State Street Correlations

Mutual Funds . USA . 
Fund . State Street Institutional
SIVIX Fund  USD 15.67  0.26  1.63%   
The current 90-days correlation between State Street Institu and Virtus Emerging Markets is 0.46 (i.e., Very weak 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

Almost no diversification

The correlation between State Street Institutional and DJI is 0.95 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Institutional 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 Institutional. 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 gross domestic product.

Moving together with State Mutual Fund

  0.9SSAHX State Street TargetPairCorr
  0.89SSAJX State Street TargetPairCorr
  0.61SSAFX State Street AggregatePairCorr
  0.9SSAOX State Street TargetPairCorr
  0.72SSAQX State Street CorePairCorr
  0.89SSAKX State Street TargetPairCorr
  0.95SSBYX State Street TargetPairCorr
  0.9SSCKX State Street TargetPairCorr
  0.95SSCQX State Street TargetPairCorr
  0.92SSAWX State Street TargetPairCorr
  0.87SSAZX State Street TargetPairCorr
  0.93SSAYX State Street TargetPairCorr
  0.91SSAUX State Street TargetPairCorr
  0.9SSBSX State Street TargetPairCorr
  0.93SSDYX State Street TargetPairCorr
  0.84SSEYX State Street EquityPairCorr
  0.9SSDEX State Street TargetPairCorr
  0.91SSDLX State Street TargetPairCorr
  0.95SSDQX State Street TargetPairCorr
  0.91SSGLX State Street GlobalPairCorr
  0.88SSGHX State Street GlobalPairCorr
  0.91SSGJX State Street GlobalPairCorr
  0.91SSGVX State Street GlobalPairCorr
  0.65SSFDX State Street AggregatePairCorr
  0.9SSFJX State Street TargetPairCorr
  0.9SSFKX State Street TargetPairCorr
  0.65SSFEX State Street AggregatePairCorr
  0.85SSFRX State Street EquityPairCorr
  0.91SSFOX State Street TargetPairCorr
  0.89SSIQX Ssga International StockPairCorr
  0.89SSILX Ssga International StockPairCorr
  0.91SSHQX State Street HedgedPairCorr
  0.84SSKEX State Street EmergingPairCorr
  0.95SSMLX State Street SmallmidPairCorr
  0.92SSMKX State Street SmallmidPairCorr
  0.9SSMHX State Street SmallmidPairCorr
  0.88SSMJX State Street SmallmidPairCorr
  0.7SSQSX State Street InstituPairCorr
  0.79SSSWX State Street EquityPairCorr

Related Correlations Analysis


Risk-Adjusted Indicators

There is a big difference between State Mutual Fund performing well and State Street 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 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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
SSQSX  0.81 (0.03)(0.02) 0.04  1.07 
(0.89)
 2.20 
(1.64)
 6.87 
TCVAX  0.69  0.27  0.26  5.12  0.29 
(0.80)
 1.80 
(1.12)
 5.13 
GMXAX  0.97  0.36  0.35  1.61  0.30 
(1.20)
 1.90 
(1.38)
 15.70 
HNMDX  0.67  0.20  0.19  2.25  0.34 
(0.92)
 1.72 
(1.15)
 3.64 
GMXRX  0.98  0.27  0.31  0.34  0.37 
(1.25)
 1.90 
(1.40)
 16.37 
TUHYX  0.11  0.02 (0.24) 0.30  0.00 
(0.20)
 0.24 
(0.24)
 1.08 
HRMDX  0.66  0.19  0.17  2.58  0.34 
(0.89)
 1.71 
(1.12)
 3.64 
CRMMX  0.88  0.22  0.25  0.26  0.53 
(1.07)
 2.24 
(1.42)
 9.54 
HEMZX  0.60  0.03 (0.04) 0.32  0.72 
(0.67)
 1.25 
(1.38)
 3.38 
HIEMX  0.59  0.00 (0.04) 0.07  0.71 
(0.68)
 1.28 
(1.43)
 3.22 

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