State Street Correlations

SIVIX Fund

USD 17.01 0.17 1.01%

The current 90-days correlation between State Street Institu and State Street Core is -0.12 (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

Very poor diversification

The correlation between State Street Institutional and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Institutional 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 Institutional. 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 gross domestic product.

Moving together with State Mutual Fund

0.95	SSAHX	State Street Target	Pair Corr
0.96	SSAJX	State Street Target	Pair Corr
0.92	SSAIX	Ssga International Stock	Pair Corr
0.97	SSAOX	State Street Target	Pair Corr
0.94	SSAQX	State Street Core	Pair Corr
0.96	SSAKX	State Street Target	Pair Corr
0.94	SSBYX	State Street Target	Pair Corr
0.94	SSBWX	State Street Target	Pair Corr
0.94	SSCKX	State Street Target	Pair Corr
0.95	SSCNX	State Street Target	Pair Corr
0.96	SSCJX	State Street Target	Pair Corr
0.96	SSCQX	State Street Target	Pair Corr
0.97	SSAWX	State Street Target	Pair Corr
0.96	SSAZX	State Street Target	Pair Corr
0.95	SSAYX	State Street Target	Pair Corr
0.95	SSAUX	State Street Target	Pair Corr
0.94	SSBRX	State Street Target	Pair Corr
0.95	SSBSX	State Street Target	Pair Corr
0.97	SSDYX	State Street Target	Pair Corr
0.95	SSEYX	State Street Equity	Pair Corr
0.97	SSDEX	State Street Target	Pair Corr
0.95	SSDDX	State Street Target	Pair Corr
0.97	SSDOX	State Street Target	Pair Corr
0.97	SSDJX	State Street Target	Pair Corr
0.97	SSDLX	State Street Target	Pair Corr
0.95	SSDWX	State Street Target	Pair Corr
0.95	SSDQX	State Street Target	Pair Corr
0.94	SSGLX	State Street Global	Pair Corr
0.93	SSGHX	State Street Global	Pair Corr
0.95	SSGJX	State Street Global	Pair Corr
0.94	SSGVX	State Street Global	Pair Corr
0.95	SSFJX	State Street Target	Pair Corr
0.97	SSFKX	State Street Target	Pair Corr

Related Correlations Analysis

	SSAQX	SSASX	SSQSX	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF
SSAQX		0.57	0.97	0.99	0.97	0.98	0.99	0.0	-0.11	0.02	SSAQX
SSASX	0.57		0.46	0.59	0.65	0.55	0.63	0.0	0.43	0.44	SSASX
SSQSX	0.97	0.46		0.97	0.93	0.95	0.96	0.0	-0.24	-0.16	SSQSX
MSTSX	0.99	0.59	0.97		0.98	0.98	1.0	0.0	-0.11	0.0	MSTSX
LBHIX	0.97	0.65	0.93	0.98		0.97	0.98	0.0	-0.05	0.06	LBHIX
VIASP	0.98	0.55	0.95	0.98	0.97		0.98	0.0	-0.16	-0.05	VIASP
RRTLX	0.99	0.63	0.96	1.0	0.98	0.98		0.0	-0.09	0.02	RRTLX
OSHDF	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	OSHDF
70082LAB3	-0.11	0.43	-0.24	-0.11	-0.05	-0.16	-0.09	0.0		0.71	70082LAB3
SITKF	0.02	0.44	-0.16	0.0	0.06	-0.05	0.02	0.0	0.71		SITKF
	SSAQX	SSASX	SSQSX	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF

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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

RRTLX	+ 1.0	MSTSX
MSTSX	+ 0.99	SSAQX
RRTLX	+ 0.99	SSAQX
VIASP	+ 0.98	SSAQX
LBHIX	+ 0.98	MSTSX
VIASP	+ 0.98	MSTSX

High negative correlations

70082LAB3	- 0.24	SSQSX
70082LAB3	- 0.16	VIASP
SITKF	- 0.16	SSQSX
70082LAB3	- 0.11	MSTSX
70082LAB3	- 0.11	SSAQX
70082LAB3	- 0.09	RRTLX

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
SSAQX	0.64	0.26	0.08	(2.20)	0.52	(0.74)	2.04	(1.20)	4.82
SSASX	0.28	0.02	(0.39)	(10.08)	0.27	(0.33)	0.52	(0.52)	1.66
SSQSX	0.89	0.23	0.03	(0.90)	0.86	(1.06)	2.08	(1.88)	6.51
MSTSX	0.49	0.20	0.02	(1.99)	0.33	(0.58)	1.45	(1.17)	3.51
LBHIX	0.18	0.04	(0.32)	0.41	0.00	(0.33)	0.49	(0.24)	1.22
VIASP	0.44	0.16	0.03	1.43	0.00	(0.57)	1.01	(0.76)	4.38
RRTLX	0.23	0.09	(0.20)	(2.23)	0.00	(0.30)	0.73	(0.39)	1.74
OSHDF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
70082LAB3	1.56	(0.07)	0.00	0.56	0.00	0.00	2.55	(4.54)	20.47
SITKF	3.19	0.49	0.03	(0.33)	3.70	(4.72)	7.32	(6.98)	23.19

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