Sit Tax-free Correlations

SNTIX Fund

USD 8.82 0.01 0.11%

The current 90-days correlation between Sit Tax Free and Cambiar International Equity is 0.07 (i.e., Significant diversification). The correlation of Sit Tax-free 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 Tax-free Correlation With Market

Poor diversification

The correlation between Sit Tax Free Income and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit Tax Free Income 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 Tax Free Income. 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 gross domestic product.

Moving together with Sit Mutual Fund

0.76	SSCDX	Sit Small Cap	Pair Corr
0.73	SSMGX	Sit Small Cap	Pair Corr
0.64	SDFSX	Sit Small Cap	Pair Corr
0.68	SDMGX	Sit Developing Markets	Pair Corr
0.63	SDVSX	Sit Dividend Growth	Pair Corr
0.63	SDVGX	Sit Dividend Growth	Pair Corr
0.92	SMTFX	Sit Minnesota Tax	Pair Corr
0.71	SNGRX	Sit International Growth	Pair Corr
0.81	SNGVX	Sit U S	Pair Corr
0.89	SNTYX	Sit Tax Free	Pair Corr
0.8	SQIYX	Sit Mutual Funds	Pair Corr
0.65	SQIFX	Sit Quality Income	Pair Corr
0.94	VWITX	Vanguard Intermediate-ter	Pair Corr
0.95	VWIUX	Vanguard Intermediate-ter	Pair Corr
0.95	AFTEX	Tax Exempt Bond	Pair Corr
0.98	AFTFX	Tax Exempt Bond	Pair Corr
0.96	TEBCX	Tax Exempt Bond	Pair Corr
0.98	TEAFX	Tax Exempt Bond	Pair Corr
0.98	TFEBX	Tax Exempt Bond	Pair Corr
0.74	FLTMX	Fidelity Intermediate	Pair Corr
0.93	GSMUX	Goldman Sachs Dynamic	Pair Corr
0.69	GSMIX	Goldman Sachs Dynamic	Pair Corr
0.77	LIIAX	Columbia Porate Income	Pair Corr
0.76	SRINX	Columbia Porate Income	Pair Corr
0.65	WRHIX	Ivy High Income	Pair Corr
0.68	WHIAX	Ivy High Income	Pair Corr
0.71	IHIFX	Ivy High Income	Pair Corr
0.69	IVHIX	Ivy High Income	Pair Corr
0.91	PBCAX	Prudential California	Pair Corr
0.63	JVARX	Jpmorgan Value Advantage	Pair Corr
0.71	TVRRX	Thornburg Value	Pair Corr

Related Correlations Analysis

	BAIAX	NAZ	HEQ	FSAZX	VFL	HCYAX	INPSX	FMIEX	KF	CAMYX
BAIAX		0.84	0.8	0.84	0.75	0.58	-0.69	0.85	0.78	0.72	BAIAX
NAZ	0.84		0.86	0.84	0.76	0.52	-0.7	0.84	0.83	0.77	NAZ
HEQ	0.8	0.86		0.91	0.92	0.68	-0.69	0.95	0.95	0.9	HEQ
FSAZX	0.84	0.84	0.91		0.9	0.61	-0.8	0.92	0.92	0.82	FSAZX
VFL	0.75	0.76	0.92	0.9		0.75	-0.71	0.92	0.92	0.85	VFL
HCYAX	0.58	0.52	0.68	0.61	0.75		-0.3	0.73	0.68	0.78	HCYAX
INPSX	-0.69	-0.7	-0.69	-0.8	-0.71	-0.3		-0.71	-0.73	-0.44	INPSX
FMIEX	0.85	0.84	0.95	0.92	0.92	0.73	-0.71		0.95	0.91	FMIEX
KF	0.78	0.83	0.95	0.92	0.92	0.68	-0.73	0.95		0.89	KF
CAMYX	0.72	0.77	0.9	0.82	0.85	0.78	-0.44	0.91	0.89		CAMYX
	BAIAX	NAZ	HEQ	FSAZX	VFL	HCYAX	INPSX	FMIEX	KF	CAMYX

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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

FMIEX	+ 0.95	HEQ
KF	+ 0.95	HEQ
KF	+ 0.95	FMIEX
VFL	+ 0.92	HEQ
FMIEX	+ 0.92	FSAZX
KF	+ 0.92	FSAZX

High negative correlations

INPSX	- 0.8	FSAZX
KF	- 0.73	INPSX
FMIEX	- 0.71	INPSX
INPSX	- 0.71	VFL
INPSX	- 0.7	NAZ
INPSX	- 0.69	HEQ

Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit Tax-free 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 Tax-free'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
BAIAX	0.12	0.01	(0.29)	1.40	0.00	(0.16)	0.21	(0.21)	0.62
NAZ	0.40	0.05	(0.01)	0.70	0.34	(0.50)	0.77	(0.76)	3.00
HEQ	0.37	0.10	0.12	0.35	0.17	(0.42)	0.86	(0.56)	2.03
FSAZX	0.07	0.02	(0.26)	1.21	0.00	(0.14)	0.17	(0.09)	0.60
VFL	0.35	0.05	(0.01)	0.63	0.28	(0.43)	0.80	(0.69)	1.98
HCYAX	0.28	0.09	0.07	(3.79)	0.00	(0.34)	0.57	(0.40)	3.80
INPSX	1.36	(0.45)	0.00	(0.30)	0.00	0.00	2.33	(3.50)	8.61
FMIEX	0.49	0.23	0.37	0.50	0.00	(0.63)	1.19	(0.58)	4.72
KF	1.26	0.54	0.42	0.97	0.68	(1.53)	3.13	(1.88)	6.91
CAMYX	0.64	0.02	0.00	0.09	0.76	(0.66)	1.14	(1.21)	3.75

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