State Farm Correlations

STFBX Fund

USD 97.52 0.09 0.09%

The current 90-days correlation between State Farm Balanced and Angel Oak Ultrashort is 0.04 (i.e., Significant diversification). The correlation of State Farm is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

State Farm Correlation With Market

Poor diversification

The correlation between State Farm Balanced and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm Balanced and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in State Farm Balanced. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with State Mutual Fund

0.77	ABALX	American Balanced	Pair Corr
0.83	BALCX	American Balanced	Pair Corr
0.78	BALFX	American Balanced	Pair Corr
0.83	FBONX	American Funds American	Pair Corr
0.83	FBAFX	American Funds American	Pair Corr
0.83	RLBCX	American Balanced	Pair Corr
0.83	RLBBX	American Balanced	Pair Corr
0.78	CLBAX	American Balanced	Pair Corr
0.83	CLBEX	American Balanced	Pair Corr
0.83	RLBFX	American Balanced	Pair Corr
0.74	VTSAX	Vanguard Total Stock	Pair Corr
0.72	VFIAX	Vanguard 500 Index	Pair Corr
0.74	VTSMX	Vanguard Total Stock	Pair Corr
0.74	VSMPX	Vanguard Total Stock	Pair Corr
0.74	VITSX	Vanguard Total Stock	Pair Corr
0.74	VSTSX	Vanguard Total Stock	Pair Corr
0.78	VTIAX	Vanguard Total Inter	Pair Corr
0.73	VFINX	Vanguard 500 Index	Pair Corr
0.72	VFFSX	Vanguard 500 Index	Pair Corr
0.61	MRK	Merck Company Earnings Call Tomorrow	Pair Corr
0.79	AA	Alcoa Corp	Pair Corr
0.84	BA	Boeing	Pair Corr

Moving against State Mutual Fund

0.53	HPQ	HP Inc	Pair Corr
0.46	MMM	3M Company	Pair Corr
0.33	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	SPMIX	RECRX	BXDCX	DBELX	ASCLX	GMCPX	QLENX	AOUNX
SPMIX		0.81	0.91	0.82	0.87	0.91	0.79	0.92	SPMIX
RECRX	0.81		0.91	0.91	0.78	0.84	0.65	0.84	RECRX
BXDCX	0.91	0.91		0.9	0.81	0.95	0.72	0.96	BXDCX
DBELX	0.82	0.91	0.9		0.74	0.83	0.63	0.85	DBELX
ASCLX	0.87	0.78	0.81	0.74		0.84	0.9	0.83	ASCLX
GMCPX	0.91	0.84	0.95	0.83	0.84		0.82	0.98	GMCPX
QLENX	0.79	0.65	0.72	0.63	0.9	0.82		0.78	QLENX
AOUNX	0.92	0.84	0.96	0.85	0.83	0.98	0.78		AOUNX
	SPMIX	RECRX	BXDCX	DBELX	ASCLX	GMCPX	QLENX	AOUNX

Risk-Adjusted Indicators

There is a big difference between State Mutual Fund performing well and State Farm Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze State Farm's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
SPMIX	0.79	0.10	0.11	0.13	0.69	(0.92)	1.81	(1.36)	6.89
RECRX	0.78	0.28	0.30	0.41	0.45	(0.98)	1.38	(1.28)	11.32
BXDCX	0.05	0.00	(0.24)	0.64	0.00	(0.15)	0.11	(0.11)	0.54
DBELX	0.21	0.06	0.07	0.53	0.11	(0.26)	0.43	(0.42)	0.92
ASCLX	0.56	0.25	0.48	1.33	0.00	(0.76)	0.58	(0.58)	17.47
GMCPX	0.07	0.01	(0.24)	1.25	0.00	(0.16)	0.10	(0.10)	0.61
QLENX	0.33	0.07	0.12	0.37	0.16	(0.39)	0.85	(0.51)	1.88
AOUNX	0.05	0.01	(0.25)	0.73	0.00	(0.22)	0.10	(0.10)	0.51

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