State Street Correlations

Mutual Funds . USA . 
Fund . State Street Core
SSAQX Fund  USD 74.96  1.22  1.65%   
The current 90-days correlation between State Street Core and T Rowe Price is 0.28 (i.e., Modest 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

Poor diversification

The correlation between State Street Core and DJI is 0.72 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Core 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 Core. 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 small area income & poverty estimates.

Moving together with State Mutual Fund

  0.63SSAHX State Street TargetPairCorr
  0.62SSAJX State Street TargetPairCorr
  0.71SSAFX State Street AggregatePairCorr
  0.63SSAOX State Street TargetPairCorr
  0.63SSAKX State Street TargetPairCorr
  0.71SSBYX State Street TargetPairCorr
  0.63SSCKX State Street TargetPairCorr
  0.7SSCQX State Street TargetPairCorr
  0.65SSAWX State Street TargetPairCorr
  0.63SSAZX State Street TargetPairCorr
  0.66SSAYX State Street TargetPairCorr
  0.64SSAUX State Street TargetPairCorr
  0.64SSBSX State Street TargetPairCorr
  0.66SSDYX State Street TargetPairCorr
  0.75SSEYX State Street EquityPairCorr
  0.63SSDEX State Street TargetPairCorr
  0.64SSDLX State Street TargetPairCorr
  0.7SSDQX State Street TargetPairCorr
  0.61SSGLX State Street GlobalPairCorr
  0.61SSGVX State Street GlobalPairCorr
  0.69SSFCX State Street AggregatePairCorr
  0.69SSFKX State Street TargetPairCorr
  0.74SSFEX State Street AggregatePairCorr
  0.74SSFRX State Street EquityPairCorr
  0.66SSFOX State Street TargetPairCorr
  0.68SSILX Ssga International StockPairCorr
  0.73SSMLX State Street SmallmidPairCorr
  0.72SSMHX State Street SmallmidPairCorr
  0.75SSSWX State Street EquityPairCorr
  0.75SSSYX State Street EquityPairCorr
  0.74SSSVX State Street EquityPairCorr
  0.75STBIX State Street EquityPairCorr
  0.67SUSSX State Street InstituPairCorr
  0.66SUSIX State Street InstituPairCorr
  0.75SVSPX Ssga Sp 500PairCorr
  0.76SIVIX State Street InstituPairCorr
  0.65EINFX Elfun IncomePairCorr
  0.62ELDFX Elfun DiversifiedPairCorr

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
VLXVX  0.52  0.01 (0.02) 0.09  0.62 
(0.55)
 1.00 
(1.16)
 2.84 
USPRX  0.59  0.00 (0.03) 0.08  0.73 
(0.62)
 1.55 
(1.26)
 4.17 
HGITX  0.75  0.12  0.16  0.19  0.52 
(0.89)
 1.50 
(1.13)
 15.06 
OMGNX  0.69  0.05  0.03  0.14  0.70 
(0.83)
 1.46 
(1.17)
 11.73 
WFPRX  0.69  0.09  0.11  0.18  0.49 
(0.80)
 1.85 
(1.14)
 3.09 
WFMDX  0.88  0.26  0.34  0.38  0.18 
(1.12)
 1.95 
(1.15)
 12.31 
VFH  0.72 (0.01)(0.01) 0.07  0.86 
(0.75)
 1.45 
(1.49)
 4.47 
VEVCX  0.66  0.18  0.22  0.33  0.27 
(0.81)
 1.67 
(0.97)
 4.66 
TRMCX  0.79  0.22  0.28  0.30  0.33 
(0.98)
 2.41 
(1.39)
 6.26 
PRITX  0.75  0.13  0.11  0.27  0.60 
(0.89)
 1.38 
(1.43)
 8.70 

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