Sit Large Correlations

SNIGX Fund

USD 86.64 0.63 0.72%

The current 90-days correlation between Sit Large Cap and Lord Abbett Affiliated is 0.09 (i.e., Significant diversification). The correlation of Sit 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.

Sit Large Correlation With Market

Very poor diversification

The correlation between Sit Large Cap and DJI is 0.8 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit 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 Sit 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 census.

Moving together with Sit Mutual Fund

0.65	VIGAX	Vanguard Growth Index	Pair Corr
0.73	AGTHX	Growth Fund	Pair Corr
0.76	GFACX	Growth Fund	Pair Corr
0.78	GFAFX	Growth Fund	Pair Corr
0.84	FAFGX	American Funds	Pair Corr
0.84	FFAFX	American Funds	Pair Corr
0.84	CGFFX	Growth Fund	Pair Corr
0.83	CGFCX	Growth Fund	Pair Corr
0.84	CGFAX	Growth Fund	Pair Corr
0.78	CGFEX	Growth Fund	Pair Corr
0.68	PFN	Pimco Income Strategy	Pair Corr
0.69	BA	Boeing	Pair Corr

Moving against Sit Mutual Fund

0.6	XNBHX	Neuberger Berman Int	Pair Corr
0.35	XNXJX	Nuveen New Jersey	Pair Corr
0.5	T	ATT Inc Earnings Call This Week	Pair Corr
0.41	VZ	Verizon Communications Earnings Call Tomorrow	Pair Corr

Related Correlations Analysis

	ALCEX	AMFFX	WILCX	PAVLX	PTEZX	LTFOX
ALCEX		0.91	0.96	0.98	0.91	0.97	ALCEX
AMFFX	0.91		0.97	0.93	0.94	0.89	AMFFX
WILCX	0.96	0.97		0.97	0.94	0.91	WILCX
PAVLX	0.98	0.93	0.97		0.95	0.94	PAVLX
PTEZX	0.91	0.94	0.94	0.95		0.9	PTEZX
LTFOX	0.97	0.89	0.91	0.94	0.9		LTFOX
	ALCEX	AMFFX	WILCX	PAVLX	PTEZX	LTFOX

Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit 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 Sit 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
ALCEX	0.68	0.16	0.19	0.23	0.50	(0.79)	1.66	(1.33)	3.75
AMFFX	0.57	0.13	0.11	(3.10)	0.52	(0.63)	0.87	(1.03)	7.65
WILCX	0.49	0.16	0.24	0.32	0.07	(0.59)	0.99	(0.67)	4.64
PAVLX	0.60	0.11	0.16	0.17	0.39	(0.67)	1.60	(1.04)	6.01
PTEZX	0.69	0.20	0.21	0.39	0.49	(0.80)	1.40	(1.19)	12.15
LTFOX	0.64	0.18	0.22	0.69	0.38	(0.80)	1.08	(0.93)	8.46

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