State Street Risk Analysis And Volatility

SSKEX -- USA Fund  

USD 13.37  0.06  0.45%

We consider State Street not too volatile. State Street Emerging owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1637 which indicates the organization had 0.1637% of return per unit of risk over the last 3 months. 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 Emerging Markets E which you can use to evaluate future volatility of the fund. Please validate State Street Semi Deviation of 0.6266, Coefficient Of Variation of 579.73 and Risk Adjusted Performance of 0.124 to confirm if risk estimate we provide are consistent with the epected return of 0.1217%.

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

90 Days Economic Sensitivity

Follows market closely
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.
3 Months Beta |Analyze State Street Emerging Demand Trend
Check current 30 days State Street correlation with market (DOW)
β = 0.562

State Street Central Daily Price Deviation

State Street Emerging Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. State Street Typical Price indicator is an average of each day price and can be used instead of closing price when creating different State Street Emerging moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

State Street Projected Return Density Against Market

Assuming 30 trading days horizon, State Street has beta of 0.562 . 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 Emerging Markets E will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0642 implying that it can potentially generate 0.0642% 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 610.8. The daily returns are destributed with a variance of 0.55 and standard deviation of 0.74. The mean deviation of State Street Emerging Markets E is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.72
α
Alpha over DOW
=0.06
β
Beta against DOW=0.56
σ
Overall volatility
=0.74
Ir
Information ratio =0.0317

State Street Return Volatility

the fund shows 0.7436% volatility of returns over 30 trading days. the entity inherits 0.7151% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

State Street Investment Opportunity

State Street Emerging Markets E has a volatility of 0.74 and is 1.03 times more volatile than DOW. 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 Emerging Markets E is lower than 6 () of all global equities and portfolios over the last 30 days. Use State Street Emerging Markets E to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of State Street to be traded at $14.04 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
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding State Street Emerging Markets 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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