State Street Correlations

SSKEX Fund

USD 66.58 0.07 0.11%

The current 90-days correlation between State Street Emerging and State Street Target is 0.45 (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

Significant diversification

The correlation between State Street Emerging and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Emerging 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 Emerging. 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 income.

Moving together with State Mutual Fund

0.68	SSAIX	Ssga International Stock	Pair Corr
0.61	SSASX	State Street Income	Pair Corr
0.92	SSGLX	State Street Global	Pair Corr
0.92	SSGHX	State Street Global	Pair Corr
0.92	SSGJX	State Street Global	Pair Corr
0.9	SSGVX	State Street Global	Pair Corr

Moving against State Mutual Fund

0.6	SSAQX	State Street Core	Pair Corr
0.63	SSEYX	State Street Equity	Pair Corr
0.75	SSMKX	State Street Smallmid	Pair Corr
0.71	SSMLX	State Street Smallmid	Pair Corr
0.69	SSMHX	State Street Smallmid	Pair Corr
0.66	SSFRX	State Street Equity	Pair Corr

Related Correlations Analysis

	SSAHX	SSAJX	SSAIX	SSADX	SSAFX	SSAOX	SSAQX	SSAKX	SSBYX	SSBWX
SSAHX		0.99	0.46	0.98	0.59	0.95	0.37	0.97	0.99	0.99	SSAHX
SSAJX	0.99		0.39	0.96	0.51	0.98	0.45	0.99	1.0	1.0	SSAJX
SSAIX	0.46	0.39		0.58	0.85	0.21	-0.42	0.28	0.36	0.37	SSAIX
SSADX	0.98	0.96	0.58		0.72	0.88	0.22	0.91	0.95	0.95	SSADX
SSAFX	0.59	0.51	0.85	0.72		0.31	-0.45	0.38	0.48	0.49	SSAFX
SSAOX	0.95	0.98	0.21	0.88	0.31		0.61	1.0	0.98	0.98	SSAOX
SSAQX	0.37	0.45	-0.42	0.22	-0.45	0.61		0.55	0.48	0.47	SSAQX
SSAKX	0.97	0.99	0.28	0.91	0.38	1.0	0.55		0.99	0.99	SSAKX
SSBYX	0.99	1.0	0.36	0.95	0.48	0.98	0.48	0.99		1.0	SSBYX
SSBWX	0.99	1.0	0.37	0.95	0.49	0.98	0.47	0.99	1.0		SSBWX
	SSAHX	SSAJX	SSAIX	SSADX	SSAFX	SSAOX	SSAQX	SSAKX	SSBYX	SSBWX

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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

SSBYX	+ 1.0	SSAJX
SSBWX	+ 1.0	SSAJX
SSAKX	+ 1.0	SSAOX
SSBWX	+ 1.0	SSBYX
SSAJX	+ 0.99	SSAHX
SSBYX	+ 0.99	SSAHX

High negative correlations

SSAQX	- 0.45	SSAFX
SSAQX	- 0.42	SSAIX

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
SSAHX	0.28	(0.03)	0.00	(0.43)	0.00	0.00	0.47	(0.54)	2.25
SSAJX	0.34	(0.03)	0.00	(0.37)	0.00	0.00	0.58	(0.65)	2.73
SSAIX	0.57	(0.09)	0.00	(0.27)	0.00	0.00	1.15	(1.30)	3.78
SSADX	0.22	(0.03)	0.00	(0.56)	0.00	0.00	0.35	(0.52)	1.82
SSAFX	0.25	(0.08)	0.00	(1.99)	0.00	0.00	0.43	(0.71)	1.61
SSAOX	0.45	(0.02)	0.00	(0.22)	0.00	0.00	0.82	(0.94)	3.41
SSAQX	0.51	0.03	0.03	0.08	0.72	(0.52)	1.00	(0.99)	5.25
SSAKX	0.41	(0.02)	0.00	(0.25)	0.00	0.00	0.79	(0.86)	3.22
SSBYX	0.34	(0.03)	0.00	(0.36)	0.00	0.00	0.58	(0.65)	2.65
SSBWX	0.34	(0.03)	0.00	(0.31)	0.00	0.00	0.58	(0.58)	2.74

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