State Farm Correlations
| STFGX Fund | USD 120.54 0.46 0.38% |
The current 90-days correlation between State Farm Growth and Prudential California Muni is 0.17 (i.e., Average 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
Modest diversification
The correlation between State Farm Growth and DJI is 0.28 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm Growth and DJI in the same portfolio, assuming nothing else is changed.
State |
Moving together with State Mutual Fund
| 1.0 | STFBX | State Farm Balanced | PairCorr |
| 0.64 | VINIX | Vanguard Institutional | PairCorr |
| 0.64 | VIIIX | Vanguard Institutional | PairCorr |
| 0.88 | BRUFX | Bruce Fund Bruce | PairCorr |
| 0.76 | SPGSX | State Street Premier | PairCorr |
Moving against State Mutual Fund
| 0.74 | JSOSX | Jpmorgan Strategic Income | PairCorr |
| 0.58 | PKCRX | Payden/kravitz Cash | PairCorr |
| 0.57 | DFLAX | Dreyfus Floating Rate | PairCorr |
| 0.53 | CFRAX | Catalyst/princeton | PairCorr |
| 0.35 | ASCIX | American Beacon Small | PairCorr |
| 0.8 | CWXIX | Catalyst/warrington | PairCorr |
| 0.51 | EVFHX | Eaton Vance Floating | PairCorr |
| 0.47 | FFRTX | Fidelity Advisor Floating | PairCorr |
| 0.36 | ASGHX | Short Term Government | PairCorr |
Related Correlations Analysis
| 0.0 | 0.25 | 0.93 | 0.92 | 0.98 | 0.94 | PBCAX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | LGRXX | ||
| 0.25 | 0.0 | 0.23 | 0.32 | 0.18 | 0.15 | FCSCX | ||
| 0.93 | 0.0 | 0.23 | 0.99 | 0.94 | 0.99 | FITSX | ||
| 0.92 | 0.0 | 0.32 | 0.99 | 0.92 | 0.97 | RGVAX | ||
| 0.98 | 0.0 | 0.18 | 0.94 | 0.92 | 0.95 | PMUAX | ||
| 0.94 | 0.0 | 0.15 | 0.99 | 0.97 | 0.95 | JGIFX | ||
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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
| High negative correlations
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PBCAX | 0.11 | 0.00 | 0.03 | 0.08 | 0.11 | 0.30 | 0.92 | |||
| LGRXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FCSCX | 0.06 | 0.01 | 0.13 | 1.86 | 0.00 | 0.13 | 0.67 | |||
| FITSX | 0.26 | 0.03 | 0.09 | 0.31 | 0.24 | 0.57 | 1.60 | |||
| RGVAX | 0.25 | 0.02 | 0.09 | 0.29 | 0.22 | 0.60 | 1.72 | |||
| PMUAX | 0.13 | 0.00 | 0.04 | 0.09 | 0.16 | 0.25 | 0.91 | |||
| JGIFX | 0.24 | 0.01 | 0.06 | 0.26 | 0.24 | 0.52 | 1.43 |