State Street Correlations

SPGSX Fund

USD 118.78 0.07 0.06%

The current 90-days correlation between State Street Premier and Morningstar Municipal Bond is -0.04 (i.e., Good 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

Modest diversification

The correlation between State Street Premier and DJI is 0.2 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Premier 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 Premier. 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 state.

Moving together with State Mutual Fund

0.65	HPQ	HP Inc	Pair Corr
0.63	AA	Alcoa Corp	Pair Corr
0.64	VZ	Verizon Communications	Pair Corr

Moving against State Mutual Fund

0.61	LFRIX	Floating Rate	Pair Corr
0.56	MMM	3M Company	Pair Corr
0.52	BA	Boeing	Pair Corr
0.46	JPM	JPMorgan Chase	Pair Corr
0.42	AXP	American Express	Pair Corr
0.32	GE	GE Aerospace	Pair Corr
0.31	PFE	Pfizer Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	MSTPX	GCMVX	SNCAX	NSIOX	FCSCX	DNCGX	LOISX	ATOAX
MSTPX		0.98	0.98	0.94	0.11	0.85	0.91	0.0	MSTPX
GCMVX	0.98		0.96	0.95	0.17	0.83	0.93	0.05	GCMVX
SNCAX	0.98	0.96		0.89	0.03	0.85	0.86	-0.11	SNCAX
NSIOX	0.94	0.95	0.89		0.42	0.72	0.89	0.31	NSIOX
FCSCX	0.11	0.17	0.03	0.42		-0.08	0.24	0.93	FCSCX
DNCGX	0.85	0.83	0.85	0.72	-0.08		0.72	-0.27	DNCGX
LOISX	0.91	0.93	0.86	0.89	0.24	0.72		0.16	LOISX
ATOAX	0.0	0.05	-0.11	0.31	0.93	-0.27	0.16		ATOAX
	MSTPX	GCMVX	SNCAX	NSIOX	FCSCX	DNCGX	LOISX	ATOAX

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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

GCMVX	+ 0.98	MSTPX
SNCAX	+ 0.98	MSTPX
SNCAX	+ 0.96	GCMVX
NSIOX	+ 0.95	GCMVX
NSIOX	+ 0.94	MSTPX
LOISX	+ 0.93	GCMVX

High negative correlations

ATOAX	- 0.27	DNCGX
ATOAX	- 0.11	SNCAX
DNCGX	- 0.08	FCSCX
ATOAX	- 0.0	MSTPX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MSTPX	0.14	0.00	(0.27)	0.06	0.18	(0.19)	0.30	(0.30)	1.31
GCMVX	0.11	0.00	(0.35)	(0.03)	0.13	(0.15)	0.20	(0.30)	0.90
SNCAX	0.13	(0.01)	(0.35)	(0.10)	0.19	(0.14)	0.29	(0.29)	0.94
NSIOX	0.19	0.01	(0.17)	0.35	0.22	(0.26)	0.50	(0.40)	1.62
FCSCX	0.06	0.00	(0.58)	0.35	0.00	(0.25)	0.13	(0.13)	0.67
DNCGX	0.20	(0.01)	(0.38)	(0.15)	0.23	(0.24)	0.40	(0.48)	1.20
LOISX	0.15	0.00	(0.25)	0.55	0.18	(0.20)	0.30	(0.29)	1.28
ATOAX	0.03	0.00	0.00	(0.24)	0.00	0.00	0.10	0.00	0.40

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