State Street Correlations

SPGSX Fund

USD 139.28 0.57 0.41%

The current 90-days correlation between State Street Premier and Dunham Large Cap is 0.64 (i.e., Poor 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

Poor diversification

The correlation between State Street Premier and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding State Street Premier 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 Premier. 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 main economic indicators.

Moving together with State Mutual Fund

0.96	VTSAX	Vanguard Total Stock	Pair Corr
0.77	VFIAX	Vanguard 500 Index	Pair Corr
0.96	VTSMX	Vanguard Total Stock	Pair Corr
0.74	VITSX	Vanguard Total Stock	Pair Corr
0.96	VSTSX	Vanguard Total Stock	Pair Corr
0.96	VSMPX	Vanguard Total Stock	Pair Corr
0.77	VFINX	Vanguard 500 Index	Pair Corr
0.98	VFFSX	Vanguard 500 Index	Pair Corr
0.71	VGTSX	Vanguard Total Inter	Pair Corr
0.7	VTIAX	Vanguard Total Inter	Pair Corr
0.89	FPXIX	Fidelity Advisor 529	Pair Corr
0.61	GPICX	Guidepath Conservative	Pair Corr
0.63	AXP	American Express	Pair Corr
0.69	AA	Alcoa Corp	Pair Corr
0.71	IBM	International Business	Pair Corr

Moving against State Mutual Fund

0.69	T	ATT Inc	Pair Corr
0.65	VZ	Verizon Communications	Pair Corr
0.58	PG	Procter Gamble Sell-off Trend	Pair Corr
0.42	HD	Home Depot	Pair Corr
0.32	MCD	McDonalds Sell-off Trend	Pair Corr
0.32	DIS	Walt Disney	Pair Corr
0.32	BA	Boeing	Pair Corr

Related Correlations Analysis

	DNLVX	KCGSX	LGPSX	LBISX	RCLIX	LMUSX	LMTIX
DNLVX		0.8	0.68	0.85	0.85	0.88	0.88	DNLVX
KCGSX	0.8		0.91	0.52	0.92	0.97	0.97	KCGSX
LGPSX	0.68	0.91		0.39	0.79	0.87	0.87	LGPSX
LBISX	0.85	0.52	0.39		0.64	0.67	0.67	LBISX
RCLIX	0.85	0.92	0.79	0.64		0.94	0.94	RCLIX
LMUSX	0.88	0.97	0.87	0.67	0.94		1.0	LMUSX
LMTIX	0.88	0.97	0.87	0.67	0.94	1.0		LMTIX
	DNLVX	KCGSX	LGPSX	LBISX	RCLIX	LMUSX	LMTIX

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
DNLVX	0.49	0.02	0.01	0.08	0.56	(0.52)	1.14	(0.96)	3.20
KCGSX	0.69	0.04	0.04	0.10	0.92	(0.69)	1.60	(1.46)	3.99
LGPSX	0.76	0.08	0.02	0.55	1.08	(0.72)	1.58	(1.76)	4.48
LBISX	0.51	0.01	(0.01)	0.07	0.49	(0.57)	1.13	(1.06)	3.14
RCLIX	0.48	0.00	(0.01)	0.06	0.65	(0.49)	1.07	(0.98)	3.19
LMUSX	0.56	0.03	0.03	0.10	0.76	(0.53)	1.25	(1.38)	3.59
LMTIX	0.56	0.03	0.03	0.10	0.76	(0.52)	1.26	(1.35)	3.64

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