State Street Correlations

SSMJX Fund

USD 336.29 3.53 1.06%

The current 90-days correlation between State Street Smallmid and State Street Target is 0.74 (i.e., Poor 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 Smallmid and DJI is 0.94 (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 Smallmid 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 Smallmid. 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 bureau of economic analysis.

Moving together with State Mutual Fund

0.93	SSAHX	State Street Target	Pair Corr
0.93	SSAJX	State Street Target	Pair Corr
0.94	SSAOX	State Street Target	Pair Corr
0.71	SSAQX	State Street Core	Pair Corr
0.94	SSAKX	State Street Target	Pair Corr
0.94	SSBYX	State Street Target	Pair Corr
0.94	SSCKX	State Street Target	Pair Corr
0.94	SSCQX	State Street Target	Pair Corr
0.95	SSAWX	State Street Target	Pair Corr
0.93	SSAZX	State Street Target	Pair Corr
0.95	SSAYX	State Street Target	Pair Corr
0.95	SSAUX	State Street Target	Pair Corr
0.93	SSBSX	State Street Target	Pair Corr
0.95	SSDYX	State Street Target	Pair Corr
0.88	SSEYX	State Street Equity	Pair Corr
0.94	SSDEX	State Street Target	Pair Corr
0.94	SSDLX	State Street Target	Pair Corr
0.95	SSDQX	State Street Target	Pair Corr
0.89	SSGLX	State Street Global	Pair Corr
0.89	SSGHX	State Street Global	Pair Corr
0.89	SSGJX	State Street Global	Pair Corr
0.88	SSGVX	State Street Global	Pair Corr
0.61	SSFDX	State Street Aggregate	Pair Corr
0.95	SSFJX	State Street Target	Pair Corr
0.95	SSFKX	State Street Target	Pair Corr
0.61	SSFEX	State Street Aggregate	Pair Corr
0.89	SSFRX	State Street Equity	Pair Corr
0.83	SSFPX	State Street Target	Pair Corr
0.93	SSFOX	State Street Target	Pair Corr
0.89	SSIQX	Ssga International Stock	Pair Corr
0.89	SSILX	Ssga International Stock	Pair Corr
0.91	SSHQX	State Street Hedged	Pair Corr
0.83	SSKEX	State Street Emerging	Pair Corr
1.0	SSMLX	State Street Smallmid	Pair Corr
1.0	SSMKX	State Street Smallmid	Pair Corr
0.97	SSMHX	State Street Smallmid	Pair Corr

Related Correlations Analysis

	SSAHX	SSAJX	SSAFX	SSAOX	SSAQX	SSAKX	SSBYX	SSCKX	SSCQX	SSAWX
SSAHX		1.0	0.69	1.0	0.56	1.0	0.95	1.0	0.95	0.99	SSAHX
SSAJX	1.0		0.67	1.0	0.56	1.0	0.95	1.0	0.95	0.99	SSAJX
SSAFX	0.69	0.67		0.67	0.5	0.66	0.72	0.67	0.7	0.67	SSAFX
SSAOX	1.0	1.0	0.67		0.57	1.0	0.96	1.0	0.96	1.0	SSAOX
SSAQX	0.56	0.56	0.5	0.57		0.56	0.63	0.57	0.62	0.59	SSAQX
SSAKX	1.0	1.0	0.66	1.0	0.56		0.95	1.0	0.95	0.99	SSAKX
SSBYX	0.95	0.95	0.72	0.96	0.63	0.95		0.95	1.0	0.98	SSBYX
SSCKX	1.0	1.0	0.67	1.0	0.57	1.0	0.95		0.95	0.99	SSCKX
SSCQX	0.95	0.95	0.7	0.96	0.62	0.95	1.0	0.95		0.98	SSCQX
SSAWX	0.99	0.99	0.67	1.0	0.59	0.99	0.98	0.99	0.98		SSAWX
	SSAHX	SSAJX	SSAFX	SSAOX	SSAQX	SSAKX	SSBYX	SSCKX	SSCQX	SSAWX

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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	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum 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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State Street Correlations

State Street Correlation With Market

Almost no diversification

Moving together with State Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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