State Street Correlations

SSGVX Fund

USD 120.49 0.78 0.65%

The current 90-days correlation between State Street Global and Prudential High Yield is 0.16 (i.e., Average 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 weak diversification

The correlation between State Street Global and DJI is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Global 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 Global. 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 real.

Moving together with State Mutual Fund

0.86	SSAIX	Ssga International Stock	Pair Corr
0.66	SSADX	State Street Target	Pair Corr
0.63	SSBNX	State Street Target	Pair Corr
0.63	SSBOX	State Street Target	Pair Corr
1.0	SSGLX	State Street Global	Pair Corr
1.0	SSGHX	State Street Global	Pair Corr
1.0	SSGJX	State Street Global	Pair Corr
0.64	SSFNX	State Street Target	Pair Corr

Moving against State Mutual Fund

0.35	SSMHX	State Street Smallmid	Pair Corr
0.34	SSMLX	State Street Smallmid	Pair Corr
0.34	SSMKX	State Street Smallmid	Pair Corr
0.34	SSMJX	State Street Smallmid	Pair Corr

Related Correlations Analysis

	PHYZX	PYICX	PHYSX	PKHIX	PGHCX	NMHYX	SIHSX
PHYZX		0.97	0.86	0.95	0.97	0.96	0.97	PHYZX
PYICX	0.97		0.83	0.94	0.96	0.95	0.98	PYICX
PHYSX	0.86	0.83		0.92	0.92	0.92	0.81	PHYSX
PKHIX	0.95	0.94	0.92		0.98	0.95	0.94	PKHIX
PGHCX	0.97	0.96	0.92	0.98		0.96	0.96	PGHCX
NMHYX	0.96	0.95	0.92	0.95	0.96		0.94	NMHYX
SIHSX	0.97	0.98	0.81	0.94	0.96	0.94		SIHSX
	PHYZX	PYICX	PHYSX	PKHIX	PGHCX	NMHYX	SIHSX

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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	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PHYZX	0.12	0.02	(0.46)	1.05	(0.29)	0.42	(0.21)	0.63
PYICX	0.11	0.01	(0.61)	0.25	(0.17)	0.22	(0.22)	0.78
PHYSX	0.11	0.02	(0.54)	0.40	(0.16)	0.22	(0.22)	0.78
PKHIX	0.11	0.02	(0.50)	0.42	(0.19)	0.34	(0.22)	0.90
PGHCX	0.13	0.02	(0.34)	0.37	(0.34)	0.53	(0.26)	0.80
NMHYX	0.09	0.01	(0.64)	0.30	(0.16)	0.24	(0.12)	0.48
SIHSX	0.11	0.01	(0.84)	0.42	(0.17)	0.30	(0.20)	0.70

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