State Street Correlations

Mutual Funds . USA . 
Fund . State Street Target
SSDDX Fund  USD 17.30  0.10  0.58%   
The current 90-days correlation between State Street Target and State Street Target is 0.94 (i.e., Almost no 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 0.9 (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 small area income & poverty estimates.

Moving together with State Mutual Fund

  0.92SSAIX Ssga International StockPairCorr
  1.0SSBWX State Street TargetPairCorr
  1.0SSCNX State Street TargetPairCorr
  1.0SSCJX State Street TargetPairCorr
  1.0SSBRX State Street TargetPairCorr
  1.0SSDOX State Street TargetPairCorr
  1.0SSDJX State Street TargetPairCorr
  0.99SSDWX State Street TargetPairCorr
  0.99SSFNX State Street TargetPairCorr
  0.96SSIPX Ssga International StockPairCorr
  0.96VTIVX Vanguard Target RetiPairCorr
  0.94AAHTX American Funds 2045PairCorr
  0.94CCHTX American Funds 2045PairCorr
  0.96FATTX American Funds 2045PairCorr
  0.96FIOFX Fidelity Freedom IndexPairCorr
  0.96FFOLX Fidelity Freedom IndexPairCorr
  0.97FFFGX Fidelity Freedom 2045PairCorr
  0.97FJTKX Fidelity Freedom 2045PairCorr
  0.94FAVPX Fidelity Freedom IndexPairCorr
  0.63CII Blackrock EnhancedPairCorr
  0.88ETV Eaton Vance TaxPairCorr
  0.69USA Liberty All StarPairCorr
  0.95NFJ Virtus Dividend InterestPairCorr
  0.65JPBEX Jp Morgan CorePairCorr
  0.73RREAX Global Real EstatePairCorr
  0.97GMNCX Gabelli Global MiniPairCorr
  0.92ALFAX Lord Abbett AlphaPairCorr
  0.91LGCVX Lord Abbett GlobalPairCorr
  0.82FSCRX Fidelity Small CapPairCorr
  0.92DAEMX Dunham Emerging MarketsPairCorr
  0.95FIQFX Fidelity China RegionPairCorr
  0.98NDARX American Funds RetirementPairCorr
  0.95JSIPX Jpmorgan SmartretirementPairCorr

Moving against State Mutual Fund

  0.57IIF Morgan Stanley IndiaPairCorr
  0.38IFN India ClosedPairCorr

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
SSAIX  0.63  0.19  0.21  0.32  0.47 
(0.72)
 1.36 
(1.30)
 3.43 
SSBWX  0.37  0.09  0.13  0.27  0.20 
(0.47)
 0.69 
(0.67)
 4.83 
SSCNX  0.48  0.11  0.15  0.25  0.32 
(0.58)
 0.90 
(0.87)
 5.95 
SSCJX  0.44  0.10  0.14  0.24  0.35 
(0.55)
 0.85 
(0.83)
 5.41 
SSBRX  0.27  0.07  0.11  0.27  0.00 
(0.34)
 0.55 
(0.47)
 3.21 
SSDDX  0.51  0.10  0.13  0.22  0.39 
(0.61)
 1.01 
(1.00)
 5.65 
SSDOX  0.53  0.08  0.10  0.16  0.49 
(0.63)
 1.06 
(1.21)
 4.01 
SSDJX  0.53  0.10  0.12  0.20  0.45 
(0.63)
 1.01 
(1.15)
 5.15 
SSDWX  0.52  0.08  0.09  0.15  0.51 
(0.58)
 1.03 
(1.18)
 3.63 
SSFNX  0.21  0.04  0.05  0.23  0.00 
(0.27)
 0.45 
(0.36)
 1.77 

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