Sit Tax-free Correlations

SNTYX Fund

USD 8.27 0.01 0.12%

The current 90-days correlation between Sit Tax Free and Hennessy Large Cap is -0.04 (i.e., Good diversification). The correlation of Sit Tax-free 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 Tax-free Correlation With Market

Average diversification

The correlation between Sit Tax Free Income and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit Tax Free Income 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 Tax Free Income. 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 manufacturing.

Moving together with Sit Mutual Fund

0.73	AFTEX	Tax Exempt Bond	Pair Corr
0.73	AFTFX	Tax Exempt Bond	Pair Corr
0.82	TEBCX	Tax Exempt Bond	Pair Corr
0.71	TEAFX	Tax Exempt Bond	Pair Corr
0.81	MDNLX	Blackrock National	Pair Corr
0.86	MFNLX	Blackrock Natl Muni	Pair Corr

Moving against Sit Mutual Fund

0.4	GPMFX	Guidepath Managed Futures	Pair Corr
0.38	PQTIX	Aa Pimco Tr	Pair Corr
0.32	PQTAX	Pimco Trends Managed	Pair Corr
0.55	JNJ	Johnson Johnson	Pair Corr

Related Correlations Analysis

	HLFNX	FNPIX	BTO	VFAIX	FIKBX	FIDAX
HLFNX		0.95	0.92	0.97	0.96	0.92	HLFNX
FNPIX	0.95		0.96	0.99	0.96	0.95	FNPIX
BTO	0.92	0.96		0.96	0.95	0.94	BTO
VFAIX	0.97	0.99	0.96		0.97	0.96	VFAIX
FIKBX	0.96	0.96	0.95	0.97		0.99	FIKBX
FIDAX	0.92	0.95	0.94	0.96	0.99		FIDAX
	HLFNX	FNPIX	BTO	VFAIX	FIKBX	FIDAX

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Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit Tax-free 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 Tax-free'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
HLFNX	1.02	0.20	0.23	0.37	0.55	(1.27)	2.54	(1.59)	6.32
FNPIX	1.08	(0.03)	0.05	0.18	1.10	(1.20)	2.64	(2.46)	8.00
BTO	0.88	0.08	0.04	0.29	0.88	(0.96)	2.27	(1.81)	6.26
VFAIX	0.74	0.01	0.02	0.22	0.68	(0.81)	1.92	(1.77)	5.62
FIKBX	0.79	0.30	0.05	(1.63)	0.66	(0.87)	2.01	(1.79)	5.93
FIDAX	0.71	0.24	0.00	(1.32)	0.69	(0.77)	1.86	(1.82)	5.18

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