State Street Correlations

Mutual Funds . USA . 
Fund . State Street Smallmid
SSMLX Fund  USD 342.51  0.22  0.06%   
The current 90-days correlation between State Street Smallmid and State Street Target is 0.47 (i.e., Very weak 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 Smallmid and DJI is 0.73 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Smallmid 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 Smallmid. 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 industry.

Moving together with State Mutual Fund

  0.92SSAHX State Street TargetPairCorr
  0.92SSAJX State Street TargetPairCorr
  0.93SSAOX State Street TargetPairCorr
  0.93SSAKX State Street TargetPairCorr
  0.81SSBYX State Street TargetPairCorr
  0.93SSCKX State Street TargetPairCorr
  0.81SSCQX State Street TargetPairCorr
  0.96SSAWX State Street TargetPairCorr
  0.93SSAZX State Street TargetPairCorr
  0.96SSAYX State Street TargetPairCorr
  0.94SSAUX State Street TargetPairCorr
  0.92SSBSX State Street TargetPairCorr
  0.96SSDYX State Street TargetPairCorr
  0.85SSEYX State Street EquityPairCorr
  0.93SSDEX State Street TargetPairCorr
  0.94SSDLX State Street TargetPairCorr
  0.96SSDQX State Street TargetPairCorr
  0.94SSGLX State Street GlobalPairCorr
  0.94SSGHX State Street GlobalPairCorr
  0.94SSGJX State Street GlobalPairCorr
  0.94SSGVX State Street GlobalPairCorr
  0.96SSFJX State Street TargetPairCorr
  0.96SSFKX State Street TargetPairCorr
  0.86SSFRX State Street EquityPairCorr
  0.94SSFOX State Street TargetPairCorr
  0.87SSIQX Ssga International StockPairCorr
  0.87SSILX Ssga International StockPairCorr
  0.91SSHQX State Street HedgedPairCorr
  0.84SSKEX State Street EmergingPairCorr
  1.0SSMKX State Street SmallmidPairCorr
  0.96SSMHX State Street SmallmidPairCorr
  1.0SSMJX 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  0.26  0.05 (0.04) 0.26  0.00 
(0.33)
 0.49 
(0.49)
 2.87 
SSAJX  0.35  0.07  0.04  0.29  0.00 
(0.43)
 0.68 
(0.59)
 4.24 
SSAFX  0.15 (0.01)(0.45)(0.26) 0.19 
(0.15)
 0.29 
(0.29)
 1.00 
SSAOX  0.48  0.09  0.07  0.24  0.33 
(0.58)
 0.91 
(0.94)
 4.62 
SSAQX  0.74  0.27  0.21 (1.28) 0.31 
(0.88)
 1.11 
(1.18)
 15.13 
SSAKX  0.46  0.09  0.08  0.27  0.24 
(0.55)
 0.88 
(0.80)
 5.00 
SSBYX  0.29  0.03 (0.12) 0.30  0.30 
(0.33)
 0.58 
(0.58)
 1.80 
SSCKX  0.42  0.08  0.06  0.28  0.20 
(0.50)
 0.78 
(0.76)
 4.52 
SSCQX  0.39  0.03 (0.07) 0.28  0.43 
(0.43)
 0.77 
(0.88)
 2.22 
SSAWX  0.49  0.06  0.04  0.19  0.39 
(0.55)
 0.97 
(0.98)
 3.01 

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