State Street Backtesting

SSHAX -- USA Fund  

USD 13.09  0.08  0.61%

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

August 24, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 23, 2018
0.00
If you would invest  0.00  in State Street on August 24, 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 Total, Vanguard 500, and Vanguard 500.

State Street Upside/Downside Indicators

Downside Deviation0.3613
Information Ratio0.32
Maximum Drawdown0.9302
Value At Risk0.46
Potential Upside0.6149
  

State Street Market Premium Indicators

Risk Adjusted Performance0.11
Jensen Alpha0.0323
Total Risk Alpha0.044637
Sortino Ratio0.27
Treynor Ratio0.3185

State Street Global Backtested Returns

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.
Advice Volatility Trend Exposure Correlations
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.
Correlation Coefficient-0.62
Spearman Rank Test-0.77
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 

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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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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