Sit Tax Free Income Fund Volatility
| SNTIX Fund | USD 8.74 0.01 0.11% |
Recent trading patterns suggest Sit Tax Free Income maintains a minimal volatility profile. It exhibits a Sharpe Ratio (Efficiency) of 0.0777, showing reward per unit of risk over the last 3 months. The current setup includes 28 technical indicators relevant to risk behavior.
Sharpe Ratio = 0.0777
| High Returns | Best Equity | |||
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | SNTIX |
Sit Tax Free Income posted a Market Risk Adjusted Performance of 0.3%, a Risk of 0.17, and a Risk Adjusted Performance of 0.04% for the reported period. Moving average data indicates SIT TAX-FREE is positioned near 6% of its recent return envelope. Risk-adjusted contribution varies depending on portfolio structure.
Key indicators related to SIT TAX-FREE's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for SIT TAX-FREE draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of SIT TAX-FREE's risk profile.
SIT |
Volatility Strategy
Observed trading dispersion in Sit Tax Free Income can affect long-term allocation structure. Current statistical measures show total volatility near 0.17% with a beta coefficient of 0.0205, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0777, evaluates return per unit of total risk. An alpha value of 0.006741 reflects performance relative to systematic market exposure. Expected return estimates near 0.0133% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to SIT TAX-FREE's market risk premium analysis include:
Beta 0.0205 | Alpha 0.006741 | Risk 0.17 | Sharpe Ratio 0.0777 | Expected Return 0.0133 |
Moving together with SIT Mutual Fund
| 0.85 | SSCDX | Sit Small Cap | PairCorr |
| 0.86 | SSMGX | Sit Small Cap | PairCorr |
| 0.85 | SDFSX | Sit Small Cap | PairCorr |
| 0.81 | SDMGX | Sit Developing Markets | PairCorr |
| 0.98 | SMTFX | Sit Minnesota Tax | PairCorr |
| 0.94 | SNGVX | Sit U S | PairCorr |
| 0.95 | SNGYX | Sit Government Securities | PairCorr |
| 1.0 | SNTYX | Sit Tax Free | PairCorr |
| 0.96 | SQIYX | Sit Mutual Funds | PairCorr |
| 0.97 | SQIFX | Sit Quality Income | PairCorr |
| 0.97 | VWITX | VANGUARD INTERMEDIATE-TER | PairCorr |
| 0.97 | VWIUX | Vanguard Intermediate | PairCorr |
| 0.99 | AFTEX | Tax Exempt Bond | PairCorr |
| 0.99 | AFTFX | Tax Exempt Bond | PairCorr |
| 0.98 | TEBCX | Tax Exempt Bond | PairCorr |
| 0.99 | TEAFX | Tax Exempt Bond | PairCorr |
| 0.99 | TFEBX | Tax Exempt Bond | PairCorr |
| 0.95 | FLTMX | Fidelity Intermediate | PairCorr |
| 0.98 | GSMUX | Goldman Sachs Dynamic | PairCorr |
| 0.98 | GSMIX | Goldman Sachs Dynamic | PairCorr |
Moving against SIT Mutual Fund
Sensitivity To Market
SIT TAX-FREE systematic risk exposure is reflected in a beta value of 0.0205. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 0.17%.Over the current lookback period, Sit Tax Free Income shows a minimal volatility profile, using downside deviation (0.29%) as a primary reference. Funds with more equity exposure typically show higher volatility than more bond-heavy funds.
3 Months Beta |Analyze Sit Tax Free Demand TrendCheck current 90 days SIT TAX-FREE correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation for SIT expresses the daily price volatility over a selected time horizon as a spread around the mean. High values indicate volatile instruments; low values indicate stable ones.
Standard Deviation | 0.17 |
For SIT TAX-FREE investors, the distinction between upside and downside risk matters. Standard deviation measures total volatility including favorable moves, while downside deviation and semi-deviation isolate the loss risk in SIT TAX-FREE's daily returns. Sit Tax Free Income posted a Downside Deviation of 0.29, a Downside Variance of 0.09, and a Maximum Drawdown of 1.02 for the reported period.
Mutual Fund Volatility Analysis
Volatility describes the degree to which SIT TAX-FREE mutual fund price fluctuates in either direction. Highly volatile mutual funds like SIT TAX-FREE can offer significant profit opportunities, but also come with heightened risk.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Sit Tax Free Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon SIT TAX-FREE has a beta of 0.0205 . This usually implies as returns on the market go up, SIT TAX-FREE's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Sit Tax Free Income is expected to be smaller as well.Systematic risk links SIT TAX-FREE to overall mutual fund market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Sit Tax Free Income posted a Downside Deviation of 0.29, a Mean Deviation of 0.11, and a Semi Deviation of 0.08 for the reported period.
