Calvert Floating Rate Advantage Fund Volatility
| CFORX Fund | USD 8.57 -0.01 -0.12% |
Calvert Floating Rate Advantage exhibits relatively low price volatility over the last 3 months. Calvert Floating Rate Advantage indicates a Sharpe ratio of 5.0E-4, indicating measured return efficiency over the last 3 months. The current market-risk setup reflects 27 technical indicators.
Sharpe Ratio = 5.0E-4
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CFORX |
Latest disclosures for Calvert Floating Rate Advantage show a Market Risk Adjusted Performance of -2.0%, a Risk of 0.11, and a Risk Adjusted Performance of -0.1%. Based on monthly moving average, Calvert Floating-Rate is not realizing its theoretical return maximum. A well-diversified portfolio allocation can reduce market risk and improve total performance. A broader portfolio context transforms Calvert Floating-Rate risk characteristics through diversification benefits. This moving average data helps calibrate Calvert Floating-Rate position within a diversified allocation.
Key indicators related to Calvert Floating-Rate's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Comparing Calvert Floating-Rate's current volatility against its historical average surfaces whether Calvert Floating-Rate is in a period of elevated risk. Together these measures provide a comprehensive view of Calvert Floating-Rate's risk profile. Managing volatility risk for Calvert Floating-Rate positions requires understanding whether elevated volatility is fundamental or sentiment-driven. A sudden spike in Calvert Floating-Rate volatility can signal increased uncertainty and potential for larger price swings.
Calvert |
Volatility Strategy
Calvert Floating Rate Advantage return swings may impact long-term portfolio variance. Current statistical measures show total volatility near 0.11% with a beta coefficient of 0.005, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 5.0E-4, evaluates return per unit of total risk. An alpha value of -0.0096 reflects performance relative to systematic market exposure. Expected return estimates near 1.0E-4% 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 Floating-Rate's market risk premium analysis include:
Beta 0.005 | Alpha -0.01 | Risk 0.11 | Sharpe Ratio 0.0005 | Expected Return 0.0001 |
Moving together with Calvert Mutual Fund
| 0.79 | OOSYX | Oppenheimer Senior | PairCorr |
| 0.79 | OOSIX | Oppenheimer Senior | PairCorr |
| 0.75 | LFRIX | Floating Rate | PairCorr |
| 0.75 | LARCX | Floating Rate | PairCorr |
| 0.76 | LFRRX | Lord Abbett Inv | PairCorr |
| 0.76 | LFRFX | Floating Rate | PairCorr |
| 0.76 | LRRRX | Floating Rate | PairCorr |
| 0.74 | LRRTX | Floating Rate | PairCorr |
| 0.74 | LRRVX | Floating Rate | PairCorr |
| 0.76 | LRRKX | Floating Rate | PairCorr |
Moving against Calvert Mutual Fund
| 0.53 | AMFAX | Asg Managed Futures | PairCorr |
| 0.45 | KF | Korea Closed | PairCorr |
| 0.42 | BRUFX | Bruce Fund Bruce | PairCorr |
Sensitivity To Market
Calvert Floating-Rate demonstrates a beta of 0.005, indicating market-linked volatility exposure. Regression slope interpretation supports this systematic risk estimate. Total volatility measures approximately 0.11%.Calvert Floating Rate Advantage volatility can be described using downside deviation (0.13%), which captures negative-return intensity over the selected horizon. This section keeps the language neutral: it describes measured variability rather than forecasting outcomes.
| α | -0.0096 | β | 0.01 | Check current 90 days Calvert Floating-Rate correlation with market (Dow Jones Industrial)
Downside Risk
Standard deviation is the primary measure of Calvert daily price volatility relative to its mean. High values indicate volatile instruments; low values indicate stable ones. Calvert standard deviation quantifies the magnitude of daily price swings relative to the average. High standard deviation implies high volatility; low standard deviation implies price stability for Calvert.
Standard Deviation | 0.11 |
An important distinction for Calvert Floating-Rate investors is between total volatility and downside-only risk. Downside deviation and semi-deviation isolate the loss risk in Calvert Floating-Rate's daily returns from favorable moves. Standard deviation of Calvert Floating-Rate captures both favorable and adverse price swings. Downside deviation focuses exclusively on the adverse side of Calvert Floating-Rate's return distribution. Latest disclosures for Calvert Floating Rate Advantage show a Downside Deviation of 0.13, a Downside Variance of 0.02, and a Maximum Drawdown of 0.70.
