State Street Aggregate Fund Volatility
| SSFDX Fund | USD 86.27 -0.67 -0.77% |
Over the designated horizon, State Street Aggregate maintains a minimal volatility profile. State Street Aggregate indicates a Sharpe Ratio (Efficiency) of -0.032, suggesting weak return efficiency over the last 3 months. Current risk dynamics are supported by 20 technical indicators.
Sharpe Ratio = -0.032
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | SSFDX |
State Street Aggregate (SSFDX) recorded a Market Risk Adjusted Performance of -0.2%, a Risk of 0.22, and a Risk Adjusted Performance of -0.04%. Monthly moving average analysis shows STATE STREET is not yet reaching its full return potential. Incorporating it into a well-diversified portfolio can enhance total return while reducing risk.
Key indicators related to STATE STREET's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
STATE STREET's volatility is most commonly measured using the annualized standard deviation of daily returns. This statistical measure reflects the magnitude of STATE STREET's typical price swings and is a primary input in options pricing models.
STATE |
Volatility Strategy
State Street Aggregate return fluctuations can modify its marginal contribution to total portfolio variance. Allocation size and correlation determine overall impact. Current statistical measures show total volatility near 0.22% with a beta coefficient of 0.0562, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.032, evaluates return per unit of total risk. An alpha value of -0.007921 reflects performance relative to systematic market exposure. Expected return estimates near -0.0071% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to STATE STREET's market risk premium analysis include:
Beta 0.0562 | Alpha -0.01 | Risk 0.22 | Sharpe Ratio -0.03 | Expected Return -0.01 |
Moving together with STATE Mutual Fund
| 0.71 | SSAHX | State Street Target | PairCorr |
| 0.68 | SSAJX | State Street Target | PairCorr |
| 1.0 | SSAFX | State Street Aggregate | PairCorr |
| 0.67 | SSAOX | State Street Target | PairCorr |
| 0.66 | SSAKX | State Street Target | PairCorr |
| 0.81 | SSBYX | State Street Target | PairCorr |
| 0.67 | SSCKX | State Street Target | PairCorr |
| 0.75 | SSCQX | State Street Target | PairCorr |
| 0.69 | SSAWX | State Street Target | PairCorr |
| 0.67 | SSAZX | State Street Target | PairCorr |
| 0.7 | SSAYX | State Street Target | PairCorr |
| 0.98 | SSASX | State Street Income | PairCorr |
| 0.68 | SSAUX | State Street Target | PairCorr |
| 0.71 | SSDYX | State Street Target | PairCorr |
| 0.67 | SSDEX | State Street Target | PairCorr |
| 0.73 | SSDQX | State Street Target | PairCorr |
| 0.8 | SSGLX | State Street Global | PairCorr |
| 0.8 | SSGHX | State Street Global | PairCorr |
| 0.8 | SSGJX | State Street Global | PairCorr |
| 0.81 | SSGVX | State Street Global | PairCorr |
| 1.0 | SSFCX | State Street Aggregate | PairCorr |
| 0.73 | SSFJX | State Street Target | PairCorr |
| 0.73 | SSFKX | State Street Target | PairCorr |
| 1.0 | SSFEX | State Street Aggregate | PairCorr |
| 0.7 | SSFPX | State Street Target | PairCorr |
| 0.77 | SSFOX | State Street Target | PairCorr |
Sensitivity To Market
State Street Aggregate exhibits a beta of 0.0562, representing its market-relative sensitivity based on regression modeling. Beta quantifies systematic risk by measuring the slope of asset returns against benchmark returns. Overall return volatility is approximately 0.22%.Volatility metrics for State Street Aggregate describe how stable or unstable returns have been over the selected window. Current downside deviation is about 0.0%. A fund’s volatility level is shaped by diversification, sector concentration, and the mix of assets held.
3 Months Beta |Analyze State Street Aggregate Demand TrendCheck current 90 days STATE STREET correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of STATE measures how widely its daily prices are dispersed around the mean for a given time period. Highly volatile instruments have large standard deviations; stable instruments have small ones.