Predicted Return Density |
| Returns |
What Drives SIT TAX-FREE's Price Volatility?
Several factors can influence SIT TAX-FREE's market volatility:Industry Dynamics
Sector-level events can directly affect SIT TAX-FREE's price stability. Regulatory changes, supply disruptions, or shifts in demand within SIT TAX-FREE's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like SIT TAX-FREE.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for SIT TAX-FREE's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward SIT TAX-FREE. During periods of economic expansion, SIT TAX-FREE's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.SIT TAX-FREE's Company-Specific Factors
Volatility can also stem from events unique to SIT TAX-FREE. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in SIT TAX-FREE's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on SIT TAX-FREE's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of SIT TAX-FREE is 1287.83. The daily returns are distributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of Sit Tax Free Income is currently at 0.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.02 | |
σ | Overall volatility | 0.17 | |
Ir | Information ratio | 0.30 |
Mutual Fund Return Volatility
SIT TAX-FREE historical daily return volatility represents how much of SIT TAX-FREE fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.1717% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.7886% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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
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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. Risk-adjusted metrics allow investors to compare SIT TAX-FREE's efficiency and downside exposure against peers in a more meaningful way. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BAIAX | 0.12 | 0.00 | 0.22 | -0.65 | 0.11 | 0.21 | 0.83 | |||
| NAZ | 0.39 | 0.09 | 0.29 | 2.46 | 0.22 | 0.86 | 3.24 | |||
| HEQ | 0.43 | 0.03 | 0.09 | 0.05 | 0.56 | 0.76 | 3.03 | |||
| FSAZX | 0.08 | 0.00 | 0.18 | 0.02 | 0.08 | 0.17 | 0.86 | |||
| VFL | 0.32 | 0.01 | 0.13 | 0.23 | 0.35 | 0.69 | 1.78 | |||
| HCYAX | 0.25 | 0.00 | 0.00 | -0.04 | 0.00 | 0.39 | 1.69 | |||
| INPSX | 1.42 | -0.25 | 0.00 | -0.25 | 0.00 | 2.51 | 8.12 | |||
| FMIEX | 0.51 | 0.19 | 0.33 | 0.31 | 0.35 | 1.02 | 5.20 | |||
| KF | 1.82 | 0.49 | 0.15 | 0.31 | 2.72 | 4.45 | 14.90 | |||
| CAMYX | 0.64 | -0.02 | 0.00 | -0.07 | 0.00 | 0.95 | 4.32 |
Risk Metrics, Assumptions & Methodology
Volatility for SIT TAX-FREE reflects NAV dispersion and exposure stability across disclosure periods. Range expansion increases sensitivity to market stress conditions.
Inputs for Sit Tax Free Income come from fund disclosures and market reference feeds and are mapped into a consistent schema for analysis. Some fields can appear with publication lag. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Michael Smolkin - Member of Macroaxis Board of DirectorsSIT TAX-FREE Investment Opportunity
Recent data suggests that Dow Jones Industrial is meaningfully more volatile than Sit Tax Free Income, by roughly a 4.65x factor. The lower-risk profile may improve diversification efficiency, but it still needs to be judged against return quality and market sensitivity.You can use Sit Tax Free Income to enhance the returns of your portfolios. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It works best as a directional cue rather than as a standalone forecast. a normal upward fluctuation. Check odds of SIT TAX-FREE to be traded at $9.18 in 90 days.Weak diversification
For the present investment horizon, the measured correlation between SNTIX and DJI stands at 0.33, or Weak diversification. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
SIT TAX-FREE Additional Risk Indicators
Looking at additional risk metrics for Sit Tax Free Income helps investors judge how the position may behave under different market and portfolio conditions. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | 0.0377 | |||
| Market Risk Adjusted Performance | 0.294 | |||
| Mean Deviation | 0.1064 | |||
| Semi Deviation | 0.0824 | |||
| Downside Deviation | 0.2927 | |||
| Coefficient Of Variation | 1056.34 | |||
| Standard Deviation | 0.1671 |
SIT TAX-FREE Suggested Diversification Pairs
A pair strategy built around Sit Tax Free Income is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. A disciplined pair strategy still requires monitoring because correlation can weaken when market regimes change.
| Citigroup vs. SIT TAX-FREE | ||
| GM vs. SIT TAX-FREE | ||
| Microsoft vs. SIT TAX-FREE | ||
| Salesforce vs. SIT TAX-FREE | ||
| Dupont De vs. SIT TAX-FREE | ||
| Visa vs. SIT TAX-FREE | ||
| Alphabet vs. SIT TAX-FREE |
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against SIT TAX-FREE as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. SIT TAX-FREE's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, SIT TAX-FREE's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Sit Tax Free Income.