Calvert High Yield Fund Volatility
| CHBCX Fund | USD 25.23 0.05 0.20% |
Over the designated horizon, Calvert High Yield maintains a minimal volatility profile. Calvert High Yield continues to report a Sharpe Ratio (Efficiency) of -0.0218, suggesting weak return efficiency over the last 3 months. We detected 21 technical indicators affecting the current volatility setup.
Sharpe Ratio = -0.0218
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CHBCX |
Calvert High Yield (CHBCX) recorded a Market Risk Adjusted Performance of 0.7%, a Risk of 0.15, and a Risk Adjusted Performance of -0.1%. Monthly moving average analysis shows CALVERT HIGH is not yet reaching its full return potential. Incorporating it into a well-diversified portfolio can enhance total return while reducing risk.
Key indicators related to CALVERT HIGH's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
CALVERT HIGH's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of CALVERT HIGH's typical price swings and is a primary input in options pricing models.
CALVERT |
Volatility Strategy
Calvert High Yield return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 0.15% with a beta coefficient of -0.0229, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0218, evaluates return per unit of total risk. An alpha value of -0.0169 reflects performance relative to systematic market exposure. Expected return estimates near -0.0032% 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 HIGH's market risk premium analysis include:
Beta -0.02 | Alpha -0.02 | Risk 0.15 | Sharpe Ratio -0.02 | Expected Return -0.0032 |
Moving together with CALVERT Mutual Fund
| 0.69 | CDHAX | Calvert Developed Market | PairCorr |
| 0.65 | CDICX | Calvert Short Duration | PairCorr |
| 0.69 | CDHRX | Calvert International | PairCorr |
| 0.66 | CVMIX | Calvert Emerging Markets | PairCorr |
| 0.67 | CVMCX | Calvert Emerging Markets | PairCorr |
| 0.74 | CEFAX | Calvert Emerging Markets | PairCorr |
| 0.74 | CEFIX | Congressional Effect | PairCorr |
| 0.71 | CEMAX | Calvert Emerging Markets | PairCorr |
| 0.75 | CFAIX | Calvert Conservative | PairCorr |
| 0.75 | CWVIX | Calvert International | PairCorr |
| 0.8 | CWVGX | Calvert International | PairCorr |
| 0.61 | CFICX | Calvert Income | PairCorr |
| 0.75 | CFJIX | Calvert Large Cap | PairCorr |
| 0.76 | CFJAX | Calvert Large Cap | PairCorr |
| 0.76 | CFWAX | Calvert Global Water | PairCorr |
| 0.88 | CGARX | Calvert Responsible Index | PairCorr |
| 0.81 | CGLAX | Calvert Global Equity | PairCorr |
| 0.93 | CYBAX | Calvert High Yield | PairCorr |
| 0.92 | CYBRX | Calvert High Yield | PairCorr |
| 0.85 | CYBIX | Calvert High Yield | PairCorr |
Sensitivity To Market
Calvert High Yield exhibits a beta of -0.0229, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 0.15%.Volatility metrics for Calvert High Yield describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.0%. For Calvert High Yield, return variability usually comes from the behavior of its holdings and allocation profile.
3 Months Beta |Analyze Calvert High Yield Demand TrendCheck current 90 days CALVERT HIGH correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of CALVERT measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 0.15 |
Standard deviation captures both upside and downside movement in CALVERT HIGH. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of CALVERT HIGH's returns. Calvert High Yield (CHBCX) recorded a Maximum Drawdown of 0.83.
Mutual Fund Volatility Analysis
CALVERT HIGH fund volatility is a measure of the speed and extent of CALVERT HIGH's price movements. High volatility generally means the mutual fund price moves dramatically up or down in a short period of time. Low volatility means CALVERT HIGH's price does not fluctuate dramatically and tends to be more predictable.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calvert High Yield 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 High Yield has a beta of -0.0229 suggesting that as returns on the benchmark increase, returns on CALVERT HIGH tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Calvert High Yield is likely to outperform the market.Investors in CALVERT HIGH face systematic risk from overall mutual fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Calvert High Yield (CHBCX) recorded a Mean Deviation of 0.10 and a Standard Deviation of 0.14.
