Sit Small Correlations

SSMGX Fund

USD 76.07 0.32 0.42%

The current 90-days correlation between Sit Small Cap and Sit Esg Growth is 0.68 (i.e., Poor diversification). The correlation of Sit Small 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 Small Correlation With Market

Almost no diversification

The correlation between Sit Small 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 Sit Small 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 Small 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

0.98	SSCDX	Sit Small Cap	Pair Corr
0.85	GDGIX	Sit Global Dividend	Pair Corr
0.85	GDGSX	Sit Global Dividend	Pair Corr
0.98	SDFSX	Sit Small Cap	Pair Corr
0.93	SDMGX	Sit Developing Markets	Pair Corr
0.89	SDVSX	Sit Dividend Growth	Pair Corr
0.89	SDVGX	Sit Dividend Growth	Pair Corr
0.67	SESGX	Sit Esg Growth	Pair Corr
0.85	NBNGX	Sit Mid Cap	Pair Corr
0.68	IESGX	Sit Esg Growth	Pair Corr
0.91	SMTFX	Sit Minnesota Tax	Pair Corr
0.92	SNGRX	Sit International Growth	Pair Corr
0.79	SNGVX	Sit U S	Pair Corr
0.79	SNGYX	Sit Government Securities	Pair Corr
0.83	SNTIX	Sit Tax Free	Pair Corr
0.83	SNTYX	Sit Tax Free	Pair Corr
0.88	SQIYX	Sit Mutual Funds	Pair Corr
0.88	SQIFX	Sit Quality Income	Pair Corr
0.76	PAMCX	T Rowe Price	Pair Corr
0.77	TRQZX	T Rowe Price	Pair Corr
0.83	PRJIX	T Rowe Price	Pair Corr
0.88	TRUZX	T Rowe Price	Pair Corr
0.69	VTSAX	Vanguard Total Stock	Pair Corr
0.63	VFIAX	Vanguard 500 Index	Pair Corr
0.68	VTSMX	Vanguard Total Stock	Pair Corr
0.69	VSTSX	Vanguard Total Stock	Pair Corr
0.68	VSMPX	Vanguard Total Stock	Pair Corr
0.68	VITSX	Vanguard Total Stock	Pair Corr
0.97	VTIAX	Vanguard Total Inter	Pair Corr
0.63	VFINX	Vanguard 500 Index	Pair Corr
0.63	VFFSX	Vanguard 500 Index	Pair Corr

Moving against Sit Mutual Fund

0.44

PCBIX

Midcap Fund Institutional

Pair Corr

Related Correlations Analysis

	SSCDX	GDGIX	GDGSX	SDFSX	SDMGX	SDVSX	SDVGX	SESGX
SSCDX		0.84	0.83	1.0	0.94	0.78	0.78	0.6	SSCDX
GDGIX	0.84		1.0	0.84	0.9	0.76	0.77	0.91	GDGIX
GDGSX	0.83	1.0		0.83	0.9	0.76	0.76	0.91	GDGSX
SDFSX	1.0	0.84	0.83		0.94	0.78	0.78	0.6	SDFSX
SDMGX	0.94	0.9	0.9	0.94		0.78	0.78	0.71	SDMGX
SDVSX	0.78	0.76	0.76	0.78	0.78		1.0	0.74	SDVSX
SDVGX	0.78	0.77	0.76	0.78	0.78	1.0		0.74	SDVGX
SESGX	0.6	0.91	0.91	0.6	0.71	0.74	0.74		SESGX
	SSCDX	GDGIX	GDGSX	SDFSX	SDMGX	SDVSX	SDVGX	SESGX

Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit Small 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 Small'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
SSCDX	0.71	0.15	0.18	0.24	0.53	(0.86)	1.71	(1.36)	4.82
GDGIX	0.52	0.03	0.01	0.13	0.62	(0.56)	0.98	(1.11)	3.57
GDGSX	0.52	0.03	0.01	0.13	0.63	(0.55)	0.99	(1.11)	3.61
SDFSX	0.71	0.15	0.17	0.24	0.52	(0.88)	1.71	(1.36)	4.77
SDMGX	0.66	0.19	0.17	0.37	0.58	(0.77)	1.85	(1.67)	3.99
SDVSX	0.61	0.19	0.21	0.47	0.34	(0.74)	0.99	(1.04)	11.34
SDVGX	0.60	0.19	0.21	0.47	0.31	(0.74)	0.98	(1.03)	11.18
SESGX	0.51	0.00	(0.04)	0.08	0.70	(0.52)	0.90	(1.24)	3.72

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