State Street Risk Analysis And Volatility

SSHAX -- USA Fund  

USD 10.53  0.00  0.00%

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 Trend
Check current 30 days State Street correlation with market (DOW)
β = -0.0479

State Street Central Daily Price Deviation

State Street Global Technical Analysis

Transformation
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State Street Projected Return Density Against Market

Assuming 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 
      Returns 
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
α
Alpha over DOW
=0.0066
β
Beta against DOW=0.05
σ
Overall volatility
=0.44
Ir
Information ratio =0.07

State Street Return Volatility

the 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.
 Performance (%) 
      Timeline 

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

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 Current Risk Indicators

State Street Suggested Diversification Pairs

Also please take a look at World Market Map. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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