State Street Correlations

SSFPX Fund

17.23 -0.36 -2.05%

Current 90-days correlation between State Street Target and Needham Aggressive Growth is 0.75 (i.e., Poor diversification).Understanding State Street's pairwise correlations with sector peers is a useful first step in identifying truly differentiated exposure within an investment portfolio.

Market Linkage for State Street

Poor diversification

Across the chosen horizon, SSFPX and DJI show a correlation of 0.66 and fall into the Poor diversification bucket. The overlap area represents the portion of risk that may be diversified away when both instruments are held together and nothing else in the portfolio changes.

Use World Market Map to better understand diversified portfolio construction. Broader allocation clarity strengthens diversification analysis. Allocation decisions are shaped by the composition and weighting of holdings. This information is provided for contextual purposes. The allocation shows a weighting toward State Street Target. The position is captured in the allocation summary. 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 employment.

Moving together with State Mutual Fund

0.94	SSAHX	State Street Target	Pair Corr
0.97	SSAJX	State Street Target	Pair Corr
0.7	SSAFX	State Street Aggregate	Pair Corr
0.99	SSAOX	State Street Target	Pair Corr
0.98	SSAKX	State Street Target	Pair Corr
0.96	SSBYX	State Street Target	Pair Corr
0.98	SSCKX	State Street Target	Pair Corr
0.96	SSCQX	State Street Target	Pair Corr
1.0	SSAWX	State Street Target	Pair Corr
0.98	SSAZX	State Street Target	Pair Corr
1.0	SSAYX	State Street Target	Pair Corr
0.68	SSASX	State Street Income	Pair Corr
1.0	SSAUX	State Street Target	Pair Corr
1.0	SSDYX	State Street Target	Pair Corr
0.99	SSDEX	State Street Target	Pair Corr
0.96	SSDQX	State Street Target	Pair Corr
0.95	SSGHX	State Street Global	Pair Corr
0.95	SSGJX	State Street Global	Pair Corr
0.93	SSGVX	State Street Global	Pair Corr
0.7	SSFDX	State Street Aggregate	Pair Corr
0.69	SSFCX	State Street Aggregate	Pair Corr
0.95	SSFJX	State Street Target	Pair Corr
0.96	SSFKX	State Street Target	Pair Corr
0.69	SSFEX	State Street Aggregate	Pair Corr
0.92	SSFOX	State Street Target	Pair Corr
0.92	SSIQX	Ssga International Stock	Pair Corr
0.92	SSHQX	State Street Hedged	Pair Corr
0.91	SSKEX	State Street Emerging	Pair Corr
0.86	SSMLX	State Street Smallmid	Pair Corr
0.86	SSMKX	State Street Smallmid	Pair Corr
0.83	SSMHX	State Street Smallmid	Pair Corr
0.85	SSMJX	State Street Smallmid	Pair Corr

Related Correlations Analysis

	PYHRX	CHICX	AGDAX	CABIX	GUHYX	NEAIX
PYHRX		-0.52	0.84	0.94	0.68	0.85	PYHRX
CHICX	-0.52		-0.1	-0.55	0.14	-0.61	CHICX
AGDAX	0.84	-0.1		0.78	0.88	0.6	AGDAX
CABIX	0.94	-0.55	0.78		0.56	0.85	CABIX
GUHYX	0.68	0.14	0.88	0.56		0.49	GUHYX
NEAIX	0.85	-0.61	0.6	0.85	0.49		NEAIX
	PYHRX	CHICX	AGDAX	CABIX	GUHYX	NEAIX

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

CABIX	+ 0.94	PYHRX
GUHYX	+ 0.88	AGDAX
NEAIX	+ 0.85	PYHRX
NEAIX	+ 0.85	CABIX
AGDAX	+ 0.84	PYHRX
CABIX	+ 0.78	AGDAX

High negative correlations

NEAIX	- 0.61	CHICX
CABIX	- 0.55	CHICX
CHICX	- 0.52	PYHRX
AGDAX	- 0.1	CHICX

Risk-Adjusted Indicators

Evaluating State Mutual Fund requires separating price momentum from underlying business quality relative to competitors. 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
PYHRX	0.10	0.01	0.43	-0.03	0.12	-0.13	0.24	-0.24	0.86
CHICX	0.10	-0.02	0.00	0.69	0.00	0.00	0.33	-0.17	0.99
AGDAX	0.11	-0.01	0.00	-1.56	0.00	0.00	0.29	-0.29	1.01
CABIX	0.44	0.04	0.00	-0.02	0.00	0.00	0.69	-1.04	2.77
GUHYX	0.14	-0.01	0.29	0.22	0.17	-0.29	0.36	-0.36	1.28
NEAIX	1.25	0.30	0.14	0.11	1.63	-1.21	2.34	-2.68	7.78

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