State Street Correlations

SSFRX Fund

USD 475.73 3.68 0.78%

The current 90-days correlation between State Street Equity and Invesco Diversified Dividend is 0.03 (i.e., Significant 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

Significant diversification

The correlation between State Street Equity and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Equity 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 Equity. 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 metropolitan statistical area.

Moving together with State Mutual Fund

1.0	SSAQX	State Street Core	Pair Corr
0.98	SSAKX	State Street Target	Pair Corr
0.98	SSCQX	State Street Target	Pair Corr
1.0	SSDEX	State Street Target	Pair Corr
0.95	SSQSX	State Street Institu	Pair Corr
0.95	SIVIX	State Street Institu	Pair Corr
0.99	TLATX	Transamerica Large Core	Pair Corr
0.94	VSFCX	Federated Clover Small	Pair Corr
0.97	HDIVX	Henderson Dividend Income	Pair Corr
1.0	AGYWX	Growth Fund Y	Pair Corr
0.83	LMLCX	Western Asset Smash	Pair Corr
1.0	LAMQX	Lord Abbett Calibrated	Pair Corr
0.96	NMCIX	Voya Midcap Opportunities	Pair Corr
0.96	ADVMX	Advisory Research	Pair Corr
0.68	VWTFX	Tomorrows Scholar College	Pair Corr
0.96	PCVAX	Allianzgi Nfj Small	Pair Corr

Moving against State Mutual Fund

0.35

GPMFX

Guidepath Managed Futures

Pair Corr

Related Correlations Analysis

	DDFIX	JPDVX	PGBAX	HIIDX	MCKSX	FPTPX	VDSCX
DDFIX		0.86	0.86	0.96	0.99	0.98	0.87	DDFIX
JPDVX	0.86		0.97	0.84	0.86	0.88	0.99	JPDVX
PGBAX	0.86	0.97		0.81	0.86	0.88	0.96	PGBAX
HIIDX	0.96	0.84	0.81		0.97	0.97	0.84	HIIDX
MCKSX	0.99	0.86	0.86	0.97		0.99	0.86	MCKSX
FPTPX	0.98	0.88	0.88	0.97	0.99		0.88	FPTPX
VDSCX	0.87	0.99	0.96	0.84	0.86	0.88		VDSCX
	DDFIX	JPDVX	PGBAX	HIIDX	MCKSX	FPTPX	VDSCX

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Check Volatility

Backtest Portfolio

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
DDFIX	0.47	0.03	(0.11)	0.28	0.29	(0.56)	1.06	(0.71)	3.50
JPDVX	0.34	0.14	(0.19)	(6.10)	0.00	(0.39)	0.91	(0.63)	2.49
PGBAX	0.12	0.03	(1.03)	(5.72)	0.00	(0.16)	0.26	(0.25)	0.68
HIIDX	0.49	0.10	(0.05)	0.48	0.35	(0.57)	1.21	(0.87)	3.13
MCKSX	0.23	0.02	(0.34)	0.29	0.00	(0.27)	0.59	(0.50)	1.71
FPTPX	0.23	0.04	(0.35)	0.41	0.00	(0.30)	0.60	(0.37)	1.79
VDSCX	0.55	0.29	0.04	(2.04)	0.00	(0.65)	1.13	(0.81)	4.77

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