Sit Global Correlations

GDGSX Fund

USD 28.68 0.05 0.17%

The current 90-days correlation between Sit Global Dividend and Sit Small Cap is 0.75 (i.e., Poor diversification). The correlation of Sit Global 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 Global Correlation With Market

Poor diversification

The correlation between Sit Global Dividend and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit Global Dividend and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Sit Global Dividend. 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 state.

Moving together with Sit Mutual Fund

0.78	SSCDX	Sit Small Cap	Pair Corr
1.0	GDGIX	Sit Global Dividend	Pair Corr
0.84	SSMGX	Sit Small Cap	Pair Corr
0.78	SDFSX	Sit Small Cap	Pair Corr
0.72	SDMGX	Sit Developing Markets	Pair Corr
0.86	SDVSX	Sit Dividend Growth	Pair Corr
0.86	SDVGX	Sit Dividend Growth	Pair Corr
0.91	SESGX	Sit Esg Growth	Pair Corr
0.79	NBNGX	Sit Mid Cap	Pair Corr
0.82	SIBAX	Sit Balanced	Pair Corr
0.91	IESGX	Sit Esg Growth	Pair Corr
0.79	SNIGX	Sit Large Cap	Pair Corr
0.85	FCWGX	American Funds Capital	Pair Corr
0.85	FWCGX	American Funds Capital	Pair Corr
0.94	CWGIX	Capital World Growth	Pair Corr
0.94	CWGFX	Capital World Growth	Pair Corr
0.94	CWGCX	Capital World Growth	Pair Corr
0.85	RWIFX	Capital World Growth	Pair Corr
0.94	CWICX	Capital World Growth	Pair Corr
0.94	RWIAX	Capital World Growth	Pair Corr
0.94	CWIAX	Capital World Growth	Pair Corr
0.94	WGIFX	Capital World Growth	Pair Corr
0.62	WRHIX	Ivy High Income	Pair Corr
0.65	IVHIX	Ivy High Income	Pair Corr
0.78	USPRX	Sp 500 Index	Pair Corr

Moving against Sit Mutual Fund

0.37	SNGVX	Sit U S	Pair Corr
0.36	SNGYX	Sit Government Securities	Pair Corr

Related Correlations Analysis

	SSCDX	GDGIX	GDGSX	SSMGX	SDFSX	SDMGX	SDVSX	SDVGX	NBNGX
SSCDX		0.78	0.78	0.98	1.0	0.53	0.97	0.97	0.98	SSCDX
GDGIX	0.78		1.0	0.84	0.79	0.72	0.87	0.87	0.79	GDGIX
GDGSX	0.78	1.0		0.84	0.78	0.72	0.86	0.86	0.79	GDGSX
SSMGX	0.98	0.84	0.84		0.98	0.62	0.96	0.96	0.98	SSMGX
SDFSX	1.0	0.79	0.78	0.98		0.53	0.97	0.97	0.98	SDFSX
SDMGX	0.53	0.72	0.72	0.62	0.53		0.57	0.57	0.56	SDMGX
SDVSX	0.97	0.87	0.86	0.96	0.97	0.57		1.0	0.98	SDVSX
SDVGX	0.97	0.87	0.86	0.96	0.97	0.57	1.0		0.98	SDVGX
NBNGX	0.98	0.79	0.79	0.98	0.98	0.56	0.98	0.98		NBNGX
	SSCDX	GDGIX	GDGSX	SSMGX	SDFSX	SDMGX	SDVSX	SDVGX	NBNGX

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Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit Global 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 Global'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	0.76	(0.04)	(0.01)	0.07	0.99	(0.74)	1.80	(1.36)	6.07
GDGIX	0.54	(0.05)	(0.10)	0.03	0.75	(0.53)	1.02	(1.48)	3.15
GDGSX	0.53	(0.05)	(0.10)	0.03	0.75	(0.52)	1.02	(1.52)	3.19
SSMGX	0.80	(0.03)	(0.01)	0.08	1.10	(0.81)	1.63	(1.78)	5.25
SDFSX	0.76	(0.04)	(0.01)	0.07	0.99	(0.74)	1.80	(1.36)	6.07
SDMGX	0.81	0.01	(0.03)	0.13	1.02	(0.86)	1.86	(2.15)	5.57
SDVSX	0.50	(0.02)	(0.07)	0.07	0.57	(0.55)	0.97	(1.13)	3.27
SDVGX	0.50	(0.02)	(0.06)	0.08	0.57	(0.55)	0.97	(1.12)	3.25
NBNGX	0.70	0.02	0.02	0.13	0.96	(0.73)	1.53	(1.76)	4.44

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