Sit Government Correlations

SNGYX Fund

USD 10.30 0.04 0.39%

The current 90-days correlation between Sit Government Securities and Fznopx is -0.15 (i.e., Good diversification). The correlation of Sit Government 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 Government Correlation With Market

Good diversification

The correlation between Sit Government Securities and DJI is -0.18 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sit Government Securities 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 Government Securities. 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

0.71	SNGRX	Sit International Growth	Pair Corr
0.98	SNGVX	Sit U S	Pair Corr
0.97	SQIYX	Sit Mutual Funds	Pair Corr
0.95	SQIFX	Sit Quality Income	Pair Corr
0.96	EASDX	Eaton Vance Short	Pair Corr
0.96	VFIRX	Vanguard Short Term	Pair Corr
0.95	VFISX	Vanguard Short Term	Pair Corr
0.96	VSGBX	Vanguard Short Term	Pair Corr
0.95	VSBIX	Vanguard Short Term	Pair Corr
0.97	VSGDX	Vanguard Short Term	Pair Corr
0.96	FUMBX	Fidelity Short Term	Pair Corr
0.96	ECLDX	Eaton Vance Short	Pair Corr
0.96	EALDX	Eaton Vance Short	Pair Corr
0.96	EILDX	Eaton Vance Short	Pair Corr
0.88	VTISX	Vanguard Total Inter	Pair Corr
0.88	VTSNX	Vanguard Total Inter	Pair Corr
0.88	VTPSX	Vanguard Total Inter	Pair Corr

Moving against Sit Mutual Fund

0.85	SSMGX	Sit Small Cap	Pair Corr
0.8	NBNGX	Sit Mid Cap	Pair Corr
0.78	SNIGX	Sit Large Cap	Pair Corr
0.76	SSCDX	Sit Small Cap	Pair Corr
0.72	SDFSX	Sit Small Cap	Pair Corr
0.66	SIBAX	Sit Balanced	Pair Corr
0.61	VITSX	Vanguard Total Stock	Pair Corr
0.61	VINIX	Vanguard Institutional	Pair Corr
0.57	VSTSX	Vanguard Total Stock	Pair Corr
0.57	VSMPX	Vanguard Total Stock	Pair Corr
0.57	VTSAX	Vanguard Total Stock	Pair Corr
0.54	VFFSX	Vanguard 500 Index	Pair Corr
0.54	VFIAX	Vanguard 500 Index	Pair Corr

Related Correlations Analysis

	FZNOPX	EICVX	DIHRX	JTSQX	WABMSX	TBLDX	WRLDX
FZNOPX		0.04	-0.16	0.73	0.72	0.41	0.07	FZNOPX
EICVX	0.04		0.94	0.48	0.43	0.67	0.87	EICVX
DIHRX	-0.16	0.94		0.36	0.35	0.61	0.86	DIHRX
JTSQX	0.73	0.48	0.36		0.95	0.82	0.6	JTSQX
WABMSX	0.72	0.43	0.35	0.95		0.81	0.58	WABMSX
TBLDX	0.41	0.67	0.61	0.82	0.81		0.88	TBLDX
WRLDX	0.07	0.87	0.86	0.6	0.58	0.88		WRLDX
	FZNOPX	EICVX	DIHRX	JTSQX	WABMSX	TBLDX	WRLDX

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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

WABMSX	+ 0.95	JTSQX
DIHRX	+ 0.94	EICVX
WRLDX	+ 0.88	TBLDX
WRLDX	+ 0.87	EICVX
WRLDX	+ 0.86	DIHRX
TBLDX	+ 0.82	JTSQX

High negative correlations

DIHRX

- 0.16

FZNOPX

Risk-Adjusted Indicators

There is a big difference between Sit Mutual Fund performing well and Sit Government 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 Government'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
FZNOPX	0.76	0.01	0.01	0.02	0.84	(0.87)	1.55	(1.59)	3.75
EICVX	0.59	0.07	0.09	0.13	0.70	(0.61)	1.21	(1.42)	2.93
DIHRX	0.59	0.08	0.09	0.15	0.67	(0.68)	1.51	(1.19)	3.80
JTSQX	0.65	(0.02)	0.00	(0.02)	0.00	0.00	1.22	(1.34)	3.69
WABMSX	0.61	0.03	0.03	0.04	0.78	(0.63)	1.38	(1.29)	3.66
TBLDX	0.38	(0.01)	0.00	0.08	0.00	0.00	0.70	(0.80)	2.12
WRLDX	0.63	0.01	0.01	(0.04)	0.95	(0.60)	1.24	(1.68)	2.96

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