Standard Deviation | 0.22 |
Standard deviation captures both upside and downside movement in STATE STREET. However, investors specifically concerned with loss potential should use downside deviation or semi-deviation of STATE STREET's returns. State Street Aggregate (SSFDX) recorded a Maximum Drawdown of 0.95.
Mutual Fund Volatility Analysis
STATE STREET fund volatility is a measure of the speed and extent of STATE STREET's price movements. High volatility generally means the mutual fund price moves dramatically up or down in a short period of time. Low volatility means STATE STREET's price does not fluctuate dramatically and tends to be more predictable.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. State Street Aggregate 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.
Projected Return Density Against Market
Assuming a 90-day horizon STATE STREET has a beta of 0.0562 . This usually implies as returns on the market go up, STATE STREET's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding State Street Aggregate is expected to be smaller as well.Investors in STATE STREET face systematic risk from overall mutual fund market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. State Street Aggregate (SSFDX) recorded a Mean Deviation of 0.16 and a Standard Deviation of 0.22.
Predicted Return Density |
| Returns |
What Drives STATE STREET's Price Volatility?
Several factors can influence STATE STREET's market volatility:Industry Dynamics
Sector-level events can directly affect STATE STREET's price stability. Regulatory changes, supply disruptions, or shifts in demand within STATE STREET's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like STATE STREET.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for STATE STREET's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward STATE STREET. During periods of economic expansion, STATE STREET's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.STATE STREET's Company-Specific Factors
Volatility can also stem from events unique to STATE STREET. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in STATE STREET's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on STATE STREET's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of STATE STREET is -3127.35. The daily returns are distributed with a variance of 0.05 and standard deviation of 0.22. The mean deviation of State Street Aggregate is currently at 0.17. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.0079 | |
β | Beta against Dow Jones | 0.06 | |
σ | Overall volatility | 0.22 | |
Ir | Information ratio | 0.39 |
Mutual Fund Return Volatility
STATE STREET return volatility captures the typical daily swing in fund returns relative to the mean over the selected period. The fund has volatility of 0.2235% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8248% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | IATXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | FZDXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | JNMXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | MIPXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | PBMXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | JHMXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | SMAAX | ||
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Evaluating STATE Mutual Fund requires separating price momentum from underlying business quality relative to competitors. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| IATXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FZDXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| JNMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| MIPXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| PBMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| JHMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| SMAAX | 0.09 | -0.01 | 0.00 | -0.28 | 0.00 | 0.19 | 0.87 |
Risk Metrics, Assumptions & Methodology
Volatility for STATE STREET reflects NAV dispersion and exposure stability across disclosure periods. Observed drawdowns appear relatively moderate compared with broader market swings.
For State Street Aggregate, this section uses fund disclosures and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardSTATE STREET Investment Opportunity
Dow Jones Industrial is about 3.73 times more volatile than State Street Aggregate based on recent return behavior. Across the current 90-day horizon, that places the security below 1% of the broader equity and portfolio universe on a pure volatility basis.You can use State Street Aggregate to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a moderate downward daily trend and can be a good diversifier. Check odds of STATE STREET to be traded at $84.54 in 90 days.Weak diversification
SSFDX currently posts a 0.34 correlation with DJI, indicating a Weak diversification relationship for the active sample. Used correctly, the chart supports evaluation of whether adding the second position genuinely diversifies the first.
STATE STREET Additional Risk Indicators
Looking at additional risk metrics for State Street Aggregate frames how the position may behave under different market and portfolio conditions. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | -0.04 | |||
| Market Risk Adjusted Performance | -0.23 | |||
| Mean Deviation | 0.1621 | |||
| Coefficient Of Variation | -6,342 | |||
| Standard Deviation | 0.2187 | |||
| Variance | 0.0478 | |||
| Information Ratio | 0.3882 |
STATE STREET Suggested Diversification Pairs
Pair trading with STATE STREET can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around STATE STREET, market-wide risk remains. What pair trading can address is STATE STREET's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.