State Street Correlations

SUSSX Fund

USD 16.20 0.03 0.19%

The current 90-days correlation between State Street Institu and T Rowe Price is 0.57 (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 Institutional and DJI is 0.87 (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 Institutional 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 Institutional. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with State Mutual Fund

0.92	SSAHX	State Street Target	Pair Corr
0.93	SSAWX	State Street Target	Pair Corr
0.83	SSEYX	State Street Equity	Pair Corr
0.93	SSDLX	State Street Target	Pair Corr
0.9	SSDQX	State Street Target	Pair Corr
1.0	SUSIX	State Street Institu	Pair Corr
0.84	SVSPX	Ssga Sp 500	Pair Corr
0.77	SIVIX	State Street Institu	Pair Corr
0.92	ELDFX	Elfun Diversified	Pair Corr
0.84	VTSAX	Vanguard Total Stock	Pair Corr
0.83	VFIAX	Vanguard 500 Index	Pair Corr
0.84	VTSMX	Vanguard Total Stock	Pair Corr
0.84	VITSX	Vanguard Total Stock	Pair Corr
0.84	VSMPX	Vanguard Total Stock	Pair Corr
0.84	VSTSX	Vanguard Total Stock	Pair Corr
0.83	VFINX	Vanguard 500 Index	Pair Corr
0.83	VFFSX	Vanguard 500 Index	Pair Corr
0.83	VINIX	Vanguard Institutional	Pair Corr
0.83	VIIIX	Vanguard Institutional	Pair Corr
0.83	PFN	Pimco Income Strategy	Pair Corr
0.91	JULCX	Multimanager Lifestyle	Pair Corr
0.84	SBHPX	Segall Bryant Hamill	Pair Corr
0.8	LMVOX	Lord Abbett Focused	Pair Corr
0.79	SACTX	Spirit Of America	Pair Corr
0.88	RYBIX	Basic Materials Steady Growth	Pair Corr
0.86	HWHZX	Hotchkis Wiley High	Pair Corr
0.8	FGUSX	Federated Government	Pair Corr
0.89	PQTNX	Pimco Trends Managed	Pair Corr
0.83	FLPSX	Fidelity Low Priced	Pair Corr
0.88	ALSMX	Archer Multi Cap	Pair Corr
0.62	RBNCX	Robinson Opportunistic	Pair Corr
0.69	VWAHX	Vanguard High Yield	Pair Corr
0.86	PCITX	Pioneer International	Pair Corr

Moving against State Mutual Fund

0.57	XNBHX	Neuberger Berman Int	Pair Corr
0.46	XNXJX	Nuveen New Jersey	Pair Corr
0.37	XDSMX	Dreyfus Strategic	Pair Corr

Related Correlations Analysis

	PARCX	MFHVX	SISAX	PARJX	AGDAX	PARKX
PARCX		0.79	0.98	1.0	0.89	1.0	PARCX
MFHVX	0.79		0.71	0.78	0.83	0.81	MFHVX
SISAX	0.98	0.71		0.98	0.87	0.97	SISAX
PARJX	1.0	0.78	0.98		0.88	1.0	PARJX
AGDAX	0.89	0.83	0.87	0.88		0.9	AGDAX
PARKX	1.0	0.81	0.97	1.0	0.9		PARKX
	PARCX	MFHVX	SISAX	PARJX	AGDAX	PARKX

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
PARCX	0.40	0.06	0.07	0.19	0.22	(0.46)	0.82	(0.73)	5.12
MFHVX	0.11	0.01	(0.25)	0.14	0.00	(0.16)	0.25	(0.12)	0.87
SISAX	0.62	0.15	0.21	0.28	0.25	(0.74)	1.19	(1.02)	10.84
PARJX	0.35	0.06	0.05	0.19	0.13	(0.41)	0.72	(0.60)	4.70
AGDAX	0.13	0.01	(0.28)	0.19	0.00	(0.21)	0.29	(0.14)	0.86
PARKX	0.44	0.06	0.06	0.16	0.35	(0.50)	0.95	(0.85)	4.67

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