State Mutual Fund Volatility

SSBSX -  USA Fund  

USD 13.04  0.10  0.77%

State Street Target owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0087, which indicates the fund had -0.0087% of return per unit of risk over the last 12 months. Macroaxis standpoint towards measuring the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. State Street Target exposes twenty-six different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate State Street coefficient of variation of (17,814), and Risk Adjusted Performance of (0.007322) to confirm the risk estimate we provide.

State Volatility 

 
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State Street Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of State daily returns, and it is calculated using variance and standard deviation. We also use State's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of State Street volatility.

360 Days Market Risk

Very steady

Chance of Distress

Very Small

360 Days Economic Sensitivity

Barely shadows the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as State Street can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of State Street at lower prices. For example, an investor can purchase State stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of State Street's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

State Street Market Sensitivity And Downside Risk

State Street's beta coefficient measures the volatility of State mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents State mutual fund's returns against your selected market. In other words, State Street's beta of 0.0471 provides an investor with an approximation of how much risk State Street mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what State's beta means in this case. As returns on the market increase, State Street returns are expected to increase less than the market. However, during the bear market, the loss on holding State Street will be expected to be smaller as well.
12 Months Beta |Analyze State Street Target Demand Trend
Check current 90 days State Street correlation with market (DOW)

State Beta

    
  0.0471  
State standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.6  
It is essential to understand the difference between upside risk (as represented by State Street's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of State Street stock's daily returns or price. Since the actual investment returns on holding a position in State Street stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in State Street.

State Street Target Mutual Fund Volatility Analysis

Volatility refers to the frequency at which State Street stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with State Street's price changes. Investors will then calculate the volatility of State Street's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of State Street's volatility:

Historical Volatility

This type of stock volatility measures State Street's fluctuations based on previous trends. It's commonly used to predict State Street's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for State Street's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of two hundred fifty-nine. State Street Target Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

State Street Projected Return Density Against Market

Assuming the 90 days horizon State Street has a beta of 0.0471 . This usually implies as returns on the market go up, State Street average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding State Street Target will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to State Street or State Street Global Advisors sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that State Street stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a State stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. State Street Target is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
State Street's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how State Street stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

State Street Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to State Street or State Street Global Advisors sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that State Street stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a State stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of State Street is -11436.65. The daily returns are distributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of State Street Target is currently at 0.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.78
α
Alpha over DOW
-0.01
β
Beta against DOW0.0471
σ
Overall volatility
0.60
Ir
Information ratio -0.07

State Street Mutual Fund Return Volatility

State Street historical daily return volatility represents how much State Street stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.5999% volatility of returns over 90 . By contrast, DOW inherits 0.77% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About State Street Volatility

Volatility is a rate at which the price of State Street or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of State Street may increase or decrease. In other words, similar to State's beta indicator, it measures the risk of State Street and helps estimate the fluctuations that may happen in a short period of time. So if prices of State Street fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks capital growth and income over the long term. SSGA Funds Management, Inc. manages the Target Retirement 2025 Fund using a proprietary asset allocation strategy. The fund is a fund of funds that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates . It is intended for investors expecting to retire around the year 2025 and likely to stop making new investments in the fund at that time.

State Street Investment Opportunity

DOW has a standard deviation of returns of 0.77 and is 1.28 times more volatile than State Street Target. 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 Target is lower than 5 () of all global equities and portfolios over the last 90 days. Use State Street Target to enhance returns of your portfolios. The mutual fund experiences a moderate upward volatility. Check odds of State Street to be traded at $14.34 in 90 days. . Let's try to break down what State's beta means in this case. As returns on the market increase, State Street returns are expected to increase less than the market. However, during the bear market, the loss on holding State Street will be expected to be smaller as well.

Significant diversification

The correlation between State Street Target and DJI is Significant diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Target and DJI in the same portfolio assuming nothing else is changed.

State Street Additional Risk Indicators

The analysis of State Street's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in State Street's investment and either accepting that risk or mitigating it. Along with some common measures of State Street stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.007322)
Market Risk Adjusted Performance(0.27)
Mean Deviation0.3691
Coefficient Of Variation(17,814)
Standard Deviation0.6008
Variance0.361
Information Ratio(0.07)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

State Street Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against State Street as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. State Street's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, State Street's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to State Street Target.
Additionally, take a look at World Market Map. Note that the State Street Target information on this page should be used as a complementary analysis to other State Street's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.

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When running State Street Target price analysis, check to measure State Street's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy State Street is operating at the current time. Most of State Street's value examination focuses on studying past and present price action to predict the probability of State Street's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move State Street's price. Additionally, you may evaluate how the addition of State Street to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between State Street's value and its price as these two are different measures arrived at by different means. Investors typically determine State Street value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, State Street's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.