State Street Risk Analysis And Volatility Evaluation

SSHAX -- USA Fund  

USD 13.05  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 389.47 and Risk Adjusted Performance of 0.2643 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, 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 = 0.0812
State Street Small BetaState Street Global Beta Legend

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 has beta of 0.0812 . 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 0.0507 implying that it can potentially generate 0.0507% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.05
β
Beta against DOW=0.08
σ
Overall volatility
=0.00
Ir
Information ratio =0.34

State Street Return Volatility

State Street Global Managed Vol shows 0.0% volatility of returns over 30 trading days. DOW inherits 1.3078% 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 1.31 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 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 $12.92 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

correlation synergy
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

Also please take a look at World Market Map. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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