Sit Small Correlations

SDFSX Fund

USD 18.12 0.17 0.93%

The current 90-days correlation between Sit Small Cap and Matson Money Equity is 0.1 (i.e., Average 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

Average diversification

The correlation between Sit Small Cap and DJI is 0.14 (i.e., Average 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 state.

Moving together with Sit Mutual Fund

0.95	SSCDX	Sit Small Cap	Pair Corr
0.71	GDGIX	Sit Global Dividend	Pair Corr
0.7	GDGSX	Sit Global Dividend	Pair Corr
0.92	SSMGX	Sit Small Cap	Pair Corr
0.96	SDVSX	Sit Dividend Growth	Pair Corr
0.96	SDVGX	Sit Dividend Growth	Pair Corr
0.89	SESGX	Sit Esg Growth	Pair Corr
0.97	NBNGX	Sit Mid Cap	Pair Corr
0.89	SIBAX	Sit Balanced	Pair Corr
0.87	IESGX	Sit Esg Growth	Pair Corr
0.91	SNIGX	Sit Large Cap	Pair Corr
0.95	VSMAX	Vanguard Small Cap	Pair Corr
0.95	VSCIX	Vanguard Small Cap	Pair Corr
0.92	VSCPX	Vanguard Small Cap	Pair Corr
0.92	NAESX	Vanguard Small Cap	Pair Corr
0.96	FSSNX	Fidelity Small Cap	Pair Corr
0.96	DFSTX	Us Small Cap	Pair Corr
0.9	PASVX	T Rowe Price	Pair Corr
0.95	PRVIX	T Rowe Price	Pair Corr
0.9	TRZVX	T Rowe Price	Pair Corr
0.9	PRSVX	T Rowe Price	Pair Corr
0.8	FTYPX	Fidelity Freedom Index	Pair Corr
0.81	FFBTX	Fidelity Freedom Blend	Pair Corr
0.9	GCAVX	Gmo Small Cap	Pair Corr
0.72	GQLOX	Gmo Quality Fund	Pair Corr
0.71	GHVIX	Gmo High Yield	Pair Corr
0.89	GMCQX	Gmo Equity Allocation	Pair Corr
0.95	VFINX	Vanguard 500 Index	Pair Corr

Moving against Sit Mutual Fund

0.62	SNGYX	Sit Government Securities	Pair Corr
0.57	SNGVX	Sit U S	Pair Corr
0.54	SQIFX	Sit Quality Income	Pair Corr
0.36	SQIYX	Sit Mutual Funds	Pair Corr
0.75	GABFX	Gmo Asset Allocation	Pair Corr
0.55	GAAVX	Gmo Alternative Allo	Pair Corr

Related Correlations Analysis

	FMVUX	ELMXX	STPXX	GMBXX	HEWXX	FRQXX	GABXX
FMVUX		0.0	0.0	0.56	0.0	0.56	0.54	FMVUX
ELMXX	0.0		0.0	0.0	0.0	0.0	0.0	ELMXX
STPXX	0.0	0.0		0.0	0.0	0.0	0.0	STPXX
GMBXX	0.56	0.0	0.0		0.0	0.96	0.91	GMBXX
HEWXX	0.0	0.0	0.0	0.0		0.0	0.0	HEWXX
FRQXX	0.56	0.0	0.0	0.96	0.0		0.87	FRQXX
GABXX	0.54	0.0	0.0	0.91	0.0	0.87		GABXX
	FMVUX	ELMXX	STPXX	GMBXX	HEWXX	FRQXX	GABXX

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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

FRQXX	+ 0.96	GMBXX
GABXX	+ 0.91	GMBXX
GABXX	+ 0.87	FRQXX
GMBXX	+ 0.56	FMVUX
FRQXX	+ 0.56	FMVUX
GABXX	+ 0.54	FMVUX

High negative correlations

GABXX	- 0.0	HEWXX
FRQXX	- 0.0	HEWXX
HEWXX	- 0.0	GMBXX
GABXX	- 0.0	STPXX
FRQXX	- 0.0	STPXX
HEWXX	- 0.0	STPXX

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
FMVUX	0.66	0.02	0.07	0.13	0.37	(0.79)	1.49	(0.98)	6.14
ELMXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
STPXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
GMBXX	0.03	0.01	0.00	(2.12)	0.00	0.00	0.00	0.00	1.01
HEWXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FRQXX	0.03	0.01	0.00	(0.33)	0.00	0.00	0.00	0.00	1.01
GABXX	0.03	0.00	0.00	0.36	0.00	0.00	0.00	0.00	1.01

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