State Farm Correlations

SFITX Fund

USD 9.76 0.01 0.10%

The current 90-days correlation between State Farm Interim and Prudential Jennison International is -0.06 (i.e., 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

Poor diversification

The correlation between State Farm Interim and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm Interim 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 Interim. 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 persons.

Moving together with State Mutual Fund

0.74	STFGX	State Farm Growth	Pair Corr
0.74	STFBX	State Farm Balanced	Pair Corr
0.78	SIIAX	State Farm International	Pair Corr
0.9	VFIRX	Vanguard Short Term	Pair Corr
0.9	VFISX	Vanguard Short Term	Pair Corr
0.84	VSBIX	Vanguard Short Term	Pair Corr
0.9	VSGBX	Vanguard Short Term	Pair Corr
0.88	VSGDX	Vanguard Short Term	Pair Corr
0.92	FUMBX	Fidelity Short Term	Pair Corr
0.83	ECLDX	Eaton Vance Short	Pair Corr
0.82	EALDX	Eaton Vance Short	Pair Corr
0.88	EILDX	Eaton Vance Short	Pair Corr
0.88	EASDX	Eaton Vance Short	Pair Corr
0.71	EKWDX	Wells Fargo Advantage	Pair Corr
0.73	NOVIX	Glenmede International	Pair Corr
0.67	PELBX	Pimco Emerging Local	Pair Corr
0.7	TLWIX	Tiaa Cref Lifecycle	Pair Corr
0.68	JLFIX	Retirement Living Through	Pair Corr
0.72	JMUEX	Jpmorgan Equity	Pair Corr
0.71	MRLTX	Amg Renaissance Large	Pair Corr
0.69	HICVX	Hennessy Nerstone Value	Pair Corr
0.79	PRXIX	T Rowe Price	Pair Corr
0.69	TWRCX	Growth Fund C	Pair Corr
0.66	BNIVX	Advisors Inner Circle	Pair Corr
0.65	TECIX	T Rowe Price	Pair Corr
0.69	NOIAX	Natixis Oakmark Inte	Pair Corr
0.73	GSHCX	Goldman Sachs High	Pair Corr

Related Correlations Analysis

	STFGX	STFBX	SFBDX	SFITX	SIIAX	MNDVUX	NWWAX	SMGASX	PWJQX
STFGX		0.98	0.88	0.74	0.92	0.89	0.0	0.0	0.62	STFGX
STFBX	0.98		0.87	0.74	0.91	0.9	0.0	0.0	0.6	STFBX
SFBDX	0.88	0.87		0.57	0.83	0.79	0.0	0.0	0.62	SFBDX
SFITX	0.74	0.74	0.57		0.78	0.69	0.0	0.0	0.39	SFITX
SIIAX	0.92	0.91	0.83	0.78		0.88	0.0	0.0	0.62	SIIAX
MNDVUX	0.89	0.9	0.79	0.69	0.88		0.0	0.0	0.61	MNDVUX
NWWAX	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	NWWAX
SMGASX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	SMGASX
PWJQX	0.62	0.6	0.62	0.39	0.62	0.61	0.0	0.0		PWJQX
	STFGX	STFBX	SFBDX	SFITX	SIIAX	MNDVUX	NWWAX	SMGASX	PWJQX

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	+ 0.98	STFGX
SIIAX	+ 0.92	STFGX
SIIAX	+ 0.91	STFBX
MNDVUX	+ 0.9	STFBX
MNDVUX	+ 0.89	STFGX
SFBDX	+ 0.88	STFGX

High negative correlations

PWJQX	- 0.0	SMGASX
PWJQX	- 0.0	NWWAX
SMGASX	- 0.0	NWWAX
SMGASX	- 0.0	MNDVUX
NWWAX	- 0.0	MNDVUX
SMGASX	- 0.0	SIIAX

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	0.57	0.14	0.16	0.29	0.39	(0.70)	1.23	(1.05)	5.97
STFBX	0.43	0.17	0.19	9.37	0.00	(0.54)	1.01	(0.69)	5.71
SFBDX	0.07	0.01	(0.53)	7.72	0.00	(0.13)	0.12	(0.12)	0.37
SFITX	0.08	0.01	(0.68)	(0.21)	0.00	(0.14)	0.21	(0.10)	0.51
SIIAX	0.20	0.04	(0.13)	0.73	0.00	(0.24)	0.50	(0.37)	1.29
MNDVUX	0.53	0.11	0.03	(1.19)	0.47	(0.67)	1.38	(0.87)	4.98
NWWAX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SMGASX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PWJQX	0.81	(0.05)	(0.06)	0.02	1.02	(0.89)	1.86	(2.01)	4.28

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