State Street Backtesting

STT -- USA Stock  

USD 60.22  0.88  1.44%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of State Street Corporation 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, State Street Valuation, 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

June 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 20, 2019
0.00
If you would invest  0.00  in State Street on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding State Street Corporation or generate 0.0% return on investment in State Street over 90 days. State Street is related to or competes with Stifel Financial, SLM Corp, Wins Finance, Western Union, PNC Financial, Yirendai Ltd, and State Street. State Street Corporation, through its subsidiaries, provides a range of financial products and services to institutional...

State Street Upside/Downside Indicators

Downside Deviation1.88
Information Ratio0.0677
Maximum Drawdown11.04
Value At Risk(3.25)
Potential Upside3.13

State Street Market Premium Indicators

Risk Adjusted Performance0.0827
Jensen Alpha0.1407
Total Risk Alpha0.1058
Sortino Ratio0.079
Treynor Ratio0.1403

State Street Backtested Returns

We consider State Street very steady. State Street owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0826 which indicates the firm had 0.0826% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for State Street Corporation which you can use to evaluate future volatility of the company. Please validate State Street Semi Deviation of 1.68, Risk Adjusted Performance of 0.0827 and Coefficient Of Variation of 1165.82 to confirm if risk estimate we provide are consistent with the epected return of 0.1865%. State Street has performance score of 5 on a scale of 0 to 100. The entity has beta of 1.2709 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, State Street will likely underperform. Although it is extremely important to respect State Street current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting State Street technical indicators you can presently evaluate if the expected return of 0.1865% will be sustainable into the future. State Street right now has a risk of 2.2582%. Please validate State Street Mean Deviation, Information Ratio as well as the relationship between Information Ratio and Downside Variance to decide if State Street will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

State Street Corporation has no correlation between past and present. Overlapping area represents the amount of predictability between State Street time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 20, 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 price movement. The serial correlation of 0.0 indicates that just 0.0% of current State Street price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.3
Residual Average0.0
Price Variance15.95

State Street 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 - STT

State Street Investor Sentiment

Greater number of Macroaxis users are at this time bullish on State Street Corporation. What is your outlook on investing in State Street Corporation? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
Skip

Currently Active Assets on Macroaxis

FB   
Purchased few shares of
a day ago
Traded for 188.14
VMW   
Purchased a lot of shares of
a day ago
Traded for 150.35
V   
Purchased few shares of
a day ago
Traded for 175.29
CRM   
Purchased a lot of shares of
a day ago
Traded for 152.77
F   
Purchased over 300 shares of
a day ago
Traded for 9.25
Also please take a look at State Street Hype Analysis, State Street Correlation, State Street Valuation, State Street Volatility as well as analyze State Street Alpha and Beta and State Street Performance. Please also try Premium Stories module to follow macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
Search macroaxis.com