State Street Aggregate Fund Volatility
| SSFDX Fund | USD 86.69 0.35 0.41% |
Over the last 3 months, State Street Aggregate maintains relatively low price volatility. State Street Aggregate indicates a Sharpe ratio of -0.015, suggesting weak return efficiency over the last 3 months. Current risk dynamics are supported by 21 technical indicators.
Sharpe Ratio = -0.015
| 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 0.23, and a Risk Adjusted Performance of -0.03%. STATE STREET is below its full potential per monthly moving average analysis. Pairing it with a well-diversified portfolio structure may improve overall efficiency. Correlation structure between STATE STREET and other holdings determines the diversification benefit. The risk-reduction potential of adding STATE STREET to a diversified portfolio can be quantified.
Key indicators related to STATE STREET's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Understanding STATE STREET's historical volatility sets realistic expectations for STATE STREET's future price range. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging STATE STREET exposure. Volatility analysis for STATE STREET is most actionable when combined with directional views. High financial distress probability for STATE STREET amplifies the risk of extreme downside scenarios.
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 0.23% with a beta coefficient of 0.0737, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.015, evaluates return per unit of total risk. An alpha value of -0.008097 reflects performance relative to systematic market exposure. Expected return estimates near -0.0035% 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 0.0737 | Alpha -0.01 | Risk 0.23 | Sharpe Ratio -0.01 | Expected Return -0.0035 |
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 |
| 0.67 | SSAKX | State Street Target | PairCorr |
| 0.82 | SSBYX | State Street Target | PairCorr |
| 0.68 | SSCKX | State Street Target | PairCorr |
| 0.76 | SSCQX | State Street Target | PairCorr |
| 0.7 | SSAWX | State Street Target | PairCorr |
| 0.68 | SSAZX | State Street Target | PairCorr |
| 0.71 | SSAYX | State Street Target | PairCorr |
| 0.98 | SSASX | State Street Income | PairCorr |
| 0.69 | SSAUX | State Street Target | PairCorr |
| 0.71 | SSBSX | State Street Target | PairCorr |
| 0.72 | SSDYX | State Street Target | PairCorr |
| 0.68 | SSDEX | State Street Target | PairCorr |
| 0.69 | SSDLX | State Street Target | PairCorr |
| 0.74 | SSDQX | State Street Target | PairCorr |
| 0.8 | SSGLX | State Street Global | PairCorr |
| 0.79 | 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 |
| 0.74 | SSFKX | State Street Target | PairCorr |
| 1.0 | SSFEX | State Street Aggregate | PairCorr |
Sensitivity To Market
State Street Aggregate exhibits a beta of 0.0737, 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 0.23%.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
For STATE, standard deviation measures the dispersion of daily prices from the mean over a chosen time horizon. Volatile instruments show high standard deviation; stable instruments show low. Standard deviation for STATE provides a measure of daily price dispersion around the mean. Standard deviation for STATE allows comparison of risk levels across different time horizons.
Standard Deviation | 0.23 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for STATE STREET. Upside risk is measured by STATE STREET's standard deviation, while downside risk is captured by downside deviation of STATE STREET's returns. Standard deviation and downside deviation for STATE STREET measure different things — total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in STATE STREET's returns. State Street Aggregate (SSFDX) recorded a Maximum Drawdown of 1.24.
Mutual Fund Volatility Analysis
For investors tracking STATE STREET, understanding volatility is essential to managing portfolio risk. It indicates how dramatically STATE STREET's price swings over a specific time horizon. For traders and investors in STATE STREET, volatility is both a risk factor and a source of opportunity. Sharp price movements in STATE STREET's can be triggered by earnings surprises, macroeconomic data, or sector trends.
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 0.0737 . 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 0.17 and a Standard Deviation of 0.23.
Predicted Return Distribution |
| Density |
What Drives STATE STREET's Price Volatility?
Industry Dynamics
STATE STREET's volatility can rise when competitive dynamics or demand conditions shift across the State Street Global Advisors sector.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into STATE STREET's trading.STATE STREET's Company-Specific Factors
Event risk around earnings, forecasts, and operating performance can create abrupt price dispersion in STATE STREET.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of STATE STREET is -6681.78. The daily returns are distributed with a variance of 0.05 and standard deviation of 0.23. The mean deviation of State Street Aggregate is currently at 0.18. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | -0.0081 | |
β | Beta against Dow Jones | 0.07 | |
σ | Overall volatility | 0.23 | |
Ir | Information ratio | 0.19 |
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 0.2342% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial has volatility of 0.8467% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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
STATE STREET Mutual Fund can look attractive on recent price action while risk efficiency lags the peer group. Reviewing STATE STREET's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TGRXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| GMDPX | 0.07 | -0.01 | 0.00 | -0.79 | 0.00 | 0.11 | 0.64 | |||
| PGVZX | 0.18 | -0.01 | 0.00 | -0.25 | 0.00 | 0.38 | 1.38 | |||
| DPIGX | 0.09 | -0.01 | 0.00 | -0.60 | 0.00 | 0.21 | 0.73 | |||
| FHNFX | 0.18 | -0.01 | 0.00 | -0.33 | 0.00 | 0.33 | 1.19 |
Risk Metrics, Assumptions & Methodology
NAV dispersion for STATE STREET measures the spread of periodic returns around the mean, reflecting exposure variability. Higher dispersion implies a wider range of plausible outcomes for any given holding period.
Data shown for State Street Aggregate is aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Source publication timing can introduce delays. 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
State Street Aggregate currently shows materially lower return volatility than Dow Jones Industrial, with a relative multiple of about 3.7. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use State Street Aggregate to enhance the returns of the portfolio. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a normal upward fluctuation. Check odds of STATE STREET to be traded at $91.02 in 90 days.Weak diversification
For the present investment horizon, the measured correlation between STATE STREET and Dow Jones stands at 0.41, or Weak diversification. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
STATE STREET Additional Risk Indicators
Risk analysis around State Street Aggregate becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.03 | |||
| Market Risk Adjusted Performance | -0.16 | |||
| Mean Deviation | 0.1707 | |||
| Coefficient Of Variation | -10,388 | |||
| Standard Deviation | 0.2275 | |||
| Variance | 0.0518 | |||
| Information Ratio | 0.1905 |
STATE STREET Suggested Diversification Pairs
Pair analysis around State Street Aggregate matters because it can turn one security idea into a more market-neutral structure. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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.