State Street Backtesting

SSKEX -- USA Fund  

USD 12.95  0.05  0.39%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of State Street Emerging Markets E 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

July 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 21, 2019
0.00
If you would invest  0.00  in State Street on July 23, 2019 and sell it all today you would earn a total of 0.00 from holding State Street Emerging Markets E or generate 0.0% return on investment in State Street over 90 days. State Street is related to or competes with Invesco Oppenheimer, Invesco Oppenheimer, Invesco Oppenheimer, American Funds, New World, American Funds, and New World. The investment seeks to provide investment results that, before fees and expenses, correspond generally to the total ret...

State Street Upside/Downside Indicators

Information Ratio(0.026474)
Maximum Drawdown3.95
Value At Risk(1.25)
Potential Upside1.26

State Street Market Premium Indicators

Risk Adjusted Performance(0.041293)
Jensen Alpha(0.029709)
Total Risk Alpha(0.02571)
Treynor Ratio(0.06)

State Street Emerging Backtested Returns

Macroaxis considers State Street to be not too volatile. State Street Emerging owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0434 which indicates the organization had -0.0434% of return per unit of risk over the last 3 months. 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 Emerging Markets E 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 Risk Adjusted Performance of (0.041293) and Coefficient Of Variation of (2,412) to confirm risk estimate we provide. The entity has beta of 0.7588 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 Emerging 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 Emerging Markets E exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.33 
correlation synergy

Below average predictability

State Street Emerging Markets E has below average predictability. Overlapping area represents the amount of predictability between State Street time series from July 23, 2019 to September 6, 2019 and September 6, 2019 to October 21, 2019. 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 Emerging price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current State Street price fluctuation can be explain by its past prices.
Correlation Coefficient0.33
Spearman Rank Test-0.22
Residual Average0.0
Price Variance0.02

State Street Emerging 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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