State Street Correlations

Mutual Funds . USA . 
Fund . State Street Income
SSASX Fund  USD 10.05  0.02  0.20%   
The current 90-days correlation between State Street Income and State Street Target is 0.17 (i.e., Average 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 Income and DJI is 0.6 (i.e., Poor 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 producer price index.

Moving together with State Mutual Fund

  0.65SSAHX State Street TargetPairCorr
  0.64SSAJX State Street TargetPairCorr
  0.94SSAFX State Street AggregatePairCorr
  0.63SSAOX State Street TargetPairCorr
  0.63SSAKX State Street TargetPairCorr
  0.68SSBYX State Street TargetPairCorr
  0.63SSCKX State Street TargetPairCorr
  0.65SSCQX State Street TargetPairCorr
  0.63SSAWX State Street TargetPairCorr
  0.63SSAZX State Street TargetPairCorr
  0.63SSAYX State Street TargetPairCorr
  0.63SSAUX State Street TargetPairCorr
  0.65SSBSX State Street TargetPairCorr
  0.63SSDYX State Street TargetPairCorr
  0.63SSDEX State Street TargetPairCorr
  0.63SSDLX State Street TargetPairCorr
  0.64SSDQX State Street TargetPairCorr
  0.66SSGLX State Street GlobalPairCorr
  0.66SSGHX State Street GlobalPairCorr
  0.66SSGJX State Street GlobalPairCorr
  0.67SSGVX State Street GlobalPairCorr
  0.96SSFDX State Street AggregatePairCorr
  0.96SSFCX State Street AggregatePairCorr
  0.64SSFJX State Street TargetPairCorr
  0.64SSFKX State Street TargetPairCorr
  0.96SSFEX State Street AggregatePairCorr
  0.68SSFOX State Street TargetPairCorr
  0.67SSIQX Ssga International StockPairCorr
  0.67SSILX Ssga International StockPairCorr
  0.68SSHQX State Street HedgedPairCorr
  0.63SSKEX State Street EmergingPairCorr

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
SSAHX  0.28  0.06  0.05  0.26  0.00 
(0.34)
 0.54 
(0.49)
 3.33 
SSAJX  0.37  0.08  0.09  0.27  0.17 
(0.43)
 0.69 
(0.66)
 4.86 
SSAFX  0.15  0.02 (0.22) 0.93  0.06 
(0.16)
 0.31 
(0.27)
 0.97 
SSAOX  0.51  0.09  0.09  0.22  0.42 
(0.58)
 0.95 
(1.05)
 5.60 
SSAQX  0.77  0.11  0.12  0.16  0.64 
(0.89)
 1.14 
(1.35)
 16.13 
SSAKX  0.49  0.09  0.10  0.24  0.37 
(0.57)
 0.89 
(0.92)
 5.91 
SSBYX  0.31  0.02 (0.03) 0.11  0.34 
(0.35)
 0.66 
(0.71)
 1.92 
SSCKX  0.45  0.09  0.10  0.25  0.32 
(0.53)
 0.84 
(0.83)
 5.34 
SSCQX  0.42  0.02  0.00  0.10  0.45 
(0.48)
 0.79 
(0.92)
 2.34 
SSAWX  0.52  0.07  0.06  0.16  0.50 
(0.57)
 1.05 
(1.14)
 4.09 

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