State Street Correlations

Mutual Funds . USA . 
Fund . State Street Aggregate
SSFCX Fund  USD 88.39  0.23  0.26%   
The current 90-days correlation between State Street Aggregate and State Street Target is 0.23 (i.e., Modest 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 Aggregate and DJI is 0.61 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Aggregate 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 Aggregate. 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 services.

Moving together with State Mutual Fund

  0.67SSAHX State Street TargetPairCorr
  0.66SSAJX State Street TargetPairCorr
  0.97SSAFX State Street AggregatePairCorr
  0.65SSAOX State Street TargetPairCorr
  0.65SSAKX State Street TargetPairCorr
  0.7SSBYX State Street TargetPairCorr
  0.66SSCKX State Street TargetPairCorr
  0.68SSCQX State Street TargetPairCorr
  0.66SSAWX State Street TargetPairCorr
  0.65SSAZX State Street TargetPairCorr
  0.66SSAYX State Street TargetPairCorr
  0.96SSASX State Street IncomePairCorr
  0.65SSAUX State Street TargetPairCorr
  0.67SSBSX State Street TargetPairCorr
  0.66SSDYX State Street TargetPairCorr
  0.65SSDEX State Street TargetPairCorr
  0.65SSDLX State Street TargetPairCorr
  0.66SSDQX State Street TargetPairCorr
  0.68SSGLX State Street GlobalPairCorr
  0.68SSGHX State Street GlobalPairCorr
  0.68SSGJX State Street GlobalPairCorr
  0.69SSGVX State Street GlobalPairCorr
  0.99SSFDX State Street AggregatePairCorr
  0.66SSFJX State Street TargetPairCorr
  0.66SSFKX State Street TargetPairCorr
  0.7SSFOX State Street TargetPairCorr
  0.69SSIQX Ssga International StockPairCorr
  0.69SSILX Ssga International StockPairCorr
  0.69SSHQX State Street HedgedPairCorr
  0.64SSKEX 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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