State Street Correlations

Mutual Funds . USA . 
Fund . State Street Real
SSRSX Fund  USD 11.56  0.15  1.31%   
The current 90-days correlation between State Street Real and Vanguard Total Bond is 0.25 (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 Real and DJI is 0.7 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Real 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 Real. 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 producer price index.

Moving together with State Mutual Fund

  0.84VTIAX Vanguard Total InterPairCorr
  0.84VBTLX Vanguard Total BondPairCorr
  0.84NHS Neuberger Berman HighPairCorr
  0.77SWYHX Schwab Target 2045PairCorr
  0.63USCGX Capital GrowthPairCorr
  0.83TVOCX Touchstone Small CapPairCorr
  0.74NWEIX Nationwide DestinationPairCorr
  0.85VIVAX Vanguard Value IndexPairCorr
  0.77PRNEX T Rowe PricePairCorr
  0.83RTISX Select InternationalPairCorr
  0.76PISDX Columbia Pyrford IntPairCorr
  0.76PHDTX Pace High YieldPairCorr
  0.65USPVX Union Street PartnersPairCorr
  0.8RLIAX Invesco Income AllocationPairCorr
  0.67USERX Gold And PreciousPairCorr
  0.63NSRIX Northern Global SustPairCorr
  0.79VSMVX Vanguard Sp SmallPairCorr
  0.71FIJDX Gold Portfolio Fidelity Steady GrowthPairCorr
  0.69REREX Europacific GrowthPairCorr
  0.91TFEBX Tax Exempt BondPairCorr
  0.8ACCSX Access Capital MunityPairCorr
  0.76PRFDX T Rowe PricePairCorr
  0.69FPURX Fidelity PuritanPairCorr
  0.65FGBCX Fidelity Investment GradePairCorr
  0.61DAGVX Dreyfus Strategic ValuePairCorr
  0.65DNVYX Davis New YorkPairCorr
  0.77NEZNX Loomis Sayles StrategicPairCorr
  0.84FRASX Fidelity Income ReplPairCorr
  0.82FTISX Fidelity InternationalPairCorr

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
VTSAX  0.59  0.02 (0.04) 1.14  0.79 
(0.61)
 1.20 
(1.58)
 3.55 
VFIAX  0.54 (0.05)(0.07) 0.00  0.78 
(0.54)
 0.99 
(1.54)
 3.61 
VTSMX  0.57 (0.04)(0.07) 0.01  0.79 
(0.58)
 1.11 
(1.58)
 3.74 
VSTSX  0.59  0.02 (0.04) 1.10  0.79 
(0.61)
 1.20 
(1.58)
 3.55 
VITSX  0.57 (0.04)(0.07) 0.01  0.79 
(0.58)
 1.11 
(1.58)
 3.73 
VSMPX  0.57 (0.04)(0.07) 0.01  0.79 
(0.58)
 1.11 
(1.58)
 3.73 
VTIAX  0.60  0.12  0.13  0.25  0.56 
(0.64)
 1.47 
(1.18)
 4.10 
VFINX  0.55 (0.05)(0.07) 0.00  0.80 
(0.53)
 1.06 
(1.54)
 3.61 
VFFSX  0.57  0.02 (0.05) 1.55  0.78 
(0.57)
 1.16 
(1.54)
 3.61 
VBTLX  0.15  0.01 (0.22) 0.13  0.07 
(0.18)
 0.31 
(0.31)
 0.62 

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