysis include:
Beta 0.54 | Alpha -0.02 | Risk 0.56 | Sharpe Ratio -0.14 | Expected Return -0.08 |
Moving together with CALVERT Mutual Fund
| 0.65 | CESGX | Coho Relative Value | PairCorr |
| 0.84 | DIS | Walt Disney | PairCorr |
| 0.64 | IBM | International Business | PairCorr |
Moving against CALVERT Mutual Fund
| 0.89 | USPSX | Profunds Ultrashort Steady Growth | PairCorr |
| 0.89 | USPIX | Profunds Ultrashort Steady Growth | PairCorr |
| 0.43 | CCCFX | Campbell Core Carry | PairCorr |
| 0.41 | AMFAX | Asg Managed Futures | PairCorr |
| 0.31 | UIPIX | Ultrashort Mid Cap | PairCorr |
Sensitivity To Market
CALVERT BALANCED systematic risk exposure is reflected in a beta value of 0.54. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.56%.Over the current lookback period, Calvert Balanced Portfolio shows a minimal volatility profile, using downside deviation (0.0%) as a primary reference. For CALVERT BALANCED, the volatility profile is a portfolio effect rather than a single-company effect.
3 Months Beta |Analyze Calvert Balanced Demand TrendCheck current 90 days CALVERT BALANCED correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for CALVERT expresses the daily price volatility as a spread around the mean. A large standard deviation indicates a volatile instrument; a small one indicates relative price stability. CALVERT standard deviation captures the average daily price deviation from the mean over the selected horizon. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for CALVERT.
Standard Deviation | 0.56 |
For CALVERT BALANCED investors, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of CALVERT BALANCED's returns. Standard deviation of CALVERT BALANCED measures total price dispersion, including upside moves. Using both metrics together provides a more complete view of CALVERT BALANCED's risk characteristics. For Calvert Balanced Portfolio, recent data highlights a Maximum Drawdown of 2.44.
Mutual Fund Volatility Analysis
Volatility describes the degree to which CALVERT BALANCED mutual fund price fluctuates in either direction. It captures how much CALVERT BALANCED's price fluctuates, helping investors set appropriate position sizes. Volatility in CALVERT BALANCED reflects the degree of uncertainty around CALVERT BALANCED's mutual fund price. Periods of elevated volatility in CALVERT BALANCED can reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calvert Balanced 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 BALANCED has a beta of 0.5414 suggesting as returns on the market go up, CALVERT BALANCED's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Calvert Balanced Portfolio is expected to be smaller as well.Systematic risk links CALVERT BALANCED to overall mutual fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. For Calvert Balanced Portfolio, recent data highlights a Mean Deviation of 0.44 and a Standard Deviation of 0.56.
Predicted Return Distribution |
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What Drives CALVERT BALANCED's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Calvert Research and Management sector can move CALVERT BALANCED's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for CALVERT BALANCED.CALVERT BALANCED's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in CALVERT BALANCED's shares.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of CALVERT BALANCED is -716.56. The daily returns are distributed with a variance of 0.31 and standard deviation of 0.56. The mean deviation of Calvert Balanced Portfolio is currently at 0.43. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | -0.0204 | |
β | Beta against Dow Jones | 0.54 | |
σ | Overall volatility | 0.56 | |
Ir | Information ratio | 0.02 |
Mutual Fund Return Volatility
CALVERT BALANCED historical daily return volatility represents how much of CALVERT BALANCED fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.5579% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8483% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Strong recent returns in CALVERT Mutual Fund do not always mean CALVERT BALANCED Mutual Fund is outperforming peers on business quality. Without risk-adjusted context, investors may overweight short-term returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TEGIX | 0.99 | 0.06 | 0.00 | -0.01 | 0.00 | 1.68 | 6.11 | |||
| FSLSX | 0.85 | 0.16 | 0.14 | 0.07 | 0.94 | 1.97 | 5.17 | |||
| GTMUX | 1.02 | 0.04 | 0.00 | -0.03 | 0.00 | 1.63 | 7.91 | |||
| ILLLX | 1.54 | -0.28 | 0.00 | 0.35 | 0.00 | 2.89 | 10.53 | |||
| QCSCX | 0.89 | 0.03 | 0.00 | -0.04 | 0.00 | 1.39 | 6.18 | |||
| IBALX | 0.46 | 0.06 | 0.17 | 0.05 | 0.49 | 0.80 | 6.98 | |||
| FSEAX | 0.95 | 0.22 | 0.14 | 0.15 | 1.33 | 2.02 | 7.20 | |||
| VOHIX | 0.12 | -0.01 | 0.16 | -2.05 | 0.21 | 0.26 | 1.02 | |||
| FSLVX | 0.59 | 0.04 | 0.06 | -0.01 | 0.89 | 1.04 | 4.88 | |||
| USWGX | 0.64 | -0.06 | 0.00 | 0.18 | 0.00 | 1.01 | 4.15 |
Risk Metrics, Assumptions & Methodology
Volatility for CALVERT BALANCED reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for Calvert Balanced Portfolio come from fund disclosures and market reference feeds and are mapped into a consistent reporting framework. Some fields can appear with publication lag. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Michael Smolkin - Member of Macroaxis Board of DirectorsCALVERT BALANCED Investment Opportunity
Recent data suggests that Dow Jones Industrial is meaningfully more volatile than Calvert Balanced Portfolio, by roughly a 1.52x factor. The lower-risk profile may improve diversification efficiency, but it still needs to be judged against return quality and market sensitivity.You can use Calvert Balanced Portfolio to enhance the returns of the portfolio. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It works best as a directional cue rather than as a standalone forecast. a moderate upward volatility. Check odds of CALVERT BALANCED to be traded at $51.16 in 90 days.Very poor diversification
CALVERT BALANCED currently posts a 0.82 correlation with Dow Jones, indicating a Very poor diversification relationship for the active sample. This chart helps evaluate whether adding Dow Jones genuinely reduces risk relative to holding CALVERT BALANCED alone.
CALVERT BALANCED Additional Risk Indicators
Looking at additional risk metrics for Calvert Balanced Portfolio frames how the position may behave under different market and portfolio conditions. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | -0.07 | |||
| Market Risk Adjusted Performance | -0.1 | |||
| Mean Deviation | 0.4417 | |||
| Coefficient Of Variation | -1,192 | |||
| Standard Deviation | 0.5619 | |||
| Variance | 0.3158 | |||
| Information Ratio | 0.0191 |
CALVERT BALANCED Suggested Diversification Pairs
Pair trading with CALVERT BALANCED can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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 BALANCED 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 BALANCED'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 BALANCED'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 Balanced Portfolio.