State Street Correlations
| SSFCX Fund | USD 87.55 0.07 0.08% |
The current 90-days correlation between State Street Aggregate and Needham Small Cap is -0.11 (i.e., Good 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
Average diversification
The correlation between State Street Aggregate and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Aggregate and DJI in the same portfolio, assuming nothing else is changed.
State |
Moving together with State Mutual Fund
| 0.63 | SSAJX | State Street Target | PairCorr |
| 0.96 | SSAFX | State Street Aggregate | PairCorr |
| 0.94 | SSASX | State Street Income | PairCorr |
| 0.89 | SSFDX | State Street Aggregate | PairCorr |
| 0.64 | SSFOX | State Street Target | PairCorr |
Related Correlations Analysis
| 0.71 | 0.49 | 0.57 | 0.36 | 0.36 | 0.65 | NESGX | ||
| 0.71 | 0.69 | 0.84 | 0.6 | 0.75 | 0.75 | QUAIX | ||
| 0.49 | 0.69 | 0.76 | 0.82 | 0.81 | 0.9 | MAVKX | ||
| 0.57 | 0.84 | 0.76 | 0.64 | 0.92 | 0.79 | RYSVX | ||
| 0.36 | 0.6 | 0.82 | 0.64 | 0.64 | 0.87 | TVOYX | ||
| 0.36 | 0.75 | 0.81 | 0.92 | 0.64 | 0.75 | PEVAX | ||
| 0.65 | 0.75 | 0.9 | 0.79 | 0.87 | 0.75 | SECAX | ||
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| NESGX | 1.68 | 0.02 | 0.04 | 0.09 | 2.25 | 3.09 | 10.97 | |||
| QUAIX | 1.16 | 0.04 | (0.01) | 0.25 | 1.69 | 2.51 | 7.26 | |||
| MAVKX | 0.79 | (0.01) | 0.00 | 0.07 | 0.85 | 1.94 | 5.28 | |||
| RYSVX | 0.98 | 0.00 | (0.03) | 0.08 | 1.29 | 2.18 | 5.39 | |||
| TVOYX | 0.78 | (0.01) | 0.00 | 0.07 | 0.89 | 1.80 | 4.49 | |||
| PEVAX | 0.79 | (0.01) | (0.06) | 0.04 | 0.98 | 1.70 | 4.38 | |||
| SECAX | 0.91 | (0.02) | 0.01 | 0.06 | 1.06 | 2.19 | 5.26 |