State Street Aggregate Fund Market Value
| SSFDX Fund | USD 86.80 0.37 0.43% |
| Symbol | State |
State Street '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 Street'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 Street.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in State Street on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding State Street Aggregate or generate 0.0% return on investment in State Street over 30 days. State Street is related to or competes with T Rowe, Strategic Allocation:, Enhanced, T Rowe, Legg Mason, Principal Lifetime, and T Rowe. Under normal circumstances, the fund generally invests substantially all, but at least 80, of its net assets in securities comprising the index or in securities that the Adviser determines have economic characteristics that are comparable to the economic characteristics of securities that comprise the index. More
State Street 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 Street'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 Street Aggregate upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.46) | |||
| Maximum Drawdown | 1.45 | |||
| Value At Risk | (0.67) | |||
| Potential Upside | 0.4606 |
State Street Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for State Street's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as State Street's standard deviation. In reality, there are many statistical measures that can use State Street historical prices to predict the future State Street's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | 0.3538 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of State Street's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
State Street Aggregate Backtested Returns
State Street Aggregate owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0247, which indicates the fund had a -0.0247% return per unit of risk over the last 3 months. State Street Aggregate exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate State Street's Risk Adjusted Performance of (0.03), coefficient of variation of (4,797), and Variance of 0.0969 to confirm the risk estimate we provide. The entity has a beta of -0.0466, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning State Street are expected to decrease at a much lower rate. During the bear market, State Street is likely to outperform the market.
Auto-correlation | -0.21 |
Weak reverse predictability
State Street Aggregate has weak reverse predictability. Overlapping area represents the amount of predictability between State Street time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Street Aggregate price movement. The serial correlation of -0.21 indicates that over 21.0% of current State Street price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.21 | |
| Spearman Rank Test | -0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.27 |
State Street Aggregate lagged returns against current returns
Autocorrelation, which is State Street 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 Street's mutual fund expected returns. We can calculate the autocorrelation of State Street returns to help us make a trade decision. For example, suppose you find that State Street 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 Street 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 Street mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if State Street 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 Street mutual fund over time.
Current vs Lagged Prices |
| Timeline |
State Street Lagged Returns
When evaluating State Street's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of State Street mutual fund have on its future price. State Street 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 Street autocorrelation shows the relationship between State Street mutual fund current value and its past values and can show if there is a momentum factor associated with investing in State Street Aggregate.
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 Street 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 Street security.
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