Sit Tax-free Correlations

SNTYX Fund

USD 8.79 0.02 0.23%

The current 90-days correlation between Sit Tax Free and Angel Oak Financial is 0.3 (i.e., Weak 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 0.67 (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 producer price index.

Moving together with Sit Mutual Fund

0.69	SSCDX	Sit Small Cap	Pair Corr
0.65	GDGIX	Sit Global Dividend	Pair Corr
0.65	GDGSX	Sit Global Dividend	Pair Corr
0.68	SSMGX	Sit Small Cap	Pair Corr
0.69	SDFSX	Sit Small Cap	Pair Corr
0.77	SDMGX	Sit Developing Markets	Pair Corr
0.66	SDVSX	Sit Dividend Growth	Pair Corr
0.68	SDVGX	Sit Dividend Growth	Pair Corr
0.9	SMTFX	Sit Minnesota Tax	Pair Corr
0.72	SNGRX	Sit International Growth	Pair Corr
0.69	SNGVX	Sit U S	Pair Corr
0.68	SNGYX	Sit Government Securities	Pair Corr
0.99	SNTIX	Sit Tax Free	Pair Corr
0.75	SQIYX	Sit Mutual Funds	Pair Corr
0.75	SQIFX	Sit Quality Income	Pair Corr
0.84	VWITX	Vanguard Intermediate-ter	Pair Corr
0.86	VWIUX	Vanguard Intermediate-ter	Pair Corr
0.87	AFTEX	Tax Exempt Bond	Pair Corr
0.9	AFTFX	Tax Exempt Bond	Pair Corr
0.89	TEBCX	Tax Exempt Bond	Pair Corr
0.91	TEAFX	Tax Exempt Bond	Pair Corr
0.91	TFEBX	Tax Exempt Bond	Pair Corr
0.88	FLTMX	Fidelity Intermediate	Pair Corr
0.92	GSMUX	Goldman Sachs Dynamic	Pair Corr
0.87	GSMIX	Goldman Sachs Dynamic	Pair Corr
0.73	NHS	Neuberger Berman High	Pair Corr
0.72	WFCPX	Wells Fargo	Pair Corr
0.75	FARSX	Fidelity Income Repl	Pair Corr
0.8	ESGIX	Dana Epiphany Esg	Pair Corr
0.75	FLSNX	Franklin Lifesmart 2050	Pair Corr
0.73	MNOSX	Manning Napier Overseas	Pair Corr
0.83	TYIFX	American Funds Tax	Pair Corr
0.69	PDGZX	Pimco Realpath Blend	Pair Corr

Related Correlations Analysis

	PUFCX	ICFAX	PFSQX	MCBXX	FTIXX	XFINX
PUFCX		0.79	0.97	0.0	0.0	0.21	PUFCX
ICFAX	0.79		0.83	0.0	0.0	0.53	ICFAX
PFSQX	0.97	0.83		0.0	0.0	0.26	PFSQX
MCBXX	0.0	0.0	0.0		0.0	0.0	MCBXX
FTIXX	0.0	0.0	0.0	0.0		0.0	FTIXX
XFINX	0.21	0.53	0.26	0.0	0.0		XFINX
	PUFCX	ICFAX	PFSQX	MCBXX	FTIXX	XFINX

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

PFSQX	+ 0.97	PUFCX
PFSQX	+ 0.83	ICFAX
ICFAX	+ 0.79	PUFCX
XFINX	+ 0.53	ICFAX
XFINX	+ 0.26	PFSQX
XFINX	+ 0.21	PUFCX

High negative correlations

XFINX	- 0.0	FTIXX
XFINX	- 0.0	MCBXX
FTIXX	- 0.0	MCBXX
FTIXX	- 0.0	PFSQX
MCBXX	- 0.0	PFSQX
FTIXX	- 0.0	ICFAX

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
PUFCX	0.95	0.26	0.22	1.18	0.68	(1.14)	1.88	(1.77)	15.11
ICFAX	0.87	0.25	0.34	0.28	0.27	(1.22)	1.66	(0.98)	14.63
PFSQX	0.92	0.16	0.15	0.17	0.79	(1.05)	1.93	(1.75)	12.00
MCBXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FTIXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
XFINX	0.14	(0.01)	(0.10)	(0.08)	0.28	(0.14)	0.22	(0.43)	1.29

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