STATE STREET Correlations

ZYA Stock

EUR 107.88 1.46 1.37%

The current 90-days correlation between STATE STREET and AIR PRODCHEMICALS is 0.07 (i.e., Significant 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 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 and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to STATE STREET could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace STATE STREET when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back STATE STREET - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling STATE STREET to buy it.

Moving together with STATE Stock

0.86	WD5A	TRAVEL LEISURE DL	Pair Corr
0.8	DBPE	Xtrackers LevDAX	Pair Corr

Moving against STATE Stock

0.76	DBPD	Xtrackers ShortDAX	Pair Corr
0.69	MSF	Microsoft Earnings Call Today	Pair Corr
0.69	MSF	Microsoft Earnings Call Today	Pair Corr
0.69	MSF	Microsoft Earnings Call Today	Pair Corr
0.69	MSF	Microsoft Earnings Call Today	Pair Corr
0.66	MSF	Microsoft Earnings Call Today	Pair Corr
0.47	APC	Apple Inc Earnings Call Tomorrow	Pair Corr
0.47	APC	Apple Inc Earnings Call Tomorrow	Pair Corr
0.47	APC	Apple Inc Earnings Call Tomorrow	Pair Corr
0.47	APC	Apple Inc Earnings Call Tomorrow	Pair Corr
0.46	APC	Apple Inc Earnings Call Tomorrow	Pair Corr

Related Correlations Analysis

	AP3	WB2	FAI0	90AA	ZNHH	10N	WI20	0VD
AP3		0.27	-0.06	0.0	0.25	0.37	0.13	-0.03	AP3
WB2	0.27		0.44	0.0	0.75	0.8	0.72	-0.74	WB2
FAI0	-0.06	0.44		0.0	0.6	0.5	0.8	-0.31	FAI0
90AA	0.0	0.0	0.0		0.0	0.0	0.0	0.0	90AA
ZNHH	0.25	0.75	0.6	0.0		0.7	0.68	-0.72	ZNHH
10N	0.37	0.8	0.5	0.0	0.7		0.82	-0.46	10N
WI20	0.13	0.72	0.8	0.0	0.68	0.82		-0.45	WI20
0VD	-0.03	-0.74	-0.31	0.0	-0.72	-0.46	-0.45		0VD
	AP3	WB2	FAI0	90AA	ZNHH	10N	WI20	0VD

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

WI20	+ 0.82	10N
10N	+ 0.8	WB2
WI20	+ 0.8	FAI0
ZNHH	+ 0.75	WB2
WI20	+ 0.72	WB2
10N	+ 0.7	ZNHH

High negative correlations

0VD	- 0.74	WB2
0VD	- 0.72	ZNHH
0VD	- 0.46	10N
0VD	- 0.45	WI20
0VD	- 0.31	FAI0
FAI0	- 0.06	AP3

Risk-Adjusted Indicators

There is a big difference between STATE Stock performing well and STATE STREET Company 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
AP3	0.98	0.06	(0.01)	(0.14)	1.78	(1.24)	1.87	(2.33)	16.39
WB2	1.14	0.24	0.13	(0.81)	0.98	(1.40)	2.47	(1.99)	6.46
FAI0	1.82	0.09	0.02	0.41	2.06	(2.26)	4.63	(3.07)	14.54
90AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ZNHH	1.99	0.41	0.11	(0.74)	1.77	(3.12)	5.00	(3.33)	11.69
10N	1.34	0.42	0.31	(1.40)	0.62	(2.01)	3.44	(1.69)	18.84
WI20	2.67	0.29	0.06	(2.23)	3.03	(3.33)	7.25	(6.71)	14.68
0VD	1.21	(0.17)	0.00	(0.66)	0.00	0.00	2.49	(2.67)	7.03

Be your own money manager

Our tools can tell you how much better you can do entering a position in STATE STREET without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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