State Street Risk Analysis And Volatility

SSHAX -- USA Fund  

USD 12.45  0.00  0.00%

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-one technical indicators for State Street Global Managed Vol which you can use to evaluate future volatility of the fund. Please validate State Street Coefficient Of Variation of (711.46) and Risk Adjusted Performance of (0.29) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

State Street Market Sensitivity

As returns on market increase, returns on owning State Street are expected to decrease at a much smaller rate. During bear market, State Street is likely to outperform the market.
2 Months Beta |Analyze State Street Global Demand Trend
Check current 30 days State Street correlation with market (DOW)
β = -0.0369

State Street Central Daily Price Deviation

State Street Global Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

State Street Projected Return Density Against Market

Assuming 30 trading days horizon, State Street Global Managed Vol has beta of -0.0369 . This entails as returns on benchmark increase, returns on holding State Street are expected to decrease at a much smaller rate. During bear market, however, State Street Global Managed Vol is likely to outperform the market. Additionally, State Street Global Managed Vol has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.12
β
Beta against DOW=0.04
σ
Overall volatility
=0.00
Ir
Information ratio =0.09

State Street Return Volatility

State Street Global Managed Vol shows 0.0% volatility of returns over 30 trading days. DOW inherits 2.0202% 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 2.02 and is 9.223372036854776E16 times more volatile than State Street Global Managed Vol. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use State Street Global Managed Vol to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of State Street to be traded at $12.33 in 30 days. . As returns on market increase, returns on owning State Street are expected to decrease at a much smaller rate. During bear market, State Street is likely to outperform the market.

State Street correlation with market

correlation synergy
Good 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

Also please take a look at World Market Map. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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