State Street Correlations

SALXX Fund

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The current 90-days correlation between State Street Master and Vanguard Total Stock is 0.06 (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

Good diversification

The correlation between State Street Master and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Master 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 Master. Also, note that the market value of any money market fund could be closely tied with the direction of predictive economic indicators such as signals in interest.

Moving together with State Money Market Fund

0.7	VTSAX	Vanguard Total Stock	Pair Corr
0.7	VFIAX	Vanguard 500 Index	Pair Corr
0.7	VTSMX	Vanguard Total Stock	Pair Corr
0.7	VITSX	Vanguard Total Stock	Pair Corr
0.7	VSTSX	Vanguard Total Stock	Pair Corr
0.7	VSMPX	Vanguard Total Stock	Pair Corr
0.7	VFINX	Vanguard 500 Index	Pair Corr
0.7	VFFSX	Vanguard 500 Index	Pair Corr
0.73	VGTSX	Vanguard Total Inter	Pair Corr
0.73	VTIAX	Vanguard Total Inter	Pair Corr
0.68	NHS	Neuberger Berman High	Pair Corr
0.64	DD	Dupont De Nemours	Pair Corr
0.63	CSCO	Cisco Systems	Pair Corr
0.69	DIS	Walt Disney	Pair Corr
0.61	CAT	Caterpillar	Pair Corr
0.74	BA	Boeing	Pair Corr
0.72	MSFT	Microsoft	Pair Corr

Moving against State Money Market Fund

0.5

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Pair Corr

Related Correlations Analysis

	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX
VTSAX		1.0	1.0	1.0	1.0	1.0	1.0	1.0	0.98	0.98	VTSAX
VFIAX	1.0		1.0	1.0	1.0	1.0	1.0	1.0	0.98	0.98	VFIAX
VTSMX	1.0	1.0		1.0	1.0	1.0	1.0	1.0	0.98	0.98	VTSMX
VITSX	1.0	1.0	1.0		1.0	1.0	1.0	1.0	0.98	0.98	VITSX
VSTSX	1.0	1.0	1.0	1.0		1.0	1.0	1.0	0.98	0.98	VSTSX
VSMPX	1.0	1.0	1.0	1.0	1.0		1.0	1.0	0.98	0.98	VSMPX
VFINX	1.0	1.0	1.0	1.0	1.0	1.0		1.0	0.98	0.98	VFINX
VFFSX	1.0	1.0	1.0	1.0	1.0	1.0	1.0		0.98	0.98	VFFSX
VGTSX	0.98	0.98	0.98	0.98	0.98	0.98	0.98	0.98		1.0	VGTSX
VTIAX	0.98	0.98	0.98	0.98	0.98	0.98	0.98	0.98	1.0		VTIAX
	VTSAX	VFIAX	VTSMX	VITSX	VSTSX	VSMPX	VFINX	VFFSX	VGTSX	VTIAX

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Risk-Adjusted Indicators

There is a big difference between State Money Market Fund performing well and State Street Money Market 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
VTSAX	0.66	0.12	0.11	0.27	0.54	(0.76)	2.07	(1.17)	5.05
VFIAX	0.65	0.11	0.11	0.25	0.56	(0.75)	2.02	(1.11)	4.88
VTSMX	0.66	0.12	0.12	0.26	0.55	(0.75)	2.08	(1.17)	5.04
VITSX	0.66	0.12	0.11	0.26	0.55	(0.75)	2.07	(1.17)	5.05
VSTSX	0.66	0.12	0.12	0.26	0.55	(0.73)	2.08	(1.17)	5.04
VSMPX	0.66	0.12	0.12	0.26	0.55	(0.75)	2.08	(1.17)	5.04
VFINX	0.66	0.12	0.11	0.26	0.54	(0.77)	2.02	(1.11)	4.88
VFFSX	0.65	0.11	0.11	0.25	0.56	(0.72)	2.02	(1.11)	4.88
VGTSX	0.46	0.15	0.11	0.52	0.17	(0.52)	1.31	(0.84)	3.09
VTIAX	0.46	0.15	0.10	0.52	0.19	(0.52)	1.35	(0.86)	3.10

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