State Street Correlations

SSAKX Fund

16.21 0.06 0.37%

The current 90-days correlation between State Street Target and State Street Target is 0.99 (i.e., No risk reduction). 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 Target and DJI is 0.86 (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 Target 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 Target. 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 inflation.

Moving together with State Mutual Fund

0.93	SSAIX	Ssga International Stock	Pair Corr
0.88	SSAFX	State Street Aggregate	Pair Corr
0.98	SSAQX	State Street Core	Pair Corr
1.0	SSCKX	State Street Target	Pair Corr
1.0	SSCQX	State Street Target	Pair Corr
0.87	SSASX	State Street Income	Pair Corr
0.99	SSBSX	State Street Target	Pair Corr
1.0	SSDYX	State Street Target	Pair Corr
0.99	SSEYX	State Street Equity	Pair Corr
1.0	SSDEX	State Street Target	Pair Corr
1.0	SSDDX	State Street Target	Pair Corr
1.0	SSDJX	State Street Target	Pair Corr
1.0	SSDLX	State Street Target	Pair Corr
1.0	SSDQX	State Street Target	Pair Corr
0.97	SSGHX	State Street Global	Pair Corr
0.97	SSGVX	State Street Global	Pair Corr
0.88	SSFEX	State Street Aggregate	Pair Corr
0.99	SSFOX	State Street Target	Pair Corr
0.97	SSMKX	State Street Smallmid	Pair Corr
0.88	SSQSX	State Street Institu	Pair Corr
0.99	SSSYX	State Street Equity	Pair Corr
0.99	STBIX	State Street Equity	Pair Corr
0.88	SIVIX	State Street Institu	Pair Corr
0.85	EINFX	Elfun Income	Pair Corr
1.0	ELDFX	Elfun Diversified	Pair Corr
0.98	ELFNX	Elfun Trusts Elfun	Pair Corr
1.0	VFORX	Vanguard Target Reti	Pair Corr
0.98	AAGTX	American Funds 2040	Pair Corr
0.99	CCGTX	American Funds 2040	Pair Corr
0.99	FAUTX	American Funds 2040	Pair Corr
1.0	FFFFX	Fidelity Freedom 2040	Pair Corr
1.0	FHTKX	Fidelity Freedom 2040	Pair Corr
1.0	FAVOX	Fidelity Freedom Index	Pair Corr
1.0	TRHDX	T Rowe Price	Pair Corr
1.0	FSNVX	Fidelity Freedom 2040	Pair Corr
0.99	VTSAX	Vanguard Total Stock	Pair Corr
0.99	VFIAX	Vanguard 500 Index	Pair Corr

Related Correlations Analysis

	SSBYX	SSAHX	SSAJX	SSAIX	SSADX	SSAFX	SSAOX	SSAQX	SSAKX	SSBWX
SSBYX		1.0	1.0	0.93	0.0	0.89	1.0	0.98	1.0	1.0	SSBYX
SSAHX	1.0		1.0	0.93	0.0	0.9	0.99	0.98	0.99	1.0	SSAHX
SSAJX	1.0	1.0		0.93	0.0	0.89	1.0	0.98	1.0	1.0	SSAJX
SSAIX	0.93	0.93	0.93		0.0	0.85	0.93	0.88	0.93	0.93	SSAIX
SSADX	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	SSADX
SSAFX	0.89	0.9	0.89	0.85	0.0		0.87	0.85	0.88	0.89	SSAFX
SSAOX	1.0	0.99	1.0	0.93	0.0	0.87		0.98	1.0	1.0	SSAOX
SSAQX	0.98	0.98	0.98	0.88	0.0	0.85	0.98		0.98	0.98	SSAQX
SSAKX	1.0	0.99	1.0	0.93	0.0	0.88	1.0	0.98		1.0	SSAKX
SSBWX	1.0	1.0	1.0	0.93	0.0	0.89	1.0	0.98	1.0		SSBWX
	SSBYX	SSAHX	SSAJX	SSAIX	SSADX	SSAFX	SSAOX	SSAQX	SSAKX	SSBWX

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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

SSAHX	+ 1.0	SSBYX
SSAJX	+ 1.0	SSBYX
SSAOX	+ 1.0	SSBYX
SSAKX	+ 1.0	SSBYX
SSBWX	+ 1.0	SSBYX
SSAJX	+ 1.0	SSAHX

High negative correlations

SSBWX	- 0.0	SSADX
SSAKX	- 0.0	SSADX
SSAQX	- 0.0	SSADX
SSAOX	- 0.0	SSADX
SSAFX	- 0.0	SSADX
SSADX	- 0.0	SSAIX

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
SSBYX	0.29	0.04	(0.02)	0.19	0.00	(0.34)	0.70	(0.50)	1.75
SSAHX	0.21	0.04	(0.09)	0.20	0.00	(0.27)	0.56	(0.39)	1.47
SSAJX	0.28	0.04	(0.02)	0.18	0.00	(0.34)	0.65	(0.43)	1.75
SSAIX	0.53	0.05	0.03	0.17	0.52	(0.57)	1.26	(1.20)	2.85
SSADX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
SSAFX	0.22	0.04	(0.21)	0.68	0.00	(0.26)	0.50	(0.36)	1.40
SSAOX	0.38	0.05	0.03	0.17	0.19	(0.45)	0.97	(0.66)	2.12
SSAQX	0.47	0.07	0.08	0.18	0.31	(0.55)	1.18	(0.73)	3.03
SSAKX	0.36	0.04	0.02	0.17	0.14	(0.43)	0.88	(0.62)	2.00
SSBWX	0.29	0.04	(0.02)	0.18	0.00	(0.36)	0.66	(0.43)	1.76

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