State Street Correlations

Mutual Funds . USA . 
Fund . State Street Target
SSFNX Fund  USD 11.57  0.02  0.17%   
The current 90-days correlation between State Street Target and State Street Target is 0.09 (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

Very poor diversification

The correlation between State Street Target and DJI is 0.89 (i.e., Very 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.
  
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 metropolitan statistical area.

Moving together with State Mutual Fund

  0.94SSAIX Ssga International StockPairCorr
  0.99SSBWX State Street TargetPairCorr
  0.99SSCNX State Street TargetPairCorr
  0.99SSCJX State Street TargetPairCorr
  0.98SSBRX State Street TargetPairCorr
  0.98SSDDX State Street TargetPairCorr
  1.0SSDOX State Street TargetPairCorr
  1.0SSDJX State Street TargetPairCorr
  0.98SSDWX State Street TargetPairCorr
  0.97SSIPX Ssga International StockPairCorr
  0.95VTINX Vanguard Target RetiPairCorr
  0.96LIRIX Blackrock Lifepath IdxPairCorr
  0.96LIRAX Blackrock Lfpth IdxPairCorr
  0.93JSIIX Jpmorgan SmartretirementPairCorr
  0.93JSIZX Jpmorgan SmartretirementPairCorr
  0.93JSIYX Jpmorgan SmartretirementPairCorr
  0.93JSIPX Jpmorgan SmartretirementPairCorr
  0.95JSIQX Jpmorgan SmartretirementPairCorr
  0.97FNSHX Fidelity Freedom IncomePairCorr
  0.85VSTSX Vanguard Total StockPairCorr
  0.81VSMPX Vanguard Total StockPairCorr
  0.81VITSX Vanguard Total StockPairCorr
  0.83VFFSX Vanguard 500 IndexPairCorr
  0.79VFIAX Vanguard 500 IndexPairCorr
  0.85VTSAX Vanguard Total StockPairCorr
  0.97VTSNX Vanguard Total InterPairCorr
  0.98VTISX Vanguard Total InterPairCorr
  0.96VTPSX Vanguard Total InterPairCorr
  0.79VINIX Vanguard InstitutionalPairCorr
  0.96PELBX Pimco Emerging LocalPairCorr
  0.91MCSRX Mfs Modity StrategyPairCorr
  0.95NOIAX Natixis Oakmark IntePairCorr
  0.91AQMIX Aqr Managed FuturesPairCorr
  0.86DISCX International StockPairCorr
  0.91CGCIX Calamos Global GrowthPairCorr
  0.96PRXIX T Rowe PricePairCorr
  0.91FSMDX Fidelity Mid CapPairCorr
  0.87RPGEX T Rowe PricePairCorr
  0.97EVAGX Evaluator Aggressive RmsPairCorr

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  0.20  0.38  0.41 
(0.76)
 1.69 
(1.30)
 3.51 
SSBWX  0.37  0.12  0.05 (9.45) 0.16 
(0.47)
 0.71 
(0.67)
 4.83 
SSCNX  0.49  0.15  0.09 (8.73) 0.29 
(0.58)
 0.95 
(0.87)
 5.95 
SSCJX  0.45  0.13  0.07 (16.46) 0.26 
(0.55)
 0.92 
(0.83)
 5.41 
SSBRX  0.28  0.07  0.00  0.33  0.00 
(0.34)
 0.58 
(0.47)
 3.21 
SSDDX  0.51  0.10  0.09  0.28  0.35 
(0.60)
 1.04 
(1.00)
 5.65 
SSDOX  0.53  0.13  0.06 (8.92) 0.47 
(0.63)
 1.15 
(1.21)
 4.01 
SSDJX  0.54  0.15  0.08 (7.15) 0.42 
(0.62)
 1.02 
(1.15)
 5.15 
SSDWX  0.52  0.07  0.06  0.21  0.46 
(0.58)
 1.12 
(1.18)
 3.63 
SSFNX  0.21  0.06 (0.10) 9.82  0.00 
(0.27)
 0.45 
(0.36)
 1.77 

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