Calvert Moderate Allocation Fund Volatility
| CMAAX Fund | USD 23.02 -0.09 -0.39% |
Calvert Moderate Allocation continues to exhibit a minimal volatility profile over the designated horizon. Measured over the selected window, Calvert Moderate Allocation has a Sharpe Ratio (Efficiency) of -0.0402, indicating negative risk-adjusted returns over the last 3 months. We reviewed 21 technical indicators influencing the latest risk profile.
Sharpe Ratio = -0.0402
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CMAAX |
Calvert Moderate Allocation's financial profile includes a Market Risk Adjusted Performance of -0.04%, a Risk of 0.53, and a Risk Adjusted Performance of -0.03%. Based on monthly moving average CALVERT MODERATE is not performing at its full potential. However, if added to a well-diversified portfolio the total return can be enhanced and market risk can be reduced.
Key indicators related to CALVERT MODERATE's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
CALVERT MODERATE Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of CALVERT daily returns, and it is calculated using variance and standard deviation.
CALVERT |
Volatility Strategy
Calvert Moderate Allocation price volatility may influence cost basis positioning and portfolio weighting over time. Price retracements and recoveries can alter allocation balance. Current statistical measures show total volatility near 0.53% with a beta coefficient of 0.57, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0402, evaluates return per unit of total risk. An alpha value of -0.004006 reflects performance relative to systematic market exposure. Expected return estimates near -0.0212% 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 MODERATE's market risk premium analysis include:
Beta 0.57 | Alpha -0.004 | Risk 0.53 | Sharpe Ratio -0.04 | Expected Return -0.02 |
Moving together with CALVERT Mutual Fund
| 0.81 | CDHIX | Calvert Developed Market | PairCorr |
| 0.81 | CDHAX | Calvert Developed Market | PairCorr |
| 0.65 | CDICX | Calvert Short Duration | PairCorr |
| 0.81 | CDHRX | Calvert International | PairCorr |
| 0.77 | CVMRX | Calvert Emerging Markets | PairCorr |
| 0.77 | CVMIX | Calvert Emerging Markets | PairCorr |
| 0.77 | CVMCX | Calvert Emerging Markets | PairCorr |
| 0.83 | CEFAX | Calvert Emerging Markets | PairCorr |
| 0.81 | CEMCX | Calvert Emerging Markets | PairCorr |
| 0.81 | CEMAX | Calvert Emerging Markets | PairCorr |
| 0.98 | CFAIX | Calvert Conservative | PairCorr |
| 0.91 | CWVIX | Calvert International | PairCorr |
| 0.9 | CWVGX | Calvert International | PairCorr |
| 0.69 | CFICX | Calvert Income | PairCorr |
| 0.84 | CFJIX | Calvert Large Cap | PairCorr |
| 0.84 | CFJAX | Calvert Large Cap | PairCorr |
| 0.83 | CFWCX | Calvert Global Water | PairCorr |
| 0.82 | CFWIX | Calvert Global Water | PairCorr |
| 0.94 | CGARX | Calvert Responsible Index | PairCorr |
| 0.72 | CGAEX | Calvert Global Energy | PairCorr |
| 0.65 | CGAFX | Calvert Green Bond | PairCorr |
| 0.73 | CGACX | Calvert Global Energy | PairCorr |
| 0.63 | CGBIX | Calvert Green Bond | PairCorr |
Sensitivity To Market
CALVERT MODERATE beta coefficient measures the volatility of CALVERT mutual fund relative to the systematic risk of the overall market benchmark. Mathematically, beta represents the slope of the regression line comparing CALVERT returns against market returns. A beta of 0.57 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.53%.Calvert Moderate Allocation has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 0.53%, which summarize how widely returns have moved. Global funds can add currency-related movement on top of underlying asset volatility.
3 Months Beta |Analyze Calvert Moderate Demand TrendCheck current 90 days CALVERT MODERATE correlation with market (Dow Jones Industrial)Downside Risk
CALVERT standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low.
Standard Deviation | 0.53 |
It is essential to understand the difference between upside risk (as represented by CALVERT MODERATE's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of CALVERT MODERATE's daily returns or price. Calvert Moderate Allocation's financial profile includes a Maximum Drawdown of 2.76.
Mutual Fund Volatility Analysis
Volatility refers to the frequency at which CALVERT MODERATE fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with CALVERT MODERATE's price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Calvert Moderate 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 MODERATE has a beta of 0.5693 suggesting as returns on the market go up, CALVERT MODERATE's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Calvert Moderate Allocation is expected to be smaller as well.CALVERT MODERATE is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Calvert Moderate Allocation's financial profile includes a Mean Deviation of 0.41 and a Standard Deviation of 0.53.
