Siit Emerging Markets Fund Volatility
| SMQFX Fund | USD 11.78 0.15 1.29% |
Sharpe Ratio = 0.1087
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | SMQFX | |||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark |
Siit Emerging Markets posted a Market Risk Adjusted Performance of 1.0%, a Risk of 1.43, and a Risk Adjusted Performance of 0.1% for the reported period. Moving average data positions the fund near 8% of its recent return envelope.
Key indicators related to SIIT EMERGING's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for SIIT EMERGING (3 Months):
Beta 0.14 | Alpha 0.14 | Risk 1.43 | Sharpe Ratio 0.11 | Expected Return 0.16 |
Moving together with SIIT EMERGING Mutual Fund
| 0.89 | VEIEX | Vanguard Emerging Markets | PairCorr |
| 0.61 | PDI | PIMCO Dynamic Income | PairCorr |
| 0.69 | DIS | Walt Disney Earnings Call This Week | PairCorr |
| 0.75 | BAC | Bank of America | PairCorr |
| 0.65 | AXP | American Express | PairCorr |
| 0.65 | MSFT | Microsoft | PairCorr |
| 0.72 | BA | Boeing | PairCorr |
Moving Against SIIT EMERGING Mutual Fund
| 0.94 | UIPIX | Ultrashort Mid Cap | PairCorr |
| 0.84 | USPSX | Profunds Ultrashort | PairCorr |
| 0.84 | USPIX | Profunds Ultrashort | PairCorr |
| 0.67 | VZ | Verizon Communications | PairCorr |
| 0.66 | T | ATT Inc | PairCorr |
| 0.46 | JNJ | Johnson Johnson Sell-off Trend | PairCorr |
| 0.4 | PFE | Pfizer Inc | PairCorr |
Sensitivity To Market
The beta coefficient of 0.14 for Siit Emerging Markets measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.43%. This analysis separates observed movement from interpretation for Siit Emerging Markets. Standard deviation (1.43%) and downside deviation (1.51%) describe the range without implying direction. Fund volatility is generally driven by asset allocation rather than individual headline events. Portfolio turnover and allocation changes alter measured dispersion over time.
3 Months Beta |Siit Emerging Markets Demand TrendCurrent 90-day SIIT EMERGING correlation with market (Dow Jones Industrial)Downside Risk
SIIT EMERGING standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for SIIT EMERGING over successive periods signals increasing price uncertainty.
Standard Deviation | 1.43 |
Understanding the asymmetry between upside and downside risk is critical for SIIT EMERGING analysis. Total price dispersion includes upside, while downside deviation captures only loss risk in SIIT EMERGING's returns. Siit Emerging Markets posted a Downside Deviation of 1.51, a Downside Variance of 2.29, and a Maximum Drawdown of 6.79 for the reported period.
Mutual Fund Volatility Analysis
Volatility is a statistical measure of the dispersion of SIIT EMERGING mutual fund returns over a given period of time. Volatility measures how much SIIT EMERGING's mutual fund price deviates from its average over a period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Siit Emerging Markets's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Based on a 90-day horizon, SIIT EMERGING has a beta of 0.1432. This usually implies as returns on the market go up, SIIT EMERGING's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Siit Emerging Markets tends to be smaller as well.SIIT EMERGING carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Siit Emerging Markets posted a Downside Deviation of 1.51, a Mean Deviation of 1.00, and a Semi Deviation of 1.28 for the reported period.
Predicted Return Distribution |
| Density |
What Drives SIIT EMERGING's Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the SEI sector can alter SIIT EMERGING's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for SIIT EMERGING.SIIT EMERGING's Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in SIIT EMERGING's stock.Mutual Fund Risk Measures
Based on a 90-day horizon, the coefficient of variation of SIIT EMERGING is 919.92. The daily returns are distributed with a variance of 2.04 and standard deviation of 1.43. The mean deviation of Siit Emerging Markets is currently at 1.0. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.14 | |
β | Beta against Dow Jones | 0.14 | |
σ | Overall volatility | 1.43 | |
Ir | Information ratio | 0.1 |
Mutual Fund Return Volatility
Volatility for SIIT EMERGING quantifies the day-to-day dispersion of fund returns around their historical average. The fund carries 1.4296% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9592% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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
| High negative correlations
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Risk-Adjusted Indicators
Headline performance for SIIT EMERGING Mutual Fund may not fully reflect how the business compares across its competitive set. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SMQFX | 1.00 | 0.14 | 0.09 | 1.02 | 1.28 | 1.95 | 6.79 | |||
| SEDAX | 0.39 | -0.01 | -0.03 | -0.05 | 0.45 | 0.86 | 2.63 | |||
| MNDVUX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| NWWAX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| SMGASX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| PWJQX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FGWMX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| PNPXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| RNDIX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Risk Metrics, Assumptions & Methodology
NAV dispersion for SIIT EMERGING measures the spread of periodic returns around the mean, reflecting exposure variability. Higher dispersion implies a wider range of plausible outcomes for any given holding period.
Siit Emerging Markets data is compiled from fund disclosures and market reference feeds and standardized for comparability. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Siit Emerging Markets is more volatile than Dow Jones Industrial by approximately 1.49x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 12% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Siit Emerging Markets with characteristics aligned to broad market upside participation. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It is intended to separate routine noise from more speculative bursts in price action. a large bullish trend. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View SIIT EMERGING probability analysis.
Very poor diversification
SIIT EMERGING currently posts a 0.83 correlation with Dow Jones, indicating a Very poor diversification relationship for the active sample. This chart measures the degree of risk overlap between SIIT EMERGING and Dow Jones.
Additional Risk Indicators
Looking at additional risk metrics for Siit Emerging Markets frames how the position may behave under different market and portfolio conditions. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | 0.1077 | |||
| Market Risk Adjusted Performance | 1.03 | |||
| Mean Deviation | 1.0 | |||
| Semi Deviation | 1.28 | |||
| Downside Deviation | 1.51 | |||
| Coefficient Of Variation | 919.92 | |||
| Standard Deviation | 1.43 |
SIIT EMERGING Suggested Diversification Pairs
Pair trading with SIIT EMERGING hedges company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
| Salesforce vs. SIIT EMERGING | ||
| Visa vs. SIIT EMERGING | ||
| GM vs. SIIT EMERGING | ||
| Microsoft vs. SIIT EMERGING | ||
| Micron Technology vs. SIIT EMERGING | ||
| SentinelOne vs. SIIT EMERGING | ||
| Lasertec vs. SIIT EMERGING |
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. SIIT EMERGING's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing SIIT EMERGING's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.