State Street Correlations

STBIX Fund

USD 455.10 2.58 0.57%

The current 90-days correlation between State Street Equity and State Street Target is 0.78 (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

Very poor diversification

The correlation between State Street Equity and DJI is 0.82 (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 Equity 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 Equity. 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 gross domestic product.

Moving together with State Mutual Fund

0.62	SSAHX	State Street Target	Pair Corr
0.68	SSAJX	State Street Target	Pair Corr
0.81	SSAOX	State Street Target	Pair Corr
0.99	SSAQX	State Street Core	Pair Corr
0.77	SSAKX	State Street Target	Pair Corr
0.7	SSBYX	State Street Target	Pair Corr
0.7	SSBWX	State Street Target	Pair Corr
0.73	SSCKX	State Street Target	Pair Corr
0.78	SSCNX	State Street Target	Pair Corr
0.72	SSCJX	State Street Target	Pair Corr
0.78	SSCQX	State Street Target	Pair Corr
0.71	SSAZX	State Street Target	Pair Corr
0.85	SSAUX	State Street Target	Pair Corr
0.63	SSBRX	State Street Target	Pair Corr
0.65	SSBSX	State Street Target	Pair Corr
0.87	SSDYX	State Street Target	Pair Corr
1.0	SSEYX	State Street Equity	Pair Corr
0.82	SSDEX	State Street Target	Pair Corr
0.82	SSDDX	State Street Target	Pair Corr
0.87	SSDOX	State Street Target	Pair Corr
0.86	SSDJX	State Street Target	Pair Corr
0.86	SSDLX	State Street Target	Pair Corr
0.87	SSDWX	State Street Target	Pair Corr
0.87	SSDQX	State Street Target	Pair Corr
0.87	SSFJX	State Street Target	Pair Corr
0.87	SSFKX	State Street Target	Pair Corr
1.0	SSFRX	State Street Equity	Pair Corr

Moving against State Mutual Fund

0.76	SSASX	State Street Income	Pair Corr
0.72	SSAFX	State Street Aggregate	Pair Corr
0.47	SSAIX	Ssga International Stock	Pair Corr
0.72	SSFDX	State Street Aggregate	Pair Corr
0.72	SSFCX	State Street Aggregate	Pair Corr
0.72	SSFEX	State Street Aggregate	Pair Corr
0.47	SSILX	Ssga International Stock	Pair Corr
0.46	SSIPX	Ssga International Stock	Pair Corr
0.46	SSIQX	Ssga International Stock	Pair Corr

Related Correlations Analysis

	SSAHX	SSAJX	SSAIX	SSAFX	SSAOX	SSAQX	SSAKX	SSBYX	SSBWX	SSCKX
SSAHX		0.99	0.29	0.03	0.94	0.64	0.96	0.99	0.99	0.98	SSAHX
SSAJX	0.99		0.24	-0.06	0.97	0.7	0.99	1.0	1.0	1.0	SSAJX
SSAIX	0.29	0.24		0.7	0.07	-0.43	0.14	0.21	0.22	0.19	SSAIX
SSAFX	0.03	-0.06	0.7		-0.29	-0.7	-0.21	-0.1	-0.09	-0.14	SSAFX
SSAOX	0.94	0.97	0.07	-0.29		0.83	1.0	0.98	0.98	0.99	SSAOX
SSAQX	0.64	0.7	-0.43	-0.7	0.83		0.79	0.73	0.72	0.75	SSAQX
SSAKX	0.96	0.99	0.14	-0.21	1.0	0.79		0.99	0.99	1.0	SSAKX
SSBYX	0.99	1.0	0.21	-0.1	0.98	0.73	0.99		1.0	1.0	SSBYX
SSBWX	0.99	1.0	0.22	-0.09	0.98	0.72	0.99	1.0		1.0	SSBWX
SSCKX	0.98	1.0	0.19	-0.14	0.99	0.75	1.0	1.0	1.0		SSCKX
	SSAHX	SSAJX	SSAIX	SSAFX	SSAOX	SSAQX	SSAKX	SSBYX	SSBWX	SSCKX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

SSBYX	+ 1.0	SSAJX
SSBWX	+ 1.0	SSAJX
SSCKX	+ 1.0	SSAJX
SSAKX	+ 1.0	SSAOX
SSCKX	+ 1.0	SSAKX
SSBWX	+ 1.0	SSBYX

High negative correlations

SSAQX	- 0.7	SSAFX
SSAQX	- 0.43	SSAIX
SSAOX	- 0.29	SSAFX
SSAKX	- 0.21	SSAFX
SSCKX	- 0.14	SSAFX
SSBYX	- 0.1	SSAFX

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	0.27	(0.02)	(0.28)	0.07	0.30	(0.29)	0.55	(0.62)	1.56
SSAJX	0.35	(0.02)	(0.19)	0.07	0.41	(0.37)	0.72	(0.86)	1.96
SSAIX	0.60	(0.11)	0.00	(0.13)	0.00	0.00	1.15	(1.46)	3.53
SSAFX	0.23	(0.01)	0.00	0.35	0.00	0.00	0.47	(0.66)	1.45
SSAOX	0.46	(0.03)	(0.13)	0.07	0.58	(0.47)	0.89	(0.95)	2.56
SSAQX	0.53	(0.01)	(0.04)	0.11	0.69	(0.55)	1.13	(1.53)	3.98
SSAKX	0.43	(0.03)	(0.14)	0.07	0.53	(0.44)	0.79	(0.91)	2.39
SSBYX	0.34	(0.02)	(0.19)	0.07	0.42	(0.35)	0.64	(0.78)	1.88
SSBWX	0.34	(0.02)	(0.20)	0.07	0.39	(0.36)	0.65	(0.79)	1.89
SSCKX	0.40	(0.03)	(0.16)	0.07	0.47	(0.42)	0.81	(0.93)	2.18

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