Macroaxis considers State Street to be unknown risk. State Street Global owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.111 which indicates the organization had -0.111% of return per unit of risk over the last 2 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 Global Managed Vol 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 Semi Deviation of 0.3062, Coefficient Of Variation of 7421.31 and Risk Adjusted Performance of
(0.00033418) to confirm risk estimate we provide.
|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 TrendCheck current 30 days State Street correlation with market (DOW)|
β = -0.0479
State Street Central Daily Price Deviation
State Street Global Technical Analysis
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 MarketAssuming 30 trading days horizon, State Street Global Managed Vol has beta of -0.0479 . 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, The company has a negative alpha implying that the risk taken by holding this equity is not justified. State Street Global is significantly underperforming DOW.
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of State Street is -900.99. The daily returns are destributed with a variance of 0.19 and standard deviation of 0.44. The mean deviation of State Street Global Managed Vol is currently at 0.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.76
|Alpha over DOW||=||0.0066|
|Beta against DOW||=||0.05|
State Street Return Volatilitythe fund shows 0.4398% volatility of returns over 30 trading days. the entity inherits 0.7732% risk (volatility on return distribution) over the 30 days horizon.
State Street Investment Opportunity
DOW has a standard deviation of returns of 0.77 and is 1.75 times more volatile than State Street Global Managed Vol. 3% 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 3 (%) 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 $10.42 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
State Street Current Risk Indicators
|Risk Adjusted Performance||(0.00033418)|
|Market Risk Adjusted Performance||0.1151|
|Coefficient Of Variation||7421.31|
State Street Suggested Diversification Pairs
|Ford Motor vs. State Street|
|Citigroup vs. State Street|
|Cree vs. State Street|
|Salesforce vs. State Street|
|CME vs. State Street|
|Marathon Patent vs. State Street|
|Public Joint vs. State Street|
|Anadarko Petroleum vs. State Street|