Simt Large Correlations

SLYCX Fund

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The current 90-days correlation between Simt Large Cap and Simt Mid Cap is 0.92 (i.e., Almost no diversification). The correlation of Simt Large 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.

Simt Large Correlation With Market

Almost no diversification

The correlation between Simt Large Cap and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Simt Large Cap 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 Simt Large Cap. 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 Simt Mutual Fund

0.77	SRWAX	Saat Market Growth	Pair Corr
0.96	SSCGX	Simt Small Cap	Pair Corr
0.88	SSGAX	Saat Aggressive Strategy	Pair Corr
0.86	SASDX	Saat Aggressive Strategy	Pair Corr
0.96	SSMAX	Siit Small Mid	Pair Corr
0.74	TFCAX	Tax Free Conservative	Pair Corr
0.79	TFCYX	Tax Free Conservative	Pair Corr
0.99	SSPIX	Simt Sp 500	Pair Corr
0.87	STDAX	Saat Defensive Strategy	Pair Corr
0.87	ENIAX	Siit Opportunistic Income	Pair Corr
0.97	STLYX	Simt Tax Managed	Pair Corr
0.95	STMPX	Simt Tax Managed	Pair Corr
0.95	STMSX	Simt Tax Managed	Pair Corr
0.83	STVYX	Simt Tax Managed	Pair Corr
0.95	SCPAX	Siit Large Cap	Pair Corr
0.97	SUSYX	Simt Managed Volatility	Pair Corr
0.73	SUSAX	Siit Ultra Short	Pair Corr
0.95	SDLAX	Siit Dynamic Asset	Pair Corr
0.98	SVAYX	Simt Large Cap	Pair Corr
0.95	SDYAX	Simt Dynamic Asset	Pair Corr
0.97	SVOAX	Simt Managed Volatility	Pair Corr
0.95	SDYYX	Simt Dynamic Asset	Pair Corr
0.83	SEAIX	Saat Aggressive Strategy	Pair Corr

Moving against Simt Mutual Fund

0.41	SBDAX	Stet California Municipal	Pair Corr
0.71	SCFYX	Simt E Fixed	Pair Corr
0.71	CFVYX	Catholic Values Fixed	Pair Corr
0.71	SCXIX	Sei Insti Mgd	Pair Corr
0.7	SCOAX	Siit E Fixed	Pair Corr
0.37	SCYYX	Stet California Municipal	Pair Corr

Related Correlations Analysis

	SIPIX	SISAX	SITEX	SIYYX	SAAAX	SRWAX	SRYRX	SSCGX	SSEAX
SIPIX		0.85	-0.27	0.75	-0.24	0.71	-0.01	0.98	0.03	SIPIX
SISAX	0.85		0.07	0.72	0.05	0.83	0.25	0.81	0.4	SISAX
SITEX	-0.27	0.07		-0.01	0.92	0.39	0.87	-0.28	0.65	SITEX
SIYYX	0.75	0.72	-0.01		-0.09	0.67	0.32	0.67	0.24	SIYYX
SAAAX	-0.24	0.05	0.92	-0.09		0.46	0.83	-0.24	0.6	SAAAX
SRWAX	0.71	0.83	0.39	0.67	0.46		0.56	0.68	0.58	SRWAX
SRYRX	-0.01	0.25	0.87	0.32	0.83	0.56		-0.05	0.55	SRYRX
SSCGX	0.98	0.81	-0.28	0.67	-0.24	0.68	-0.05		0.0	SSCGX
SSEAX	0.03	0.4	0.65	0.24	0.6	0.58	0.55	0.0		SSEAX
	SIPIX	SISAX	SITEX	SIYYX	SAAAX	SRWAX	SRYRX	SSCGX	SSEAX

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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

SSCGX	+ 0.98	SIPIX
SAAAX	+ 0.92	SITEX
SRYRX	+ 0.87	SITEX
SISAX	+ 0.85	SIPIX
SRWAX	+ 0.83	SISAX
SRYRX	+ 0.83	SAAAX

High negative correlations

SSCGX	- 0.28	SITEX
SITEX	- 0.27	SIPIX
SSCGX	- 0.24	SAAAX
SAAAX	- 0.24	SIPIX
SAAAX	- 0.09	SIYYX
SSCGX	- 0.05	SRYRX

Risk-Adjusted Indicators

There is a big difference between Simt Mutual Fund performing well and Simt Large 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 Simt Large'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
SIPIX	0.59	0.03	0.03	0.15	0.42	(0.70)	1.46	(0.91)	4.13
SISAX	0.46	0.04	(0.13)	3.44	0.48	(0.54)	0.90	(0.74)	2.75
SITEX	0.24	(0.03)	0.00	(0.70)	0.00	0.00	0.34	(0.56)	1.95
SIYYX	0.15	0.04	(0.41)	(0.93)	0.00	(0.30)	0.38	(0.19)	1.13
SAAAX	0.42	(0.05)	(0.25)	(0.02)	0.46	(0.50)	0.80	(0.81)	2.45
SRWAX	0.32	(0.02)	(0.20)	0.08	0.31	(0.42)	0.71	(0.69)	1.98
SRYRX	0.11	0.00	(0.66)	(0.32)	0.09	(0.17)	0.21	(0.21)	0.93
SSCGX	0.95	0.02	0.07	0.13	0.91	(1.06)	2.14	(1.59)	6.92
SSEAX	0.55	(0.02)	0.00	0.94	0.00	0.00	0.96	(1.12)	3.12

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