State Street Correlations

Mutual Funds . USA . 
Fund . State Street Aggregate
SSFDX Fund  USD 88.28  0.24  0.27%   
The current 90-days correlation between State Street Aggregate and State Street Target is 0.21 (i.e., Modest 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 Aggregate and DJI is 0.64 (i.e., Poor 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.
  
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in State Street Aggregate. 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 small area income & poverty estimates.

Moving together with State Mutual Fund

  0.71SSAHX State Street TargetPairCorr
  0.69SSAJX State Street TargetPairCorr
  0.99SSAFX State Street AggregatePairCorr
  0.69SSAOX State Street TargetPairCorr
  0.68SSAKX State Street TargetPairCorr
  0.74SSBYX State Street TargetPairCorr
  0.69SSCKX State Street TargetPairCorr
  0.71SSCQX State Street TargetPairCorr
  0.69SSAWX State Street TargetPairCorr
  0.69SSAZX State Street TargetPairCorr
  0.69SSAYX State Street TargetPairCorr
  0.96SSASX State Street IncomePairCorr
  0.69SSAUX State Street TargetPairCorr
  0.71SSBSX State Street TargetPairCorr
  0.7SSDYX State Street TargetPairCorr
  0.69SSDEX State Street TargetPairCorr
  0.69SSDLX State Street TargetPairCorr
  0.7SSDQX State Street TargetPairCorr
  0.72SSGLX State Street GlobalPairCorr
  0.72SSGHX State Street GlobalPairCorr
  0.72SSGJX State Street GlobalPairCorr
  0.72SSGVX State Street GlobalPairCorr
  0.99SSFCX State Street AggregatePairCorr
  0.7SSFJX State Street TargetPairCorr
  0.7SSFKX State Street TargetPairCorr
  1.0SSFEX State Street AggregatePairCorr
  0.74SSFOX State Street TargetPairCorr
  0.73SSIQX Ssga International StockPairCorr
  0.73SSILX Ssga International StockPairCorr
  0.73SSHQX State Street HedgedPairCorr
  0.68SSKEX State Street EmergingPairCorr
  0.61SSMLX State Street SmallmidPairCorr
  0.61SSMKX State Street SmallmidPairCorr
  0.61SSMHX State Street SmallmidPairCorr
  0.61SSMJX State Street SmallmidPairCorr

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
SSAHX  0.28  0.06  0.05  0.26  0.00 
(0.34)
 0.54 
(0.49)
 3.33 
SSAJX  0.37  0.08  0.09  0.27  0.17 
(0.43)
 0.69 
(0.66)
 4.86 
SSAFX  0.15  0.02 (0.22) 0.93  0.06 
(0.16)
 0.31 
(0.27)
 0.97 
SSAOX  0.51  0.09  0.09  0.22  0.42 
(0.58)
 0.95 
(1.05)
 5.60 
SSAQX  0.77  0.11  0.12  0.16  0.64 
(0.89)
 1.14 
(1.35)
 16.13 
SSAKX  0.49  0.09  0.10  0.24  0.37 
(0.57)
 0.89 
(0.92)
 5.91 
SSBYX  0.31  0.02 (0.03) 0.11  0.34 
(0.35)
 0.66 
(0.71)
 1.92 
SSCKX  0.45  0.09  0.10  0.25  0.32 
(0.53)
 0.84 
(0.83)
 5.34 
SSCQX  0.42  0.02  0.00  0.10  0.45 
(0.48)
 0.79 
(0.92)
 2.34 
SSAWX  0.52  0.07  0.06  0.16  0.50 
(0.57)
 1.05 
(1.14)
 4.09 

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