State Farm International Fund Market Value
| SIIAX Fund | USD 16.84 0.01 0.06% |
| Symbol | State |
State Farm 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to State Farm's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of State Farm.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in State Farm on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding State Farm International or generate 0.0% return on investment in State Farm over 30 days. State Farm is related to or competes with Angel Oak, Barings Active, Federated Short-intermedia, Blrc Sgy, Kinetics Market, Mirova Global, and Artisan Emerging. The fund seeks to achieve its investment objective by investing primarily in interest-bearing fixed income securities, i... More
State Farm Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure State Farm's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess State Farm International upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4728 | |||
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 1.89 | |||
| Value At Risk | (0.66) | |||
| Potential Upside | 0.4676 |
State Farm Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for State Farm's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as State Farm's standard deviation. In reality, there are many statistical measures that can use State Farm historical prices to predict the future State Farm's volatility.| Risk Adjusted Performance | 0.0055 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.26) | |||
| Treynor Ratio | (0.01) |
State Farm International Backtested Returns
At this stage we consider State Mutual Fund to be very steady. State Farm International owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0018, which indicates the fund had a 0.0018% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for State Farm International, which you can use to evaluate the volatility of the fund. Please validate State Farm's Risk Adjusted Performance of 0.0055, coefficient of variation of 4608.57, and Semi Deviation of 0.3723 to confirm if the risk estimate we provide is consistent with the expected return of 7.0E-4%. The entity has a beta of 0.17, which indicates not very significant fluctuations relative to the market. As returns on the market increase, State Farm's returns are expected to increase less than the market. However, during the bear market, the loss of holding State Farm is expected to be smaller as well.
Auto-correlation | -0.16 |
Insignificant reverse predictability
State Farm International has insignificant reverse predictability. Overlapping area represents the amount of predictability between State Farm time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of State Farm International price movement. The serial correlation of -0.16 indicates that over 16.0% of current State Farm price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
State Farm International lagged returns against current returns
Autocorrelation, which is State Farm mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting State Farm's mutual fund expected returns. We can calculate the autocorrelation of State Farm returns to help us make a trade decision. For example, suppose you find that State Farm has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
State Farm regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If State Farm mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if State Farm mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in State Farm mutual fund over time.
Current vs Lagged Prices |
| Timeline |
State Farm Lagged Returns
When evaluating State Farm's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of State Farm mutual fund have on its future price. State Farm autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, State Farm autocorrelation shows the relationship between State Farm mutual fund current value and its past values and can show if there is a momentum factor associated with investing in State Farm International.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in State Mutual Fund
State Farm financial ratios help investors to determine whether State Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in State with respect to the benefits of owning State Farm security.
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio File Import Quickly import all of your third-party portfolios from your local drive in csv format | |
| Global Correlations Find global opportunities by holding instruments from different markets |