Predicted Return Density |
| Returns |
What Drives CALVERT MODERATE's Price Volatility?
Several factors can influence CALVERT MODERATE's market volatility:Industry Dynamics
Sector-level events can directly affect CALVERT MODERATE's price stability. Regulatory changes, supply disruptions, or shifts in demand within CALVERT MODERATE'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 MODERATE.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for CALVERT MODERATE's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward CALVERT MODERATE. During periods of economic expansion, CALVERT MODERATE's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.CALVERT MODERATE's Company-Specific Factors
Volatility can also stem from events unique to CALVERT MODERATE. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in CALVERT MODERATE's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on CALVERT MODERATE's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of CALVERT MODERATE is -2489.6. The daily returns are distributed with a variance of 0.28 and standard deviation of 0.53. The mean deviation of Calvert Moderate Allocation is currently at 0.4. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.004 | |
β | Beta against Dow Jones | 0.57 | |
σ | Overall volatility | 0.53 | |
Ir | Information ratio | 0.03 |
Mutual Fund Return Volatility
CALVERT MODERATE historical daily return volatility represents how much of CALVERT MODERATE fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.5289% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.7886% 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
There is a big difference between CALVERT Mutual Fund performing well and CALVERT MODERATE Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze CALVERT MODERATE's multiple risk-adjusted performance indicators across the competitive landscape. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CAGIX | 0.55 | 0.00 | 0.00 | -0.05 | 0.00 | 0.83 | 3.70 | |||
| CCLAX | 0.24 | -0.01 | 0.00 | -0.06 | 0.00 | 0.37 | 1.69 | |||
| GCBLX | 0.36 | -0.02 | 0.00 | -0.09 | 0.00 | 0.52 | 2.41 | |||
| CSSZX | 0.80 | 0.12 | 0.11 | 0.07 | 0.97 | 1.83 | 5.32 | |||
| MYN | 0.37 | -0.01 | 0.09 | -0.43 | 0.40 | 0.71 | 3.12 | |||
| WPOIX | 0.72 | 0.03 | 0.00 | -0.02 | 0.00 | 1.22 | 9.10 | |||
| TRFOX | 0.59 | 0.09 | 0.12 | 0.06 | 0.71 | 0.94 | 5.95 | |||
| VMNFX | 0.40 | 0.08 | 0.23 | -0.99 | 0.35 | 0.94 | 2.72 |
Risk Metrics, Assumptions & Methodology
Volatility for CALVERT MODERATE reflects NAV dispersion and exposure stability across disclosure periods. Higher dispersion implies wider price swings across observed periods.
Unless otherwise specified, data for Calvert Moderate Allocation is compiled from fund disclosures and market reference feeds and standardized for comparability. Updates may occur throughout the day. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Ellen Johnson - Member of Macroaxis Editorial BoardCALVERT MODERATE Investment Opportunity
Calvert Moderate Allocation currently shows materially lower return volatility than Dow Jones Industrial, with a relative multiple of about 1.49. Used properly, this comparison helps frame whether the extra volatility in the peer is being compensated by stronger return potential.You can use Calvert Moderate Allocation to protect your portfolios against small market fluctuations. This move summary looks at how the current session may translate into a basic near-term setup. It is most useful when combined with broader risk controls and position-sizing discipline. a normal downward trend and little activity. Check odds of CALVERT MODERATE to be traded at $22.79 in 90 days.Very poor diversification
The correlation between CMAAX and DJI is 0.89, which Macroaxis classifies as Very poor diversification for the selected horizon. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.
CALVERT MODERATE Additional Risk Indicators
Secondary risk indicators for Calvert Moderate Allocation can help investors evaluate exposure beyond standard deviation, beta, or one headline volatility measure. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.03 | |||
| Market Risk Adjusted Performance | -0.04 | |||
| Mean Deviation | 0.4066 | |||
| Coefficient Of Variation | -2,716 | |||
| Standard Deviation | 0.5303 | |||
| Variance | 0.2812 | |||
| Information Ratio | 0.0289 |
CALVERT MODERATE Suggested Diversification Pairs
Pair analysis around Calvert Moderate Allocation matters because it can turn one security idea into a more market-neutral structure. A disciplined pair strategy still requires monitoring because correlation can weaken when market regimes change.
| GM vs. CALVERT MODERATE | ||
| Microsoft vs. CALVERT MODERATE | ||
| Salesforce vs. CALVERT MODERATE | ||
| Dupont De vs. CALVERT MODERATE | ||
| Citigroup vs. CALVERT MODERATE | ||
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 MODERATE 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 MODERATE'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 MODERATE'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 Moderate Allocation.