State Street Correlations
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 |
Moving together with State Mutual Fund
1.0 | VFIFX | Vanguard Target Reti | PairCorr |
0.88 | AALTX | American Funds 2050 | PairCorr |
0.88 | CCITX | American Funds 2050 | PairCorr |
1.0 | FAITX | American Funds 2050 | PairCorr |
1.0 | FFFHX | Fidelity Freedom 2050 | PairCorr |
1.0 | FZTKX | Fidelity Freedom 2050 | PairCorr |
1.0 | FRLPX | Fidelity Freedom Index | PairCorr |
1.0 | TRJLX | T Rowe Price | PairCorr |
1.0 | FIPFX | Fidelity Freedom Index | PairCorr |
0.94 | PHK | Pimco High Income | PairCorr |
0.98 | UIVMX | Mfs Intrinsic Value | PairCorr |
0.99 | JNRFX | Janus Research | PairCorr |
0.67 | WATPX | Western Asset Inflation | PairCorr |
0.84 | MAUKX | Pioneer Multi Asset | PairCorr |
0.75 | HHMIX | The Hartford Municipal | PairCorr |
0.88 | CVLOX | Calamos Global Growth | PairCorr |
0.81 | ARSVX | Amg River Road | PairCorr |
0.62 | CAT | Caterpillar | PairCorr |
0.61 | JPM | JPMorgan Chase Sell-off Trend | PairCorr |
Moving against State Mutual Fund
Related Correlations Analysis
0.89 | 0.93 | 0.85 | 0.84 | FIDAX | ||
0.89 | 0.97 | 0.72 | 0.7 | PGFMX | ||
0.93 | 0.97 | 0.84 | 0.77 | GCFSX | ||
0.85 | 0.72 | 0.84 | 0.82 | RMBLX | ||
0.84 | 0.7 | 0.77 | 0.82 | BTO | ||
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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 | ||
---|---|---|---|---|---|---|---|---|---|---|
FIDAX | 0.64 | (0.02) | (0.07) | 0.21 | 0.65 | 1.36 | 4.71 | |||
PGFMX | 0.28 | 0.01 | (0.28) | 0.27 | 0.16 | 0.58 | 2.00 | |||
GCFSX | 0.62 | 0.05 | 0.01 | 0.30 | 0.40 | 1.50 | 3.94 | |||
RMBLX | 1.04 | (0.06) | (0.03) | 0.18 | 1.10 | 2.41 | 5.85 | |||
BTO | 0.82 | 0.18 | (0.03) | 2.38 | 0.93 | 2.10 | 6.26 |