I want to link libraries statically to my application.
You do that by unchecking BUILD_SHARED_LIBS, the USE_STATIC_STD_LIBS will also link the runtime library statically. The only problem at the moment is, that static runtime libraries will cause the linker errors and thus you can't use them at the moment. So to successfully link your application rebuild SFML without the USE_STATIC_STD_LIBS flag and everything will work.
If you really, really, really want to link the runtime library statically, you'll have to rebuild the external libraries.