State Street Correlations

SSCQX Fund

USD 16.55 0.08 0.49%

The current 90-days correlation between State Street Target and T Rowe Price is 0.07 (i.e., Significant 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

Almost no diversification

The correlation between State Street Target and DJI is 0.91 (i.e., Almost no 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.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in State Street Target. 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

0.95	SSAHX	State Street Target	Pair Corr
0.95	SSAJX	State Street Target	Pair Corr
0.65	SSAFX	State Street Aggregate	Pair Corr
0.96	SSAOX	State Street Target	Pair Corr
0.95	SSAKX	State Street Target	Pair Corr
0.96	SSBYX	State Street Target	Pair Corr
0.95	SSCKX	State Street Target	Pair Corr
0.98	SSAWX	State Street Target	Pair Corr
0.93	SSAZX	State Street Target	Pair Corr
0.96	SSAYX	State Street Target	Pair Corr
0.65	SSASX	State Street Income	Pair Corr
0.95	SSAUX	State Street Target	Pair Corr
0.94	SSBSX	State Street Target	Pair Corr
0.98	SSDYX	State Street Target	Pair Corr
0.78	SSEYX	State Street Equity	Pair Corr
0.96	SSDEX	State Street Target	Pair Corr
0.97	SSDLX	State Street Target	Pair Corr
1.0	SSDQX	State Street Target	Pair Corr
0.96	SSGLX	State Street Global	Pair Corr
0.97	SSGHX	State Street Global	Pair Corr
0.96	SSGJX	State Street Global	Pair Corr
0.96	SSGVX	State Street Global	Pair Corr
0.63	SSFDX	State Street Aggregate	Pair Corr
0.62	SSFCX	State Street Aggregate	Pair Corr
1.0	SSFJX	State Street Target	Pair Corr
0.96	SSFKX	State Street Target	Pair Corr
0.66	SSFEX	State Street Aggregate	Pair Corr
0.79	SSFRX	State Street Equity	Pair Corr
0.95	SSFPX	State Street Target	Pair Corr
0.95	SSFOX	State Street Target	Pair Corr
0.95	SSIQX	Ssga International Stock	Pair Corr
0.95	SSILX	Ssga International Stock	Pair Corr
0.95	SSHQX	State Street Hedged	Pair Corr
0.93	SSKEX	State Street Emerging	Pair Corr
0.9	SSMLX	State Street Smallmid	Pair Corr
0.9	SSMKX	State Street Smallmid	Pair Corr
0.89	SSMHX	State Street Smallmid	Pair Corr
0.94	SSMJX	State Street Smallmid	Pair Corr

Related Correlations Analysis

	SSBYX	MACFX	JRBYX	CCFAX	FFFCX	SSDQX	NBSRX	FHAPX	FHCIX	TRRAX
SSBYX		0.97	0.97	0.96	0.99	0.96	0.87	1.0	-0.06	1.0	SSBYX
MACFX	0.97		1.0	0.99	0.96	0.99	0.84	0.97	-0.07	0.97	MACFX
JRBYX	0.97	1.0		0.99	0.96	1.0	0.84	0.97	-0.12	0.97	JRBYX
CCFAX	0.96	0.99	0.99		0.94	0.99	0.86	0.96	-0.03	0.96	CCFAX
FFFCX	0.99	0.96	0.96	0.94		0.95	0.83	0.99	-0.12	0.99	FFFCX
SSDQX	0.96	0.99	1.0	0.99	0.95		0.84	0.96	-0.11	0.96	SSDQX
NBSRX	0.87	0.84	0.84	0.86	0.83	0.84		0.89	0.03	0.86	NBSRX
FHAPX	1.0	0.97	0.97	0.96	0.99	0.96	0.89		-0.05	1.0	FHAPX
FHCIX	-0.06	-0.07	-0.12	-0.03	-0.12	-0.11	0.03	-0.05		-0.05	FHCIX
TRRAX	1.0	0.97	0.97	0.96	0.99	0.96	0.86	1.0	-0.05		TRRAX
	SSBYX	MACFX	JRBYX	CCFAX	FFFCX	SSDQX	NBSRX	FHAPX	FHCIX	TRRAX

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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

FHAPX	+ 1.0	SSBYX
TRRAX	+ 1.0	SSBYX
JRBYX	+ 1.0	MACFX
SSDQX	+ 1.0	JRBYX
TRRAX	+ 1.0	FHAPX
FFFCX	+ 0.99	SSBYX

High negative correlations

FHCIX	- 0.12	FFFCX
FHCIX	- 0.12	JRBYX
FHCIX	- 0.11	SSDQX
FHCIX	- 0.07	MACFX
FHCIX	- 0.06	SSBYX
TRRAX	- 0.05	FHCIX

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
SSBYX	0.31	0.02	0.00	0.10	0.34	(0.35)	0.66	(0.71)	1.92
MACFX	0.24	0.03	(0.03)	0.93	0.21	(0.27)	0.54	(0.48)	1.32
JRBYX	0.32	0.05	0.01	3.16	0.32	(0.35)	0.67	(0.63)	1.90
CCFAX	0.36	0.04	0.00	(5.04)	0.42	(0.40)	0.72	(0.75)	2.12
FFFCX	0.19	0.02	(0.04)	0.15	0.08	(0.23)	0.41	(0.40)	0.95
SSDQX	0.49	0.07	0.03	(2.76)	0.56	(0.54)	1.00	(1.20)	2.94
NBSRX	0.66	0.06	0.05	0.13	0.68	(0.70)	1.37	(1.32)	6.88
FHAPX	0.53	0.05	0.05	0.11	0.62	(0.56)	1.04	(1.33)	3.49
FHCIX	0.73	(0.03)	(0.05)	(0.01)	0.85	(0.90)	1.68	(1.58)	4.67
TRRAX	0.25	0.02	(0.01)	0.11	0.23	(0.29)	0.57	(0.51)	1.47

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