State Street (Mexico) Market Value
| STT Stock | MXN 1,965 237.00 13.72% |
| 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 stock 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.
| 05/26/2024 |
| 11/22/2024 |
If you would invest 0.00 in State Street on May 26, 2024 and sell it all today you would earn a total of 0.00 from holding State Street or generate 0.0% return on investment in State Street over 180 days. State Street is related to or competes with United Airlines, Cognizant Technology, Grupo Sports, McEwen Mining, Bank of Nova Scotia, KB Home, and GMxico Transportes. State Street Corporation, through its subsidiaries, provides a range of financial products and services to institutional... 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 stock 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 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.1033 | |||
| Maximum Drawdown | 15.08 |
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 | 0.1218 | |||
| Jensen Alpha | 0.2759 | |||
| Total Risk Alpha | 0.0664 | |||
| Treynor Ratio | 4.57 |
State Street Backtested Returns
State Street appears to be very steady, given 3 months investment horizon. State Street owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of risk over the last 3 months. By inspecting State Street's technical indicators, you can evaluate if the expected return of 0.54% is justified by implied risk. Please review State Street's Variance of 3.59, coefficient of variation of 650.61, and Risk Adjusted Performance of 0.1218 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, State Street holds a performance score of 16. The entity has a beta of 0.0615, which indicates not very significant fluctuations relative to the market. As returns on the market increase, State Street's returns are expected to increase less than the market. However, during the bear market, the loss of holding State Street is expected to be smaller as well. Please check State Street's variance, daily balance of power, relative strength index, as well as the relationship between the total risk alpha and day typical price , to make a quick decision on whether State Street's existing price patterns will revert.
Auto-correlation | 0.57 |
Modest predictability
State Street has modest predictability. Overlapping area represents the amount of predictability between State Street time series from 26th of May 2024 to 24th of August 2024 and 24th of August 2024 to 22nd 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 price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current State Street price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 16.2 K |
State Street lagged returns against current returns
Autocorrelation, which is State Street stock'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 stock 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 stock 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if State Street stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in State Street stock 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 stock 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 stock current value and its past values and can show if there is a momentum factor associated with investing in State Street.
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.Additional Tools for State Stock Analysis
When running State Street's 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 the 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.