State Farm Growth Fund Market Value
| STFGX Fund | USD 111.08 0.91 0.83% |
| Symbol | State |
State Farm '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 Farm'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 Farm.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in State Farm on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding State Farm Growth or generate 0.0% return on investment in State Farm over 720 days. State Farm is related to or competes with State Farm, State Farm, State Farm, Prudential Jennison, and Fidelity New. The fund normally invests at least 80 percent of its assets in common stocks and other income-producing equity securitie... More
State Farm 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 Farm'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 Farm Growth upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7621 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 4.25 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 1.03 |
State Farm Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for State Farm's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as State Farm's standard deviation. In reality, there are many statistical measures that can use State Farm historical prices to predict the future State Farm's volatility.| Risk Adjusted Performance | 0.0529 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.055 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of State Farm'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 Farm Growth Backtested Returns
We consider State Farm very steady. State Farm Growth owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0834, which indicates the fund had a 0.0834% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for State Farm Growth, which you can use to evaluate the volatility of the fund. Please validate State Farm's Semi Deviation of 0.6213, coefficient of variation of 1198.66, and Risk Adjusted Performance of 0.0529 to confirm if the risk estimate we provide is consistent with the expected return of 0.0604%. The entity has a beta of 0.92, which indicates possible diversification benefits within a given portfolio. State Farm returns are very sensitive to returns on the market. As the market goes up or down, State Farm is expected to follow.
Auto-correlation | 0.38 |
Below average predictability
State Farm Growth has below average predictability. Overlapping area represents the amount of predictability between State Farm time series from 4th of May 2022 to 29th of April 2023 and 29th of April 2023 to 23rd 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 Farm Growth price movement. The serial correlation of 0.38 indicates that just about 38.0% of current State Farm price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 21.15 |
State Farm Growth lagged returns against current returns
Autocorrelation, which is State Farm 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 Farm's mutual fund expected returns. We can calculate the autocorrelation of State Farm returns to help us make a trade decision. For example, suppose you find that State Farm 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 Farm 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 Farm mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if State Farm 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 Farm mutual fund over time.
Current vs Lagged Prices |
| Timeline |
State Farm Lagged Returns
When evaluating State Farm's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of State Farm mutual fund have on its future price. State Farm 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 Farm autocorrelation shows the relationship between State Farm mutual fund current value and its past values and can show if there is a momentum factor associated with investing in State Farm Growth.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards State Farm in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, State Farm's short interest history, or implied volatility extrapolated from State Farm options trading.
Currently Active Assets on Macroaxis
Check out State Farm Correlation, State Farm Volatility and State Farm Alpha and Beta module to complement your research on State Farm. Note that the State Farm Growth information on this page should be used as a complementary analysis to other State Farm's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
State Farm 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.