State Street Risk Analysis And Volatility Evaluation

SSHAX -- USA Fund  

USD 13.09  0.08  0.61%

We consider State Street not too risky. State Street Global owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3183 which indicates State Street Global had 0.3183% 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 0.096%.
Horizon     30 Days    Login   to change

State Street Market Sensitivity

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.
One Month Beta |Analyze State Street Global Demand Trend
Check current 30 days State Street correlation with market (DOW)
β = 0.212
State Street Small BetaState Street Global Beta Legend

State Street Global Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. State Street Global Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

State Street Projected Return Density Against Market

Assuming 30 trading days horizon, State Street has beta of 0.212 . This entails as returns on market go up, State Street average returns are expected to increase less than the benchmark. However during bear market, the loss on holding State Street Global Managed Vol will be expected to be much smaller as well. Moreover, State Street Global Managed Vol has an alpha of 0.0323 implying that it can potentially generate 0.0323% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of State Street is 314.16. The daily returns are destributed with a variance of 0.09 and standard deviation of 0.3. The mean deviation of State Street Global Managed Vol is currently at 0.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0323
β
Beta against DOW=0.21
σ
Overall volatility
=0.30
Ir
Information ratio =0.32

State Street Return Volatility

State Street Global Managed Vol shows 0.3016% volatility of returns over 30 trading days. DOW inherits 0.4529% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

State Street Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.5 times more volatile than State Street Global Managed Vol. 2% of all equities and portfolios are less risky than State Street. Compared to the overall equity markets, volatility of historical daily returns of State Street Global Managed Vol is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use State Street Global Managed Vol to enhance returns of your portfolios. The fund experiences moderate upward volatility. Check odds of State Street to be traded at $14.4 in 30 days. 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.

State Street correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding State Street Global Managed Vo and equity matching DJI index in the same portfolio.

State Street Volatility Indicators

State Street Global Managed Vol Current Risk Indicators

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