State Street Correlations

SSSYX Fund  USD 424.20  0.36  0.08%   
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 Equity and DJI is 0.74 (i.e., 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 manufacturing.

Moving together with State Mutual Fund

  0.67SSAKX State Street TargetPairCorr
  0.77SSDYX State Street TargetPairCorr
  0.77SSDWX State Street TargetPairCorr
  1.0SSFRX State Street EquityPairCorr
  0.96SSMKX State Street SmallmidPairCorr
  0.96SSMJX State Street SmallmidPairCorr
  0.78SSQSX State Street InstituPairCorr
  1.0STBIX State Street EquityPairCorr
  0.65SUSIX State Street InstituPairCorr
  0.77SVSPX Ssga Sp 500PairCorr
  0.78SIVIX State Street InstituPairCorr
  1.0VTSAX Vanguard Total StockPairCorr
  1.0VFIAX Vanguard 500 IndexPairCorr
  1.0VTSMX Vanguard Total StockPairCorr
  1.0VITSX Vanguard Total StockPairCorr
  1.0VSMPX Vanguard Total StockPairCorr
  1.0VSTSX Vanguard Total StockPairCorr
  1.0VFINX Vanguard 500 IndexPairCorr
  1.0VFFSX Vanguard 500 IndexPairCorr
  0.99VINIX Vanguard InstitutionalPairCorr
  0.99VIIIX Vanguard InstitutionalPairCorr
  0.72WHIYX Ivy High IncomePairCorr
  0.68IVHIX Ivy High IncomePairCorr
  0.68IHIFX Ivy High IncomePairCorr
  0.7WRHIX Ivy High IncomePairCorr

Moving against State Mutual Fund

  0.48SSASX State Street IncomePairCorr
  0.48EINFX Elfun IncomePairCorr
  0.4SSAIX Ssga International StockPairCorr
  0.4SSIQX Ssga International StockPairCorr
  0.64GF New Germany ClosedPairCorr
  0.5USGDX Morgan Stanley GovernmentPairCorr
  0.45HRBDX Harbor Bond FundPairCorr
  0.44ABNOX Ab Bond InflationPairCorr
  0.44ARBOX Absolute ConvertiblePairCorr
  0.43BISMX Brandes InternationalPairCorr
  0.4EMBAX Unconstrained EmergingPairCorr
  0.33SAEMX Sa Emerging MarketsPairCorr

Related Correlations Analysis

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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   
SIVIXSISVX
SIVSXSISVX
ELRXXSISVX
SAEXXSISVX
NFSBXSISVX
NFSAXSISVX
  
High negative correlations   
SAJXXSAHXX
SAJXXNFSAX
SAHXXNFSAX
SAJXXNFSBX
SAHXXNFSBX
NFSAXNFSBX

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
SISVX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
SIVIX  1.01 (0.28) 0.00 (0.47) 0.00 
 1.38 
 9.80 
SIVSX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
ELRXX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
SAEXX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
NFSBX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
NFSAX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
SAHXX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00 
SAJXX  0.00  0.00  0.00  0.00  0.00 
 0.00 
 0.00