State Street Correlations

SSGVX Fund

USD 143.81 1.21 0.85%

The current 90-days correlation between State Street Global and Federated Municipal High is 0.25 (i.e., Modest 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.

Check out World Market Map to better understand how to build diversified portfolios. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with State Mutual Fund

0.99	VGTSX	Vanguard Total Inter	Pair Corr
0.99	VTIAX	Vanguard Total Inter	Pair Corr
0.99	VTSNX	Vanguard Total Inter	Pair Corr
0.99	VTPSX	Vanguard Total Inter	Pair Corr
0.99	VTISX	Vanguard Total Inter	Pair Corr
0.98	VTMGX	Vanguard Developed	Pair Corr
0.98	VDVIX	Vanguard Developed	Pair Corr
0.98	VTMNX	Vanguard Developed	Pair Corr
0.98	VDIPX	Vanguard Developed	Pair Corr
0.96	FSPSX	Fidelity International	Pair Corr
0.84	XDSMX	Dreyfus Strategic	Pair Corr
0.84	XNXJX	Nuveen New Jersey	Pair Corr
0.83	NXJ	Nuveen New Jersey	Pair Corr
0.81	XNBHX	Neuberger Berman Int	Pair Corr
0.82	IBM	International Business	Pair Corr
0.78	AA	Alcoa Corp	Pair Corr
0.9	GE	GE Aerospace	Pair Corr
0.81	INTC	Intel Aggressive Push	Pair Corr
0.64	AXP	American Express	Pair Corr
0.75	CAT	Caterpillar	Pair Corr
0.62	BAC	Bank of America	Pair Corr

Moving against State Mutual Fund

0.38	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.34	PCF	Putnam High Income	Pair Corr
0.71	T	ATT Inc	Pair Corr
0.6	PG	Procter Gamble	Pair Corr
0.54	MCD	McDonalds	Pair Corr
0.44	BA	Boeing	Pair Corr
0.39	DIS	Walt Disney	Pair Corr

Related Correlations Analysis

	FHTFX	MFTTX	LMUSX	XMHFX	HDCAX	AMTOX	BXDYX	DBELX
FHTFX		0.71	0.81	0.94	0.89	0.87	0.84	0.94	FHTFX
MFTTX	0.71		0.69	0.71	0.83	0.89	0.78	0.66	MFTTX
LMUSX	0.81	0.69		0.76	0.92	0.88	0.74	0.82	LMUSX
XMHFX	0.94	0.71	0.76		0.82	0.82	0.79	0.86	XMHFX
HDCAX	0.89	0.83	0.92	0.82		0.93	0.85	0.86	HDCAX
AMTOX	0.87	0.89	0.88	0.82	0.93		0.88	0.87	AMTOX
BXDYX	0.84	0.78	0.74	0.79	0.85	0.88		0.78	BXDYX
DBELX	0.94	0.66	0.82	0.86	0.86	0.87	0.78		DBELX
	FHTFX	MFTTX	LMUSX	XMHFX	HDCAX	AMTOX	BXDYX	DBELX

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
FHTFX	0.13	0.07	0.25	(11.34)	0.00	(0.24)	0.39	(0.13)	1.16
MFTTX	1.08	0.11	0.08	0.14	1.14	(1.36)	2.91	(1.80)	6.72
LMUSX	0.56	0.05	0.05	0.07	0.78	(0.51)	1.25	(1.38)	3.59
XMHFX	0.15	0.03	0.04	1.47	0.00	(0.22)	0.29	(0.15)	1.45
HDCAX	0.48	0.06	0.08	0.14	0.57	(0.53)	1.01	(0.99)	2.95
AMTOX	0.45	0.05	0.06	0.11	0.57	(0.49)	0.97	(1.04)	3.23
BXDYX	0.08	0.00	(0.10)	0.41	0.00	(0.15)	0.11	(0.11)	0.64
DBELX	0.22	0.03	0.03	0.24	0.20	(0.24)	0.42	(0.53)	1.28

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State Street Correlations

Moving together with State Mutual Fund

Moving against State Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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