State Street Correlations

SALXX Fund

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The current 90-days correlation between State Street Master and Davis Financial Fund is 0.03 (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

Significant diversification

The correlation between State Street Master and DJI is 0.07 (i.e., Significant 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.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in State Street Master. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving against State Money Market Fund

0.6	PFHCX	Pacific Funds Small	Pair Corr
0.69	BA	Boeing Fiscal Year End 29th of January 2025	Pair Corr
0.32	MRK	Merck Company Fiscal Year End 6th of February 2025	Pair Corr

Related Correlations Analysis

	RPFGX	MSVIX	PFSQX	IAAEX	VFAIX	MCBXX
RPFGX		0.73	0.95	0.76	0.96	0.34	RPFGX
MSVIX	0.73		0.81	0.91	0.77	0.08	MSVIX
PFSQX	0.95	0.81		0.83	1.0	0.34	PFSQX
IAAEX	0.76	0.91	0.83		0.82	-0.04	IAAEX
VFAIX	0.96	0.77	1.0	0.82		0.31	VFAIX
MCBXX	0.34	0.08	0.34	-0.04	0.31		MCBXX
	RPFGX	MSVIX	PFSQX	IAAEX	VFAIX	MCBXX

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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

VFAIX	+ 1.0	PFSQX
VFAIX	+ 0.96	RPFGX
PFSQX	+ 0.95	RPFGX
IAAEX	+ 0.91	MSVIX
IAAEX	+ 0.83	PFSQX
VFAIX	+ 0.82	IAAEX

High negative correlations

MCBXX

- 0.04

IAAEX

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
RPFGX	0.80	0.22	0.10	(1.32)	0.52	(0.96)	1.85	(1.40)	7.59
MSVIX	0.82	(0.06)	(0.02)	0.08	0.83	(0.95)	2.14	(1.41)	5.71
PFSQX	0.80	0.06	0.13	0.16	0.50	(0.99)	1.58	(1.42)	8.34
IAAEX	0.54	(0.03)	(0.09)	0.09	0.51	(0.62)	1.33	(0.98)	3.17
VFAIX	0.78	0.08	0.15	0.18	0.51	(0.93)	1.77	(1.22)	8.51
MCBXX	0.03	0.01	0.00	(0.12)	0.00	0.00	0.00	0.00	1.01

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