Sit International Equity Fund Market Value
| SEFCX Fund | USD 11.59 0.01 0.09% |
| Symbol | Sit |
Sit International 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Sit International's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Sit International.
| 04/29/2022 |
| 04/18/2024 |
If you would invest 0.00 in Sit International on April 29, 2022 and sell it all today you would earn a total of 0.00 from holding Sit International Equity or generate 0.0% return on investment in Sit International over 720 days. Sit International is related to or competes with Vanguard Total, Vanguard Developed, and Fidelity International. Under normal circumstances, the fund will invest at least 80 percent of its net assets in equity securities More
Sit International Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Sit International's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Sit International Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6614 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 2.51 | |||
| Value At Risk | (1.22) | |||
| Potential Upside | 0.8467 |
Sit International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sit International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sit International's standard deviation. In reality, there are many statistical measures that can use Sit International historical prices to predict the future Sit International's volatility.| Risk Adjusted Performance | 0.0111 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | 0.0018 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sit International's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Sit International Equity Backtested Returns
We consider Sit International very steady. Sit International Equity owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0737, which indicates the fund had a 0.0737% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Sit International Equity, which you can use to evaluate the volatility of the fund. Please validate Sit International's Coefficient Of Variation of 5562.28, risk adjusted performance of 0.0111, and Semi Deviation of 0.6121 to confirm if the risk estimate we provide is consistent with the expected return of 0.0418%. The entity has a beta of 0.59, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sit International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sit International is expected to be smaller as well.
Auto-correlation | 0.74 |
Good predictability
Sit International Equity has good predictability. Overlapping area represents the amount of predictability between Sit International time series from 29th of April 2022 to 24th of April 2023 and 24th of April 2023 to 18th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sit International Equity price movement. The serial correlation of 0.74 indicates that around 74.0% of current Sit International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
Sit International Equity lagged returns against current returns
Autocorrelation, which is Sit International mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Sit International's mutual fund expected returns. We can calculate the autocorrelation of Sit International returns to help us make a trade decision. For example, suppose you find that Sit International has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Sit International regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Sit International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sit International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sit International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Sit International Lagged Returns
When evaluating Sit International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sit International mutual fund have on its future price. Sit International autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Sit International autocorrelation shows the relationship between Sit International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Sit International Equity.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Sit International in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Sit International's short interest history, or implied volatility extrapolated from Sit International options trading.
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Check out Sit International Correlation, Sit International Volatility and Sit International Alpha and Beta module to complement your research on Sit International. Note that the Sit International Equity information on this page should be used as a complementary analysis to other Sit International's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
Sit International technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.