State Street Correlations

STFAX Fund

USD 455.08 2.61 0.58%

The current 90-days correlation between State Street Equity and Touchstone Sands Capital is 0.49 (i.e., Very weak 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 nation.

Moving together with State Mutual Fund

0.66	SSAJX	State Street Target	Pair Corr
0.8	SSAOX	State Street Target	Pair Corr
0.99	SSAQX	State Street Core	Pair Corr
0.75	SSAKX	State Street Target	Pair Corr
0.69	SSBYX	State Street Target	Pair Corr
0.68	SSBWX	State Street Target	Pair Corr
0.71	SSCKX	State Street Target	Pair Corr
0.76	SSCNX	State Street Target	Pair Corr
0.7	SSCJX	State Street Target	Pair Corr
0.77	SSCQX	State Street Target	Pair Corr
0.69	SSAZX	State Street Target	Pair Corr
0.84	SSAUX	State Street Target	Pair Corr
0.86	SSDYX	State Street Target	Pair Corr
1.0	SSEYX	State Street Equity	Pair Corr
0.81	SSDEX	State Street Target	Pair Corr
0.81	SSDDX	State Street Target	Pair Corr
0.86	SSDOX	State Street Target	Pair Corr
0.85	SSDJX	State Street Target	Pair Corr
0.85	SSDLX	State Street Target	Pair Corr
0.86	SSDWX	State Street Target	Pair Corr
0.86	SSDQX	State Street Target	Pair Corr
0.86	SSFJX	State Street Target	Pair Corr
0.86	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
0.74	SSAFX	State Street Aggregate	Pair Corr
0.47	SSAIX	Ssga International Stock	Pair Corr
0.73	SSFDX	State Street Aggregate	Pair Corr
0.74	SSFCX	State Street Aggregate	Pair Corr
0.73	SSFEX	State Street Aggregate	Pair Corr
0.46	SSIPX	Ssga International Stock	Pair Corr
0.46	SSIQX	Ssga International Stock	Pair Corr
0.46	SSILX	Ssga International Stock	Pair Corr

Related Correlations Analysis

	TEGCX	PACEX	EMSLX	RYMBX	REVIX	ABNTX	TEOJX
TEGCX		0.81	0.88	0.63	0.94	0.51	0.87	TEGCX
PACEX	0.81		0.8	0.57	0.85	0.35	0.83	PACEX
EMSLX	0.88	0.8		0.71	0.93	0.29	0.97	EMSLX
RYMBX	0.63	0.57	0.71		0.74	0.06	0.74	RYMBX
REVIX	0.94	0.85	0.93	0.74		0.32	0.94	REVIX
ABNTX	0.51	0.35	0.29	0.06	0.32		0.29	ABNTX
TEOJX	0.87	0.83	0.97	0.74	0.94	0.29		TEOJX
	TEGCX	PACEX	EMSLX	RYMBX	REVIX	ABNTX	TEOJX

Click cells to compare fundamentals

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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
TEGCX	0.67	(0.06)	(0.12)	(0.01)	0.95	(0.68)	1.58	(1.67)	4.99
PACEX	0.12	0.00	(0.72)	0.33	0.00	(0.22)	0.32	(0.22)	0.97
EMSLX	0.72	(0.03)	0.00	(1.49)	0.00	0.00	1.76	(1.08)	6.36
RYMBX	0.94	(0.02)	0.00	0.40	0.00	0.00	1.84	(2.13)	4.53
REVIX	0.73	(0.05)	(0.13)	0.00	0.87	(0.87)	1.44	(1.71)	5.60
ABNTX	0.14	(0.01)	0.00	(0.83)	0.00	0.00	0.29	(0.30)	0.88
TEOJX	0.66	(0.02)	0.00	0.40	0.00	0.00	1.76	(1.83)	4.91

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