State Street Correlations

Stocks . USA . 
Stock . State Street Corp
STT Stock  USD 98.51  0.28  0.28%   
The current 90-days correlation between State Street Corp and Northern Trust is 0.79 (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

Poor diversification

The correlation between State Street Corp and DJI is 0.62 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Corp 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 Corp. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with State Stock

  0.79V Visa Class APairCorr
  0.86DIST Distoken AcquisitionPairCorr
  0.91MA MastercardPairCorr
  0.83DYCQ DT Cloud AcquisitionPairCorr
  0.75EMCG Embrace Change AcquiPairCorr
  0.65WAVS Western AcquisitionPairCorr
  0.83ESHA ESH Acquisition CorpPairCorr
  0.88EVGR Evergreen CorpPairCorr
  0.67DISTR Distoken AcquisitionPairCorr
  0.79ANSCW Agriculture NaturalPairCorr
  0.89WAVSU Western AcquisitionPairCorr
  0.7FDUS Fidus Investment CorpPairCorr

Moving against State Stock

  0.72BRACU Broad Capital AcquisitionPairCorr
  0.55RC Ready Capital CorpPairCorr
  0.4EMCGU Embrace Change AcquiPairCorr
  0.39PFTAU Portage Fintech AcquPairCorr
  0.36EARN Ellington ResidentialPairCorr
  0.31EMCGR Embrace Change AcquiPairCorr
  0.81BRKHU BurTech Acquisition CorpPairCorr
  0.39BRKHW BurTech Acquisition CorpPairCorr
  0.36DISTW Distoken AcquisitionPairCorr
  0.85TWO Two Harbors InvestmentsPairCorr
  0.79TGAAU Target Global AcquisitionPairCorr

Related Correlations Analysis

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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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
NTRS  1.01  0.24  0.22  0.39  0.59 
(1.19)
 2.39 
(1.40)
 9.54 
BEN  1.18  0.10  0.08  0.22  1.27 
(1.23)
 2.77 
(2.10)
 6.27 
IVZ  1.37 (0.09) 0.00  0.07  1.53 
(1.50)
 2.82 
(2.97)
 6.84 
TROW  1.11  0.05  0.08  0.17  1.10 
(1.19)
 2.24 
(2.04)
 7.96 
BK  0.81  0.20  0.20  0.37  0.49 
(0.96)
 2.10 
(1.32)
 4.87 
SEIC  0.80  0.20  0.18  0.37  0.55 
(0.94)
 1.57 
(1.56)
 7.23 
PFG  0.97 (0.03) 0.01  0.10  1.34 
(1.15)
 2.17 
(2.20)
 9.84 
AMG  1.16 (0.05) 0.01  0.10  1.87 
(1.16)
 2.55 
(1.81)
 13.03 
JHG  1.08  0.15  0.16  0.23  0.93 
(1.20)
 2.65 
(2.10)
 8.21 
AMP  0.97  0.20  0.23  0.25  0.70 
(1.15)
 2.18 
(1.66)
 13.90 

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