We consider State Street not too risky. State Street Global
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2696 which indicates State Street Global
had 0.2696% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators
that cannot be diversified away. We have found twenty technical indicators
for State Street Global Managed Vol which you can use to evaluate future volatility of the fund. Please validate State Street Downside Deviation
of 0.3613, Standard Deviation
of 0.3069 and Risk Adjusted Performance
of 0.11 to confirm if risk estimate we provide are consistent with the epected return of 0.0813%. The entity has beta of 0.212 which indicates as returns on market increase, State Street returns are expected to increase less than the market. However during bear market, the loss on holding State Street will be expected to be smaller as well.. Although it is extremely important to respect State Street Global
current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators
. By inspecting State Street Global technical indicators
you can presently evaluate if the expected return of 0.0813% will be sustainable into the future.
|15 days auto-correlation||(0.62) |
Very good reverse predictability
State Street Global Managed Vol has very good reverse predictability. Overlapping area represents the amount of predictability between State Street time series from August 24, 2018 to September 8, 2018 and September 8, 2018 to September 23, 2018. 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 Global price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current State Street price fluctuation can be explain by its past prices. Given that State Street Global Managed Vol has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of State Street for similar time interval.
|Spearman Rank Test||-0.77|