State Street Correlations

SSASX Fund

USD 9.98 0.01 0.10%

The current 90-days correlation between State Street Income and Inverse Government Long is -0.82 (i.e., Pay attention - limited upside). 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 Income and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Income 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 Income. 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 real.

Moving together with State Mutual Fund

0.91	SSAFX	State Street Aggregate	Pair Corr
0.84	SSFDX	State Street Aggregate	Pair Corr
0.96	SSFCX	State Street Aggregate	Pair Corr
0.84	SSFEX	State Street Aggregate	Pair Corr

Related Correlations Analysis

	RYAQX	GVTFX	SIGVX	CGTFX	JGBZX	SNGYX	PYUSX
RYAQX		-0.08	0.63	-0.14	-0.27	0.16	0.42	RYAQX
GVTFX	-0.08		0.69	0.99	0.79	0.93	0.86	GVTFX
SIGVX	0.63	0.69		0.64	0.39	0.8	0.93	SIGVX
CGTFX	-0.14	0.99	0.64		0.8	0.91	0.83	CGTFX
JGBZX	-0.27	0.79	0.39	0.8		0.76	0.59	JGBZX
SNGYX	0.16	0.93	0.8	0.91	0.76		0.91	SNGYX
PYUSX	0.42	0.86	0.93	0.83	0.59	0.91		PYUSX
	RYAQX	GVTFX	SIGVX	CGTFX	JGBZX	SNGYX	PYUSX

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

CGTFX	+ 0.99	GVTFX
SNGYX	+ 0.93	GVTFX
PYUSX	+ 0.93	SIGVX
SNGYX	+ 0.91	CGTFX
PYUSX	+ 0.91	SNGYX
PYUSX	+ 0.86	GVTFX

High negative correlations

JGBZX	- 0.27	RYAQX
CGTFX	- 0.14	RYAQX
GVTFX	- 0.08	RYAQX

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
RYAQX	0.39	0.02	(0.11)	(0.04)	0.45	(0.44)	0.98	(0.75)	2.24
GVTFX	0.14	0.01	(0.23)	0.26	0.04	(0.18)	0.33	(0.25)	0.91
SIGVX	0.06	0.01	(0.46)	(4.80)	0.00	(0.15)	0.10	(0.10)	0.51
CGTFX	0.14	0.01	(0.24)	0.26	0.05	(0.17)	0.33	(0.25)	0.91
JGBZX	0.15	0.01	(0.26)	1.70	0.11	(0.18)	0.31	(0.31)	1.03
SNGYX	0.13	0.01	(0.29)	0.24	0.00	(0.18)	0.29	(0.19)	0.77
PYUSX	0.09	0.01	(0.39)	0.50	0.00	(0.16)	0.21	(0.11)	0.53

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