Siit Screened Correlations

SSEAX Fund

USD 13.83 0.09 0.65%

The current 90-days correlation between Siit Screened World and Legg Mason Global is 0.19 (i.e., Average diversification). The correlation of Siit Screened 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 Screened Correlation With Market

Poor diversification

The correlation between Siit Screened World and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Siit Screened World 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 Screened World. 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

0.63	SRWAX	Saat Market Growth	Pair Corr
0.62	SSCGX	Simt Small Cap	Pair Corr
0.76	SSGAX	Saat Aggressive Strategy	Pair Corr
0.68	SASDX	Saat Aggressive Strategy	Pair Corr
0.65	SSMAX	Siit Small Mid	Pair Corr
0.65	SSPIX	Simt Sp 500	Pair Corr
0.8	STLYX	Simt Tax Managed	Pair Corr
0.65	STMPX	Simt Tax Managed	Pair Corr
0.65	STMSX	Simt Tax Managed	Pair Corr
0.62	SCLAX	Simt Multi Asset	Pair Corr
0.79	SCPAX	Siit Large Cap	Pair Corr
0.72	SDLAX	Siit Dynamic Asset	Pair Corr
0.65	SVAYX	Simt Large Cap	Pair Corr
0.62	SDYAX	Simt Dynamic Asset	Pair Corr
0.75	SDYYX	Simt Dynamic Asset	Pair Corr
0.76	SEAIX	Saat Aggressive Strategy	Pair Corr
0.73	SECAX	Siit Small Cap	Pair Corr

Related Correlations Analysis

	LFLCX	GMADX	MGIFX	USLUX	DODWX	SGMAX	HRLCX
LFLCX		0.81	0.62	0.42	0.65	0.72	0.66	LFLCX
GMADX	0.81		0.79	0.55	0.85	0.92	0.86	GMADX
MGIFX	0.62	0.79		0.36	0.69	0.84	0.84	MGIFX
USLUX	0.42	0.55	0.36		0.78	0.53	0.51	USLUX
DODWX	0.65	0.85	0.69	0.78		0.79	0.72	DODWX
SGMAX	0.72	0.92	0.84	0.53	0.79		0.94	SGMAX
HRLCX	0.66	0.86	0.84	0.51	0.72	0.94		HRLCX
	LFLCX	GMADX	MGIFX	USLUX	DODWX	SGMAX	HRLCX

Risk-Adjusted Indicators

There is a big difference between Siit Mutual Fund performing well and Siit Screened 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 Screened'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
LFLCX	0.14	0.01	(0.29)	0.41	0.08	(0.16)	0.32	(0.32)	0.75
GMADX	0.55	0.03	0.02	0.10	0.63	(0.61)	1.35	(1.08)	3.18
MGIFX	0.41	0.02	(0.05)	0.12	0.40	(0.46)	0.87	(0.72)	2.48
USLUX	0.85	(0.03)	(0.01)	0.04	1.05	(0.91)	1.60	(2.10)	4.08
DODWX	0.53	(0.02)	(0.04)	0.04	0.67	(0.55)	1.09	(0.91)	2.96
SGMAX	0.34	(0.01)	(0.11)	0.04	0.36	(0.39)	0.78	(0.70)	1.83
HRLCX	0.30	0.01	(0.10)	0.09	0.26	(0.40)	0.74	(0.53)	1.50

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Siit Screened Correlations

Siit Screened Correlation With Market

Poor diversification

Moving together with Siit Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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