State Street Correlations

SUSIX Fund

USD 11.91 0.01 0.08%

The current 90-days correlation between State Street Institu and Pnc Balanced Allocation is 0.86 (i.e., Very 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

Very poor diversification

The correlation between State Street Institutional and DJI is 0.84 (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 signals in gross domestic product.

Moving together with State Mutual Fund

0.68	SSAQX	State Street Core	Pair Corr
0.66	SSDYX	State Street Target	Pair Corr
0.67	SSDWX	State Street Target	Pair Corr
0.99	SSFRX	State Street Equity	Pair Corr
0.98	SSMKX	State Street Smallmid	Pair Corr
0.98	SSMJX	State Street Smallmid	Pair Corr
0.97	SSQSX	State Street Institu	Pair Corr
0.99	SSSYX	State Street Equity	Pair Corr
0.99	STBIX	State Street Equity	Pair Corr
0.99	SVSPX	Ssga Sp 500	Pair Corr
0.97	SIVIX	State Street Institu	Pair Corr
0.91	VTSAX	Vanguard Total Stock	Pair Corr
0.86	VFIAX	Vanguard 500 Index	Pair Corr
0.91	VTSMX	Vanguard Total Stock	Pair Corr
0.99	VITSX	Vanguard Total Stock	Pair Corr
0.91	VSMPX	Vanguard Total Stock	Pair Corr
0.91	VSTSX	Vanguard Total Stock	Pair Corr
0.9	VFINX	Vanguard 500 Index	Pair Corr
0.9	VFFSX	Vanguard 500 Index	Pair Corr
0.99	VINIX	Vanguard Institutional	Pair Corr
0.99	VIIIX	Vanguard Institutional	Pair Corr
0.81	WHIYX	Ivy High Income	Pair Corr
0.77	IVHIX	Ivy High Income	Pair Corr
0.77	IHIFX	Ivy High Income	Pair Corr
0.82	WRHIX	Ivy High Income	Pair Corr

Moving against State Mutual Fund

0.62	SSASX	State Street Income	Pair Corr
0.56	EINFX	Elfun Income	Pair Corr
0.55	SSIQX	Ssga International Stock	Pair Corr
0.54	SSAIX	Ssga International Stock	Pair Corr
0.4	SSGVX	State Street Global	Pair Corr
0.35	SSKEX	State Street Emerging	Pair Corr
0.75	GF	New Germany Closed	Pair Corr
0.62	BISMX	Brandes International	Pair Corr
0.59	HRBDX	Harbor Bond Fund	Pair Corr
0.57	USGDX	Morgan Stanley Government	Pair Corr
0.54	VICSX	Vanguard Intermediate-ter	Pair Corr
0.54	EMBAX	Unconstrained Emerging	Pair Corr
0.46	GIOIX	Guggenheim Macro Opp	Pair Corr
0.43	SAEMX	Sa Emerging Markets	Pair Corr

Related Correlations Analysis

	PBLIX	GMLVX	MGGNX	ARECX	TEDIX	XAWFX	ANAGX
PBLIX		0.53	0.53	0.76	0.37	0.61	0.3	PBLIX
GMLVX	0.53		0.37	0.68	0.79	0.01	0.65	GMLVX
MGGNX	0.53	0.37		0.69	0.37	0.59	0.58	MGGNX
ARECX	0.76	0.68	0.69		0.67	0.52	0.74	ARECX
TEDIX	0.37	0.79	0.37	0.67		0.15	0.78	TEDIX
XAWFX	0.61	0.01	0.59	0.52	0.15		0.31	XAWFX
ANAGX	0.3	0.65	0.58	0.74	0.78	0.31		ANAGX
	PBLIX	GMLVX	MGGNX	ARECX	TEDIX	XAWFX	ANAGX

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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
PBLIX	0.66	(0.02)	0.00	(0.02)	0.00	0.00	1.14	(1.35)	3.79
GMLVX	0.70	0.03	0.03	0.07	0.90	(0.76)	1.57	(1.62)	5.51
MGGNX	0.21	(0.03)	0.00	(0.58)	0.00	0.00	0.35	(0.35)	1.96
ARECX	0.79	(0.02)	0.00	(0.03)	0.00	0.00	1.56	(1.47)	4.45
TEDIX	0.65	0.00	0.00	0.00	1.60	(0.57)	1.01	(1.47)	7.35
XAWFX	0.16	(0.03)	0.00	0.61	0.00	0.00	0.26	(0.44)	1.50
ANAGX	0.19	0.00	(0.02)	0.12	0.20	(0.27)	0.44	(0.44)	1.46

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