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.
|15 days auto-correlation||(0.54) |
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.
|Spearman Rank Test||0.35|