State Street Backtesting

SSHAX -- USA Fund  

USD 12.34  0.07  0.56%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of State Street Global Managed Vol and determine expected loss or profit from investing in State Street over given investment horizon. Also please take a look at State Street Hype Analysis, State Street Correlation, Portfolio Optimization, State Street Volatility as well as analyze State Street Alpha and Beta and State Street Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

State Street 'What if' Analysis

October 18, 2018
0.00
No Change 0.00  0.0%
In 31 days
November 17, 2018
0.00
If you would invest  0.00  in State Street on October 18, 2018 and sell it all today you would earn a total of 0.00 from holding State Street Global Managed Vol or generate 0.0% return on investment in State Street over 30 days. State Street is related to or competes with Vanguard Total, Vanguard Total, Vanguard Total, Vanguard Total, Vanguard 500, Vanguard 500, and Vanguard 500.

State Street Upside/Downside Indicators

Information Ratio0.0014
Maximum Drawdown2.65
Value At Risk1.06
Potential Upside1.4
  

State Street Market Premium Indicators

Risk Adjusted Performance0.11
Jensen Alpha0.032003
Total Risk Alpha0.026798
Treynor Ratio0.13

State Street Global Backtested Returns

Macroaxis considers State Street to be not too volatile. State Street Global owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0394 which indicates State Street Global had -0.0394% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. State Street Global Managed Vol exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate State Street Coefficient Of Variation of 1,180 and Risk Adjusted Performance of 0.11 to confirm risk estimate we provide. The entity has beta of 0.5713 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.. Even though it is essential to pay attention to State Street Global current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. State Street Global Managed Vol exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.54) 
correlation synergy

Good reverse predictability

State Street Global Managed Vol has good reverse predictability. Overlapping area represents the amount of predictability between State Street time series from October 18, 2018 to November 2, 2018 and November 2, 2018 to November 17, 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 -0.54 indicates that about 54.0% 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.
Correlation Coefficient-0.54
Spearman Rank Test0.35
Residual Average0.0
Price Variance0.01

State Street Global lagged returns against current returns

 Current and Lagged Values 
      Timeline 

State Street regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

State Street Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - SSHAX

State Street Global Investor Sentiment

Macroaxis portfolio users are evenly split in their outlook on investing in State Street Global Managed Vol. What is your outlook on investing in State Street Global Managed Vol? Are you bullish or bearish?
Bullish
Bearish
50% Bullish
50% Bearish
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Also please take a look at State Street Hype Analysis, State Street Correlation, Portfolio Optimization, State Street Volatility as well as analyze State Street Alpha and Beta and State Street Performance. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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