State Farm Correlations

SFBDX Fund

USD 8.14 0.03 0.37%

The current 90-days correlation between State Farm Municipal and Amg River Road is -0.23 (i.e., Very good diversification). The correlation of State Farm is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

State Farm Correlation With Market

Very good diversification

The correlation between State Farm Municipal and DJI is -0.23 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm Municipal and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in State Farm Municipal. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with State Mutual Fund

0.64	SFITX	State Farm Interim	Pair Corr
0.98	VWITX	Vanguard Intermediate	Pair Corr
0.99	VWIUX	Vanguard Intermediate	Pair Corr
0.98	AFTEX	Tax Exempt Bond	Pair Corr
0.97	AFTFX	Tax Exempt Bond	Pair Corr
0.98	TEBCX	Tax Exempt Bond	Pair Corr
0.98	TEAFX	Tax Exempt Bond	Pair Corr
0.97	TFEBX	Tax Exempt Bond	Pair Corr
0.99	FLTMX	Fidelity Intermediate	Pair Corr
0.98	MDNLX	Blackrock National	Pair Corr
0.98	MFNLX	Blackrock Natl Muni	Pair Corr

Moving against State Mutual Fund

0.53	FLTTX	Wisdomtree Floating Rate	Pair Corr
0.31	BDJ	Blackrock Enhanced Equity	Pair Corr

Related Correlations Analysis

	ARSMX	MXLSX	QRSAX	LVAQX	WBVNX	HRVIX	PVCMX
ARSMX		0.98	0.99	0.97	0.96	0.98	0.5	ARSMX
MXLSX	0.98		0.98	0.99	0.99	0.99	0.46	MXLSX
QRSAX	0.99	0.98		0.98	0.96	0.98	0.56	QRSAX
LVAQX	0.97	0.99	0.98		0.99	1.0	0.48	LVAQX
WBVNX	0.96	0.99	0.96	0.99		0.99	0.46	WBVNX
HRVIX	0.98	0.99	0.98	1.0	0.99		0.47	HRVIX
PVCMX	0.5	0.46	0.56	0.48	0.46	0.47		PVCMX
	ARSMX	MXLSX	QRSAX	LVAQX	WBVNX	HRVIX	PVCMX

Click cells to compare fundamentals

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Risk-Adjusted Indicators

There is a big difference between State Mutual Fund performing well and State Farm Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze State Farm's multiple risk-adjusted performance indicators across the competitive landscape. 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
ARSMX	0.66	0.09	0.18	0.17	0.10	(0.96)	1.77	(0.79)	5.55
MXLSX	0.80	0.01	0.06	0.10	0.54	(1.01)	2.08	(1.10)	7.51
QRSAX	0.73	0.05	0.10	0.13	0.47	(0.87)	1.87	(1.25)	6.37
LVAQX	0.79	0.00	0.04	0.09	0.66	(0.97)	1.72	(1.35)	7.39
WBVNX	0.85	(0.01)	0.03	0.08	0.71	(1.00)	1.88	(1.35)	7.52
HRVIX	0.78	0.00	0.05	0.09	0.62	(0.91)	1.63	(1.23)	7.46
PVCMX	0.12	0.00	(0.53)	0.08	0.00	(0.15)	0.23	(0.23)	0.69

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