Sit International Correlations

SEITX Fund

USD 11.68 0.06 0.52%

The current 90-days correlation between Sit International Equity and Tax Managed Large Cap is 0.18 (i.e., Average diversification). The correlation of Sit International 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.

Sit International Correlation With Market

Very weak diversification

The correlation between Sit International Equity and DJI is 0.46 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit International Equity 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 Sit International Equity. 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 estimate.

Moving together with Sit Mutual Fund

0.63	SAAAX	Simt Multi Asset	Pair Corr
0.84	SRWAX	Saat Market Growth	Pair Corr
0.77	SSCGX	Simt Small Cap	Pair Corr
0.87	SSEAX	Siit Screened World	Pair Corr
0.84	SSMAX	Siit Small Mid	Pair Corr
0.92	SSPIX	Simt Sp 500	Pair Corr
0.66	STAYX	Stet Tax Advantaged	Pair Corr
0.93	STLYX	Simt Tax Managed	Pair Corr
0.91	STMPX	Simt Tax Managed	Pair Corr
0.91	STMSX	Simt Tax Managed	Pair Corr
0.94	STVYX	Simt Tax Managed	Pair Corr
0.77	SCFYX	Simt E Fixed	Pair Corr
0.93	SCLAX	Simt Multi Asset	Pair Corr
0.77	CFVAX	Catholic Values Fixed	Pair Corr
0.74	SCOAX	Siit E Fixed	Pair Corr
0.77	CFVYX	Catholic Values Fixed	Pair Corr
0.91	SCPAX	Siit Large Cap	Pair Corr
0.79	SCXIX	Sei Insti Mgd	Pair Corr
0.93	SUSYX	Simt Managed Volatility	Pair Corr
0.91	SDLAX	Siit Dynamic Asset	Pair Corr
0.91	SVAYX	Simt Large Cap	Pair Corr
0.87	SDYAX	Simt Dynamic Asset	Pair Corr
0.93	SVOAX	Simt Managed Volatility	Pair Corr
0.86	SDYYX	Simt Dynamic Asset	Pair Corr

Moving against Sit Mutual Fund

0.7	ENIAX	Siit Opportunistic Income	Pair Corr
0.64	STDAX	Saat Defensive Strategy	Pair Corr
0.62	TFCYX	Tax Free Conservative	Pair Corr
0.6	TFCAX	Tax Free Conservative	Pair Corr
0.67	SECYX	Sdit Ultra Short	Pair Corr
0.66	SUSAX	Siit Ultra Short	Pair Corr
0.66	SECPX	Sdit Ultra Short	Pair Corr
0.58	SDGFX	Sdit Short Duration	Pair Corr

Related Correlations Analysis

	RETSX	ACWDX	LMUSX	WABMSX	WMCANX	FFCDAX	MSSGX	FURYAX
RETSX		0.71	0.82	0.35	0.36	0.25	0.63	0.37	RETSX
ACWDX	0.71		0.91	0.41	0.41	0.23	0.34	0.38	ACWDX
LMUSX	0.82	0.91		0.46	0.46	0.33	0.48	0.37	LMUSX
WABMSX	0.35	0.41	0.46		0.99	0.45	-0.19	0.82	WABMSX
WMCANX	0.36	0.41	0.46	0.99		0.48	-0.15	0.82	WMCANX
FFCDAX	0.25	0.23	0.33	0.45	0.48		-0.23	0.3	FFCDAX
MSSGX	0.63	0.34	0.48	-0.19	-0.15	-0.23		-0.1	MSSGX
FURYAX	0.37	0.38	0.37	0.82	0.82	0.3	-0.1		FURYAX
	RETSX	ACWDX	LMUSX	WABMSX	WMCANX	FFCDAX	MSSGX	FURYAX

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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

WMCANX	+ 0.99	WABMSX
LMUSX	+ 0.91	ACWDX
LMUSX	+ 0.82	RETSX
FURYAX	+ 0.82	WABMSX
FURYAX	+ 0.82	WMCANX
ACWDX	+ 0.71	RETSX

High negative correlations

MSSGX	- 0.23	FFCDAX
MSSGX	- 0.19	WABMSX
MSSGX	- 0.15	WMCANX
FURYAX	- 0.1	MSSGX

Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit International 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 Sit International'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
RETSX	0.58	0.04	(0.04)	1.01	0.80	(0.60)	1.19	(1.46)	5.40
ACWDX	0.78	0.02	(0.01)	0.13	1.03	(0.83)	1.63	(1.48)	8.59
LMUSX	0.74	0.00	(0.02)	0.08	1.19	(0.70)	1.27	(1.59)	6.30
WABMSX	0.49	0.15	0.11	1.13	0.41	(0.61)	1.13	(0.86)	2.33
WMCANX	0.49	0.10	0.00	0.61	0.00	0.00	1.07	(0.93)	2.41
FFCDAX	0.15	0.01	(0.17)	(0.93)	0.27	(0.16)	0.21	(0.21)	1.03
MSSGX	1.59	0.40	0.20	0.81	1.49	(2.02)	3.81	(2.32)	11.74
FURYAX	0.51	0.16	0.12	1.66	0.42	(0.69)	1.21	(1.31)	2.27

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