Mutual Fund Volatility Analysis
Tracking Calvert Floating-Rate volatility helps market participants understand the degree of price uncertainty. Highly volatile mutual funds like Calvert Floating-Rate tend to experience wider price swings in both directions. Periods of high volatility for Calvert Floating-Rate can present both risks and opportunities for traders. When Calvert Floating-Rate experiences high volatility, its mutual fund price can shift dramatically in a short period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calvert Floating Rate 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 Floating-Rate has a beta of 0.005 suggesting as returns on the market go up, Calvert Floating-Rate's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Calvert Floating Rate Advantage is expected to be smaller as well.Market risk ties Calvert Floating-Rate to macro cycles, whereas company or sector-specific developments represent independent drivers. Volatility metrics help measure this balance. Latest disclosures for Calvert Floating Rate Advantage show a Downside Deviation of 0.13, a Mean Deviation of 0.06, and a Semi Deviation of 0.07.
Predicted Return Distribution |
| Density |
What Drives Calvert Floating-Rate's Price Volatility?
Industry Dynamics
Sector-level catalysts in the Calvert Investments sector often set the baseline volatility regime for Calvert Floating-Rate.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.Calvert Floating-Rate's Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for Calvert Floating-Rate's.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Calvert Floating-Rate is 189177.79. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.11. The mean deviation of Calvert Floating Rate Advantage is currently at 0.06. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | -0.0096 | |
β | Beta against Dow Jones | 0.01 | |
σ | Overall volatility | 0.11 | |
Ir | Information ratio | 0.51 |
Mutual Fund Return Volatility
Calvert Floating-Rate daily volatility tracks how widely fund returns have moved around the mean across the selected time frame. The fund reflects 0.1147% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial has volatility of 0.8457% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.95 | 0.99 | 0.84 | 0.99 | 0.57 | 0.0 | PRISX | ||
| 0.95 | 0.91 | 0.75 | 0.93 | 0.66 | 0.0 | FIKBX | ||
| 0.99 | 0.91 | 0.83 | 0.97 | 0.45 | 0.0 | VFAIX | ||
| 0.84 | 0.75 | 0.83 | 0.86 | 0.56 | 0.0 | XFINX | ||
| 0.99 | 0.93 | 0.97 | 0.86 | 0.59 | 0.0 | SBFAX | ||
| 0.57 | 0.66 | 0.45 | 0.56 | 0.59 | 0.0 | GCFSX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | MCBXX | ||
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
Return momentum in Calvert Mutual Fund is more useful when tested against peer-relative fundamentals and risk. Reviewing Calvert Floating-Rate's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PRISX | 0.90 | -0.06 | 0.00 | -0.12 | 0.00 | 1.22 | 5.86 | |||
| FIKBX | 0.98 | 0.04 | 0.00 | -0.04 | 0.00 | 1.90 | 10.33 | |||
| VFAIX | 0.83 | -0.08 | 0.00 | -0.14 | 0.00 | 1.24 | 5.68 | |||
| XFINX | 0.16 | -0.05 | 0.00 | -0.80 | 0.00 | 0.22 | 1.29 | |||
| SBFAX | 0.75 | -0.06 | 0.00 | -0.14 | 0.00 | 1.49 | 5.03 | |||
| GCFSX | 0.63 | -0.01 | 0.00 | -0.08 | 0.00 | 0.98 | 3.16 | |||
| MCBXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Risk Metrics, Assumptions & Methodology
Volatility for Calvert Floating-Rate reflects NAV dispersion and exposure stability across disclosure periods. Uncertainty impacts position sizing assumptions in portfolio models.
Calvert Floating Rate Advantage metrics are compiled from fund disclosures and market reference feeds and normalized 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 Floating-Rate Investment Opportunity
Calvert Floating Rate Advantage currently shows materially lower return volatility than Dow Jones Industrial, with a relative multiple of about 7.73. Used properly, this comparison helps frame whether the extra volatility in the peer is being compensated by stronger return potential.You can use Calvert Floating Rate Advantage to protect the portfolio 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 normal downward trend and little activity. Check odds of Calvert Floating-Rate to be traded at $8.48 in 90 days.Very good diversification
Across the chosen horizon, Calvert Floating-Rate and Dow Jones show a correlation of 0.05 and fall into the Very good diversification bucket. This chart helps evaluate whether adding Dow Jones genuinely reduces risk relative to holding Calvert Floating-Rate alone.
Calvert Floating-Rate Additional Risk Indicators
A broader risk-indicator set for Calvert Floating Rate Advantage can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.06 | |||
| Market Risk Adjusted Performance | -1.98 | |||
| Mean Deviation | 0.0612 | |||
| Semi Deviation | 0.0681 | |||
| Downside Deviation | 0.1322 | |||
| Coefficient Of Variation | 189177.79 | |||
| Standard Deviation | 0.1147 |
Calvert Floating-Rate Suggested Diversification Pairs
Pair analysis around Calvert Floating Rate Advantage matters because it can turn one security idea into a more market-neutral structure. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
Pair strategies help manage risk, but investors should recognize that not all risk can be diversified away through pairing. Market-level risk for Calvert Floating-Rate persists even in a well-constructed pair. The benefit is in offsetting Calvert Floating-Rate's company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Calvert Floating Rate Advantage.