State Street Correlations
| SSAUX Fund | 17.24 0.09 0.52% |
The current 90-days correlation between State Street Target and Rmb Mendon Financial is 0.3 (i.e., 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
Poor diversification
The correlation between State Street Target and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Target and DJI in the same portfolio, assuming nothing else is changed.
State |
Moving together with State Mutual Fund
| 0.94 | SSAJX | State Street Target | PairCorr |
| 0.99 | SSAOX | State Street Target | PairCorr |
| 0.93 | SSBYX | State Street Target | PairCorr |
| 0.97 | SSCQX | State Street Target | PairCorr |
| 0.9 | SSBSX | State Street Target | PairCorr |
| 0.98 | SSDYX | State Street Target | PairCorr |
| 1.0 | SSDLX | State Street Target | PairCorr |
| 0.99 | SSDQX | State Street Target | PairCorr |
| 0.81 | SSGLX | State Street Global | PairCorr |
| 0.89 | SSFOX | State Street Target | PairCorr |
| 0.74 | SSSYX | State Street Equity | PairCorr |
| 0.94 | ELDFX | Elfun Diversified | PairCorr |
| 0.9 | ELFNX | Elfun Trusts Elfun | PairCorr |
| 0.79 | CCITX | American Funds 2050 | PairCorr |
| 0.72 | FIPFX | Fidelity Freedom Index Potential Growth | PairCorr |
| 0.72 | FFOPX | Fidelity Freedom Index Potential Growth | PairCorr |
| 0.65 | FFFHX | Fidelity Freedom 2050 | PairCorr |
| 0.66 | FZTKX | Fidelity Freedom 2050 | PairCorr |
Related Correlations Analysis
| 0.89 | 0.75 | 0.96 | 0.0 | 0.87 | 0.62 | RMBLX | ||
| 0.89 | 0.88 | 0.86 | 0.0 | 0.9 | 0.6 | VFAIX | ||
| 0.75 | 0.88 | 0.64 | 0.0 | 0.7 | 0.59 | BTO | ||
| 0.96 | 0.86 | 0.64 | 0.0 | 0.85 | 0.62 | GCFSX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | MCBXX | ||
| 0.87 | 0.9 | 0.7 | 0.85 | 0.0 | 0.43 | PSSRX | ||
| 0.62 | 0.6 | 0.59 | 0.62 | 0.0 | 0.43 | XFINX | ||
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
| High negative correlations
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RMBLX | 1.03 | 0.17 | 0.12 | 0.22 | 1.14 | 3.00 | 7.72 | |||
| VFAIX | 0.66 | (0.02) | (0.02) | 0.03 | 0.94 | 1.34 | 4.27 | |||
| BTO | 0.96 | (0.06) | (0.04) | 0.00 | 1.53 | 1.91 | 7.11 | |||
| GCFSX | 0.52 | 0.08 | 0.09 | 0.15 | 0.53 | 1.39 | 3.52 | |||
| MCBXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| PSSRX | 0.88 | 0.12 | 0.12 | 0.16 | 0.84 | 1.89 | 11.60 | |||
| XFINX | 0.14 | (0.01) | (0.17) | (0.09) | 0.26 | 0.22 | 1.44 |