State Street Correlations
| SSADX Fund | 10.71 0.00 0.00% |
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 |
Moving together with State Mutual Fund
Related Correlations Analysis
| Click cells to compare fundamentals | 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AGGWX | 1.52 | 0.03 | (0.04) | 0.56 | 2.24 | 2.98 | 11.80 | |||
| FRGOX | 1.48 | 0.11 | (0.01) | (4.19) | 2.03 | 3.01 | 11.91 | |||
| GSYPX | 0.87 | 0.25 | 0.08 | (1.49) | 0.80 | 2.43 | 5.86 | |||
| SGDIX | 1.38 | 0.11 | (0.01) | 4.85 | 2.03 | 3.31 | 11.33 | |||
| IOGYX | 1.37 | 0.04 | (0.04) | 0.37 | 1.99 | 2.72 | 10.46 | |||
| UNWPX | 1.21 | 0.21 | 0.04 | (2.62) | 1.18 | 2.72 | 7.43 | |||
| IIGCX | 1.60 | 0.24 | (0.01) | (0.10) | 2.17 | 3.27 | 12.48 | |||
| FEGOX | 1.35 | 0.02 | (0.05) | 0.35 | 1.85 | 2.46 | 9.95 |