State Street Correlations

Mutual Funds . USA . 
Fund . State Street Target
SSCQX Fund  USD 16.56  0.01  0.06%   
The current 90-days correlation between State Street Target and T Rowe Price is 0.72 (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

Almost no diversification

The correlation between State Street Target and DJI is 0.96 (i.e., Almost no 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 main economic indicators.

Moving together with State Mutual Fund

  0.95SSAHX State Street TargetPairCorr
  0.93SSAJX State Street TargetPairCorr
  0.94SSAOX State Street TargetPairCorr
  0.66SSAQX State Street CorePairCorr
  0.95SSAKX State Street TargetPairCorr
  1.0SSBYX State Street TargetPairCorr
  0.95SSCKX State Street TargetPairCorr
  0.95SSAWX State Street TargetPairCorr
  0.95SSAZX State Street TargetPairCorr
  0.98SSAYX State Street TargetPairCorr
  0.94SSAUX State Street TargetPairCorr
  0.95SSBSX State Street TargetPairCorr
  0.98SSDYX State Street TargetPairCorr
  0.91SSEYX State Street EquityPairCorr
  0.96SSDEX State Street TargetPairCorr
  0.97SSDLX State Street TargetPairCorr
  1.0SSDQX State Street TargetPairCorr
  0.97SSGLX State Street GlobalPairCorr
  0.94SSGHX State Street GlobalPairCorr
  0.97SSGJX State Street GlobalPairCorr
  0.97SSGVX State Street GlobalPairCorr
  0.68SSFDX State Street AggregatePairCorr
  0.65SSFCX State Street AggregatePairCorr
  1.0SSFJX State Street TargetPairCorr
  0.96SSFKX State Street TargetPairCorr
  0.66SSFEX State Street AggregatePairCorr
  0.91SSFRX State Street EquityPairCorr
  0.97SSFOX State Street TargetPairCorr
  0.96SSIQX Ssga International StockPairCorr
  0.94SSILX Ssga International StockPairCorr
  0.97SSHQX State Street HedgedPairCorr
  0.93SSKEX State Street EmergingPairCorr
  0.95SSMLX State Street SmallmidPairCorr
  0.94SSMHX State Street SmallmidPairCorr
  0.93SSMJX State Street SmallmidPairCorr
  0.92SSSWX State Street EquityPairCorr

Related Correlations Analysis


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
SSBYX  0.31  0.03 (0.05) 0.15  0.26 
(0.36)
 0.71 
(0.71)
 1.98 
MACFX  0.37  0.04 (0.05)(7.73) 0.82 
(0.41)
 0.54 
(0.54)
 9.34 
JRBYX  0.32  0.03 (0.06) 0.15  0.25 
(0.35)
 0.70 
(0.63)
 1.90 
CCFAX  0.37  0.06 (0.07) 3.86  0.39 
(0.42)
 0.82 
(0.75)
 2.12 
FFFCX  0.19  0.02 (0.19) 0.19  0.00 
(0.23)
 0.41 
(0.40)
 0.95 
SSDQX  0.49  0.04  0.01  0.15  0.51 
(0.56)
 1.05 
(1.20)
 2.84 
NBSRX  0.68  0.09  0.07  0.24  0.56 
(0.73)
 1.37 
(1.33)
 6.89 
FHAPX  0.52  0.06  0.04  0.17  0.55 
(0.57)
 1.05 
(1.09)
 2.80 
FHCIX  0.76 (0.01)(0.06) 0.07  0.83 
(0.94)
 1.72 
(1.58)
 5.13 
TRRAX  0.29  0.07  0.01  0.27  0.00 
(0.37)
 0.62 
(0.49)
 3.84 

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