Siit Large Correlations

SCPAX Fund

USD 10.97 1.15 9.49%

The current 90-days correlation between Siit Large Cap and Simt Mid Cap is 0.45 (i.e., Very weak diversification). The correlation of Siit Large 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.

Siit Large Correlation With Market

Very poor diversification

The correlation between Siit Large Cap and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Siit Large 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 Siit Large 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 nation.

Moving together with Siit Mutual Fund

0.67	SAAAX	Simt Multi Asset	Pair Corr
0.88	SSEAX	Siit Screened World	Pair Corr
0.98	SSGAX	Saat Aggressive Strategy	Pair Corr
0.66	TFCYX	Tax Free Conservative	Pair Corr
0.77	SSPIX	Simt Sp 500	Pair Corr
0.82	SSTDX	Saat Servative Strategy	Pair Corr
0.96	STLYX	Simt Tax Managed	Pair Corr
0.95	SCMSX	Saat E Market	Pair Corr
0.65	SDGFX	Sdit Short Duration	Pair Corr
0.97	SDLAX	Siit Dynamic Asset Potential Growth	Pair Corr
0.8	SVSAX	Saat Servative Strategy	Pair Corr
0.99	SEAIX	Saat Aggressive Strategy	Pair Corr
0.71	SEDIX	Saat Defensive Strategy	Pair Corr
0.75	SECAX	Siit Small Cap	Pair Corr
0.67	SEDAX	Siit Emerging Markets	Pair Corr
0.64	SECYX	Sdit Ultra Short	Pair Corr
0.72	SEFCX	Sit International Equity	Pair Corr
0.93	SEHAX	Siit Equity Factor	Pair Corr
0.68	SEIYX	Simt High Yield	Pair Corr
0.63	SENJX	Stet New Jersey	Pair Corr
0.75	SEQFX	Sit Emerging Markets	Pair Corr
0.75	AAEZX	Enhanced Fixed Income	Pair Corr
0.73	SXMAX	Saat Moderate Strategy	Pair Corr
0.73	SGMAX	Siit Global Managed	Pair Corr
0.81	SGOAX	Saat Market Growth	Pair Corr

Moving against Siit Mutual Fund

0.38

SEVIX

Simt Managed Volatility

Pair Corr

Related Correlations Analysis

	SIPIX	SITEX	SIYYX	SAAAX	SRWAX	SRYRX	SSCGX	SSEAX	SSGAX
SIPIX		0.01	0.63	0.25	0.3	0.08	0.45	0.35	0.29	SIPIX
SITEX	0.01		0.37	0.56	0.68	0.03	-0.12	0.48	0.75	SITEX
SIYYX	0.63	0.37		0.43	0.61	-0.04	0.57	0.73	0.7	SIYYX
SAAAX	0.25	0.56	0.43		0.68	0.39	0.27	0.53	0.67	SAAAX
SRWAX	0.3	0.68	0.61	0.68		0.24	0.29	0.66	0.82	SRWAX
SRYRX	0.08	0.03	-0.04	0.39	0.24		0.23	-0.02	0.05	SRYRX
SSCGX	0.45	-0.12	0.57	0.27	0.29	0.23		0.49	0.37	SSCGX
SSEAX	0.35	0.48	0.73	0.53	0.66	-0.02	0.49		0.91	SSEAX
SSGAX	0.29	0.75	0.7	0.67	0.82	0.05	0.37	0.91		SSGAX
	SIPIX	SITEX	SIYYX	SAAAX	SRWAX	SRYRX	SSCGX	SSEAX	SSGAX

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

SSGAX	+ 0.91	SSEAX
SSGAX	+ 0.82	SRWAX
SSGAX	+ 0.75	SITEX
SSEAX	+ 0.73	SIYYX
SSGAX	+ 0.7	SIYYX
SRWAX	+ 0.68	SITEX

High negative correlations

SSCGX	- 0.12	SITEX
SRYRX	- 0.04	SIYYX
SSEAX	- 0.02	SRYRX

Risk-Adjusted Indicators

There is a big difference between Siit Mutual Fund performing well and Siit Large 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 Siit Large'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
SIPIX	1.02	(0.33)	0.00	(0.29)	0.00	0.00	1.40	(1.63)	3.67
SITEX	0.19	0.04	(0.06)	0.44	0.00	(0.25)	0.43	(0.32)	0.97
SIYYX	0.15	(0.03)	0.00	(0.17)	0.00	0.00	0.19	(0.37)	0.94
SAAAX	0.43	(0.02)	(0.09)	0.02	0.51	(0.49)	0.89	(1.00)	2.40
SRWAX	0.36	(0.01)	(0.08)	0.04	0.45	(0.37)	0.72	(0.71)	1.95
SRYRX	0.07	0.00	(0.50)	0.00	0.09	(0.11)	0.10	(0.10)	0.51
SSCGX	1.14	(0.22)	0.00	(0.09)	0.00	0.00	2.32	(2.18)	5.62
SSEAX	0.56	(0.03)	(0.05)	0.03	0.76	(0.54)	0.97	(1.11)	3.03
SSGAX	0.46	(0.01)	(0.04)	0.05	0.63	(0.46)	0.89	(1.00)	2.55

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