State Street Target Fund Market Value
| SSBYX Fund | USD 12.56 0.01 0.08% |
| Symbol | State |
State Street 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to State Street's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of State Street.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in State Street on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding State Street Target or generate 0.0% return on investment in State Street over 30 days. State Street is related to or competes with State Street, Ssga International, State Street, State Street, State Street, State Street, and State Street. SSGA Funds Management, Inc. manages the Target Retirement 2030 Fund using a proprietary asset allocation strategy More
State Street Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure State Street's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess State Street Target upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5248 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 2.19 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.6504 |
State Street Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for State Street's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as State Street's standard deviation. In reality, there are many statistical measures that can use State Street historical prices to predict the future State Street's volatility.| Risk Adjusted Performance | 0.0158 | |||
| Jensen Alpha | 0.001 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.10) | |||
| Treynor Ratio | 0.0761 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of State Street's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
State Street Target Backtested Returns
We consider State Street very steady. State Street Target owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0443, which indicates the fund had a 0.0443% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for State Street Target, which you can use to evaluate the volatility of the fund. Please validate State Street's Risk Adjusted Performance of 0.0158, semi deviation of 0.4766, and Coefficient Of Variation of 3315.1 to confirm if the risk estimate we provide is consistent with the expected return of 0.0204%. The entity has a beta of 0.0586, which indicates not very significant fluctuations relative to the market. As returns on the market increase, State Street's returns are expected to increase less than the market. However, during the bear market, the loss of holding State Street is expected to be smaller as well.
Auto-correlation | 0.57 |
Modest predictability
State Street Target has modest predictability. Overlapping area represents the amount of predictability between State Street time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of State Street Target price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current State Street price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
State Street Target lagged returns against current returns
Autocorrelation, which is State Street mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting State Street's mutual fund expected returns. We can calculate the autocorrelation of State Street returns to help us make a trade decision. For example, suppose you find that State Street has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
State Street regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If State Street mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if State Street mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in State Street mutual fund over time.
Current vs Lagged Prices |
| Timeline |
State Street Lagged Returns
When evaluating State Street's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of State Street mutual fund have on its future price. State Street autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, State Street autocorrelation shows the relationship between State Street mutual fund current value and its past values and can show if there is a momentum factor associated with investing in State Street Target.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out State Street Correlation, State Street Volatility and State Street Alpha and Beta module to complement your research on State Street. You can also try the Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
State Street technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.