State Farm Correlations

Mutual Funds USA . 
Fund . State Farm Balanced
STFBX Fund  USD 91.68  0.08  0.09%   
The current 90-days correlation between State Farm Balanced and State Farm Growth is 0.99 (i.e., No risk reduction). 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 poor diversification

The correlation between State Farm Balanced and DJI is 0.87 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Farm Balanced 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 Balanced. 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 bureau of labor statistics.

Moving together with State Mutual Fund

  1.0STFGX State Farm GrowthPairCorr
  0.95SFBDX State Farm MunicipalPairCorr
  0.67SFITX State Farm InterimPairCorr
  0.98SIIAX State Farm InternationalPairCorr
  0.99FBONX American Funds AmericanPairCorr
  0.99FBAFX American Funds AmericanPairCorr
  0.99ABALX American BalancedPairCorr
  0.99BALCX American BalancedPairCorr
  0.99BALFX American BalancedPairCorr
  0.99RLBCX American BalancedPairCorr
  0.99RLBBX American BalancedPairCorr
  0.99CLBAX American BalancedPairCorr
  0.99CLBEX American BalancedPairCorr
  0.99RLBFX American BalancedPairCorr
  0.97CPAYX Columbia Pacific/asiaPairCorr
  0.99CASAX Columbia Pacific/asiaPairCorr
  0.62CCCZX Center St BrookfieldPairCorr
  0.99CASCX Columbia PacificasiaPairCorr
  0.98MSKLX Mid Cap GrowthPairCorr
  0.98CISGX Touchstone Sands CapitalPairCorr
  0.98MPEGX Mid Cap GrowthPairCorr
  0.88IOFCX Alphacentric IncomePairCorr
  0.98RNPHX New PerspectivePairCorr
  0.65QMNIX Aqr Equity MarketPairCorr
  0.99CGFCX Growth FundPairCorr
  0.98LRSOX Lord Abbett SmallPairCorr
  0.99AMRMX American MutualPairCorr
  0.99AMRFX American MutualPairCorr
  0.99MRMLX Massmutual RetiresmartPairCorr
  0.99QCELX Aqr Large CapPairCorr
  0.99GFAFX Growth FundPairCorr
  0.78AIENX Strategic Enhanced YieldPairCorr
  0.99GWPFX American Funds GrowthPairCorr
  0.82RYVIX Energy ServicesPairCorr
  0.99RNGFX New Economy FundPairCorr
  0.99SSDWX State Street TargetPairCorr
  0.94PWJZX Prudential JennisonPairCorr
  0.99RNGHX New Economy FundPairCorr
  0.98BTEUX Baron Select FundsPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
STFGX  0.63  0.10  0.10  0.26  0.58 
(0.71)
 1.79 
(0.99)
 4.61 
STFBX  0.46  0.08  0.04  0.26  0.34 
(0.52)
 1.32 
(0.70)
 3.37 
SFBDX  0.11  0.02 (0.54) 0.75  0.00 
(0.18)
 0.26 
(0.13)
 0.76 
RGCYX  0.11  0.04 (0.38) 0.66  0.00 
(0.17)
 0.35 
(0.23)
 0.83 
IRTCX  0.53  0.05  0.01  0.20  0.47 
(0.62)
 1.43 
(1.02)
 3.51 
QVGIX  0.35  0.05 (0.07) 0.25  0.19 
(0.40)
 0.81 
(0.62)
 2.20 
OEGYX  0.78  0.18  0.14  0.34  0.74 
(0.86)
 2.34 
(1.26)
 4.99 
JHROX  0.49  0.11  0.09  0.30  0.32 
(0.58)
 1.64 
(1.26)
 3.46 
IDXHX  0.37  0.07  0.01  0.28  0.17 
(0.41)
 1.31 
(0.87)
 2.67 
FKAIX  0.89  0.18  0.17  0.31  0.73 
(1.04)
 2.41 
(1.62)
 6.11 

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