State Farm Correlations

SIIAX Fund

USD 16.77 0.02 0.12%

The current 90-days correlation between State Farm International and State Farm Growth is 0.44 (i.e., Very weak 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

Weak diversification

The correlation between State Farm International and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm International 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 International. 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 nation.

Moving together with State Mutual Fund

0.84	SFITX	State Farm Interim	Pair Corr
0.7	PAALX	All Asset Fund	Pair Corr
0.72	PATRX	Pimco All Asset	Pair Corr
0.69	PAAIX	All Asset Fund	Pair Corr
0.7	PALPX	Pimco All Asset	Pair Corr
0.71	PASAX	All Asset Fund	Pair Corr
0.74	PASCX	All Asset Fund	Pair Corr
0.69	PAANX	Pimco All Asset	Pair Corr
0.83	PAUPX	Pimco All Asset	Pair Corr
0.82	PAUIX	Pimco All Asset	Pair Corr
0.82	BRUFX	Bruce Fund Bruce	Pair Corr
0.73	KF	Korea Closed	Pair Corr

Moving against State Mutual Fund

0.51	STFGX	State Farm Growth	Pair Corr
0.43	XGEIX	Guggenheim Energy Income	Pair Corr
0.42	STFBX	State Farm Balanced	Pair Corr
0.31	RYMEX	Commodities Strategy Steady Growth	Pair Corr
0.6	SPGSX	State Street Premier	Pair Corr
0.59	FSELX	Fidelity Select Semi	Pair Corr
0.58	VFINX	Vanguard 500 Index	Pair Corr
0.55	PRNHX	T Rowe Price	Pair Corr
0.53	OWLSX	Old Westbury Large	Pair Corr
0.43	PSAPX	Smallcap Sp 600	Pair Corr
0.41	TDF	Templeton Dragon Closed	Pair Corr
0.4	FGB	First Trust Specialty	Pair Corr
0.34	WBVNX	William Blair Small	Pair Corr
0.31	RYMBX	Commodities Strategy Steady Growth	Pair Corr
0.65	PMSBX	Midcap Fund R	Pair Corr
0.62	VFAIX	Vanguard Financials Index	Pair Corr
0.61	GCPCX	Gateway Equity Call	Pair Corr
0.61	GCPYX	Gateway Equity Call	Pair Corr

Related Correlations Analysis

	STFGX	STFBX	SFBDX	SFITX	SIIAX
STFGX		0.99	0.03	-0.6	-0.51	STFGX
STFBX	0.99		0.09	-0.53	-0.42	STFBX
SFBDX	0.03	0.09		0.64	0.41	SFBDX
SFITX	-0.6	-0.53	0.64		0.84	SFITX
SIIAX	-0.51	-0.42	0.41	0.84		SIIAX
	STFGX	STFBX	SFBDX	SFITX	SIIAX

Click cells to compare fundamentals

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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

STFBX	+ 0.99	STFGX
SIIAX	+ 0.84	SFITX
SFITX	+ 0.64	SFBDX
SIIAX	+ 0.41	SFBDX
SFBDX	+ 0.09	STFBX
SFBDX	+ 0.03	STFGX

High negative correlations

SFITX	- 0.6	STFGX
SFITX	- 0.53	STFBX
SIIAX	- 0.51	STFGX
SIIAX	- 0.42	STFBX

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
STFGX	0.43	0.04	0.01	0.15	0.30	(0.52)	0.87	(0.82)	3.20
STFBX	0.33	0.01	(0.09)	0.12	0.20	(0.40)	0.63	(0.57)	2.37
SFBDX	0.12	(0.01)	0.00	0.27	0.00	0.00	0.25	(0.37)	0.99
SFITX	0.11	(0.03)	0.00	1.21	0.00	0.00	0.21	(0.21)	0.62
SIIAX	0.24	(0.04)	0.00	(0.14)	0.00	0.00	0.42	(0.66)	1.89

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