Predicted Return Density |
| Returns |
What Drives CALVERT HIGH's Price Volatility?
Several factors can influence CALVERT HIGH's market volatility:Industry Dynamics
Sector-level events can directly affect CALVERT HIGH's price stability. Regulatory changes, supply disruptions, or shifts in demand within CALVERT HIGH'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 HIGH.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for CALVERT HIGH's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward CALVERT HIGH. During periods of economic expansion, CALVERT HIGH's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.CALVERT HIGH's Company-Specific Factors
Volatility can also stem from events unique to CALVERT HIGH. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in CALVERT HIGH's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on CALVERT HIGH's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of CALVERT HIGH is -4595.54. The daily returns are distributed with a variance of 0.02 and standard deviation of 0.15. The mean deviation of Calvert High Yield is currently at 0.1. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.0169 | |
β | Beta against Dow Jones | -0.0229 | |
σ | Overall volatility | 0.15 | |
Ir | Information ratio | 0.18 |
Mutual Fund Return Volatility
CALVERT HIGH return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 0.1465% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8012% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
| 0.66 | -0.47 | 0.97 | 0.44 | -0.36 | VGCAX | ||
| 0.66 | -0.73 | 0.77 | -0.06 | -0.53 | APDPX | ||
| -0.47 | -0.73 | -0.58 | 0.34 | 0.3 | BXFIX | ||
| 0.97 | 0.77 | -0.58 | 0.34 | -0.4 | DOXLX | ||
| 0.44 | -0.06 | 0.34 | 0.34 | -0.32 | USLUX | ||
| -0.36 | -0.53 | 0.3 | -0.4 | -0.32 | MGFAX | ||
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
Evaluating CALVERT Mutual Fund requires separating price momentum from underlying business quality relative to competitors. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VGCAX | 0.13 | 0.00 | 0.15 | -0.09 | 0.18 | 0.26 | 0.87 | |||
| APDPX | 0.14 | 0.06 | 0.39 | -1.03 | 0.00 | 0.37 | 0.99 | |||
| BXFIX | 0.09 | -0.02 | 0.00 | 3.35 | 0.00 | 0.36 | 0.96 | |||
| DOXLX | 0.18 | 0.01 | 0.15 | 0.06 | 0.22 | 0.27 | 1.05 | |||
| USLUX | 0.98 | 0.08 | 0.07 | 0.04 | 1.12 | 1.70 | 12.28 | |||
| MGFAX | 1.37 | -0.57 | 0.00 | 3.50 | 0.00 | 1.37 | 32.35 |
Risk Metrics, Assumptions & Methodology
Volatility for CALVERT HIGH reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For Calvert High Yield, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Rifka Kats - Member of Macroaxis Editorial BoardCALVERT HIGH Investment Opportunity
Measured over the selected horizon, Dow Jones Industrial carries roughly 5.33 times the return volatility of Calvert High Yield. 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 High Yield to enhance the returns of your portfolios. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a normal upward fluctuation. Check odds of CALVERT HIGH to be traded at $26.49 in 90 days.Poor diversification
For the present investment horizon, the measured correlation between CHBCX and DJI stands at 0.68, or Poor diversification. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
CALVERT HIGH Additional Risk Indicators
Looking at additional risk metrics for Calvert High Yield helps investors judge how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | 0.7051 | |||
| Mean Deviation | 0.0961 | |||
| Coefficient Of Variation | -2,353 | |||
| Standard Deviation | 0.1392 | |||
| Variance | 0.0194 | |||
| Information Ratio | 0.1792 |
CALVERT HIGH Suggested Diversification Pairs
Pair analysis around Calvert High Yield matters because it can turn one security idea into a more market-neutral structure. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around CALVERT HIGH, market-wide risk remains. What pair trading can address is CALVERT HIGH's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.