Sit International Correlations

SNGRX Fund

USD 24.15 0.10 0.42%

The current 90-days correlation between Sit International Growth and Franklin Government Money is 0.01 (i.e., Significant diversification). The correlation of Sit International 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 International Correlation With Market

Very poor diversification

The correlation between Sit International Growth and DJI is 0.85 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit International Growth 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 International Growth. 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 metropolitan statistical area.

Moving together with Sit Mutual Fund

0.78	SSCDX	Sit Small Cap	Pair Corr
0.94	GDGIX	Sit Global Dividend	Pair Corr
0.94	GDGSX	Sit Global Dividend	Pair Corr
0.89	SSMGX	Sit Small Cap	Pair Corr
0.77	SDFSX	Sit Small Cap	Pair Corr
0.97	SDMGX	Sit Developing Markets	Pair Corr
0.68	SDVSX	Sit Dividend Growth	Pair Corr
0.68	SDVGX	Sit Dividend Growth	Pair Corr
0.87	SESGX	Sit Esg Growth	Pair Corr
0.84	NBNGX	Sit Mid Cap	Pair Corr
0.84	SIBAX	Sit Balanced	Pair Corr
0.95	IESGX	Sit Esg Growth	Pair Corr
0.74	SNIGX	Sit Large Cap	Pair Corr
0.92	VGTSX	Vanguard Total Inter	Pair Corr
0.92	VTIAX	Vanguard Total Inter	Pair Corr
0.92	VTSNX	Vanguard Total Inter	Pair Corr
0.99	VTPSX	Vanguard Total Inter	Pair Corr
0.92	VTISX	Vanguard Total Inter	Pair Corr
0.92	VTMGX	Vanguard Developed	Pair Corr
0.92	VDVIX	Vanguard Developed	Pair Corr
0.92	VTMNX	Vanguard Developed	Pair Corr
0.92	VDIPX	Vanguard Developed	Pair Corr
0.92	FSPSX	Fidelity International	Pair Corr
0.75	VTSAX	Vanguard Total Stock	Pair Corr
0.76	VFIAX	Vanguard 500 Index	Pair Corr
0.75	VTSMX	Vanguard Total Stock	Pair Corr
0.75	VSMPX	Vanguard Total Stock	Pair Corr
0.75	VSTSX	Vanguard Total Stock	Pair Corr
0.76	VITSX	Vanguard Total Stock	Pair Corr
0.76	VFINX	Vanguard 500 Index	Pair Corr
0.76	VFFSX	Vanguard 500 Index	Pair Corr
0.67	TEGBX	Templeton Global Bond	Pair Corr
0.95	SNIEX	Dreyfus/newton International	Pair Corr

Moving against Sit Mutual Fund

0.31

SNGVX

Sit U S

Pair Corr

Related Correlations Analysis

	FMFXX	FZDXX	ELMXX	GMBXX	IVMXX	GCFSX	QCMMIX
FMFXX		1.0	0.94	0.94	1.0	-0.23	0.84	FMFXX
FZDXX	1.0		0.94	0.94	1.0	-0.23	0.84	FZDXX
ELMXX	0.94	0.94		1.0	0.94	-0.21	0.82	ELMXX
GMBXX	0.94	0.94	1.0		0.94	-0.21	0.82	GMBXX
IVMXX	1.0	1.0	0.94	0.94		-0.23	0.84	IVMXX
GCFSX	-0.23	-0.23	-0.21	-0.21	-0.23		0.2	GCFSX
QCMMIX	0.84	0.84	0.82	0.82	0.84	0.2		QCMMIX
	FMFXX	FZDXX	ELMXX	GMBXX	IVMXX	GCFSX	QCMMIX

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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

FZDXX	+ 1.0	FMFXX
IVMXX	+ 1.0	FMFXX
IVMXX	+ 1.0	FZDXX
GMBXX	+ 1.0	ELMXX
ELMXX	+ 0.94	FMFXX
GMBXX	+ 0.94	FMFXX

High negative correlations

GCFSX	- 0.23	IVMXX
GCFSX	- 0.23	FZDXX
GCFSX	- 0.23	FMFXX
GCFSX	- 0.21	GMBXX
GCFSX	- 0.21	ELMXX

Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit International 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 International'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
FMFXX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.01
FZDXX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.01
ELMXX	0.03	0.00	0.00	(0.60)	0.00	0.00	0.00	0.00	1.01
GMBXX	0.03	0.00	0.00	(0.60)	0.00	0.00	0.00	0.00	1.01
IVMXX	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.01
GCFSX	1.01	0.05	0.05	0.48	1.64	(1.01)	2.07	(2.41)	7.41
QCMMIX	0.02	0.01	0.00	(2.99)	0.00	0.00	0.03	0.00	0.07

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