State Street Correlations
| GVMXX Fund | USD 1.00 0.00 0.00% |
The current 90-days correlation between State Street Master and Vanguard Total Stock is 0.01 (i.e., Significant diversification). The correlation of State Street 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 Street Correlation With Market
Good diversification
The correlation between State Street Master and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Master and DJI in the same portfolio, assuming nothing else is changed.
State |
Moving together with State Money Market Fund
| 0.62 | CSCO | Cisco Systems Aggressive Push | PairCorr |
| 0.63 | BAC | Bank of America Sell-off Trend | PairCorr |
| 0.62 | AXP | American Express Earnings Call This Week | PairCorr |
Moving against State Money Market Fund
| 0.88 | KO | Coca Cola Aggressive Push | PairCorr |
| 0.81 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
| 0.79 | PFHCX | Pacific Funds Small | PairCorr |
| 0.76 | PFE | Pfizer Inc Earnings Call Next Week | PairCorr |
| 0.67 | MCD | McDonalds Fiscal Year End 3rd of February 2025 | PairCorr |
| 0.63 | VGTSX | Vanguard Total Inter | PairCorr |
| 0.63 | VTIAX | Vanguard Total Inter | PairCorr |
| 0.63 | NHS | Neuberger Berman High | PairCorr |
| 0.56 | GE | GE Aerospace Earnings Call Tomorrow | PairCorr |
| 0.45 | DD | Dupont De Nemours Fiscal Year End 4th of February 2025 | PairCorr |
| 0.41 | XOM | Exxon Mobil Corp Aggressive Push | PairCorr |
| 0.33 | HPQ | HP Inc | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 Money Market Fund performing well and State Street Money Market 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 Street'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VTSAX | 0.60 | 0.03 | 0.02 | 0.12 | 0.86 | 1.30 | 5.93 | |||
| VFIAX | 0.58 | 0.03 | 0.01 | 0.10 | 0.84 | 1.23 | 5.48 | |||
| VTSMX | 0.60 | 0.03 | 0.02 | 0.11 | 0.86 | 1.29 | 5.95 | |||
| VITSX | 0.60 | 0.03 | 0.02 | 0.12 | 0.86 | 1.30 | 5.95 | |||
| VSTSX | 0.60 | 0.03 | 0.02 | 0.12 | 0.86 | 1.29 | 5.94 | |||
| VSMPX | 0.60 | 0.03 | 0.02 | 0.12 | 0.86 | 1.29 | 5.94 | |||
| VFINX | 0.58 | 0.03 | 0.01 | 0.10 | 0.84 | 1.23 | 5.48 | |||
| VFFSX | 0.58 | 0.03 | 0.01 | 0.10 | 0.84 | 1.23 | 5.47 | |||
| VGTSX | 0.55 | (0.10) | 0.00 | (0.40) | 0.00 | 0.93 | 3.44 | |||
| VTIAX | 0.54 | (0.10) | 0.00 | (0.40) | 0.00 | 0.96 | 3.47 |