Stone Ridge Correlations

SHRMX Fund

USD 8.91 0.01 0.11%

The current 90-days correlation between Stone Ridge High and Stone Ridge High is -0.02 (i.e., Good diversification). The correlation of Stone Ridge 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.

Stone Ridge Correlation With Market

Good diversification

The correlation between Stone Ridge High and DJI is -0.15 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge High 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 Stone Ridge High. 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 population.

Moving together with Stone Mutual Fund

0.83	SRDAX	Stone Ridge Diversified	Pair Corr
0.82	SRDBX	Stone Ridge Diversified	Pair Corr
0.77	LMECX	Western Asset Smash	Pair Corr
0.7	FXIMX	Fixed Income Shares	Pair Corr
0.75	FXICX	Fixed Income Shares	Pair Corr
0.72	LMLCX	Western Asset Smash	Pair Corr
0.73	BATAX	Blackrock Allocation	Pair Corr
0.61	BRAMX	Bats Series M	Pair Corr
0.83	PDI	Pimco Dynamic Income	Pair Corr
0.97	FTCAX	Templeton Strained Bond	Pair Corr
0.69	HNSGX	Harbor Small Cap	Pair Corr
0.61	VFIRX	Vanguard Short Term	Pair Corr
0.7	JIYBX	Jpmorgan Smartretirement*	Pair Corr
0.67	WTCOX	Westcore Orado Tax	Pair Corr
0.69	DDDRX	Delaware Wealth Builder	Pair Corr
0.66	TGCFX	Tcw E Fixed	Pair Corr
0.81	FWBCX	American Funds Capital	Pair Corr
0.72	BRGKX	Blckrck Fds Iii	Pair Corr
0.67	MXBOX	Great West Lifetime	Pair Corr
0.66	PRIAX	International Emerging	Pair Corr
0.91	FATEX	Fidelity Advisor Tec	Pair Corr
0.9	ECAMX	Eaton Vance Multi	Pair Corr
0.7	JRSDX	Intech Managed Volatility	Pair Corr
0.84	JNVMX	Jpmorgan International	Pair Corr
0.86	VSMAX	Vanguard Small Cap	Pair Corr
0.78	WATPX	Western Asset Inflation	Pair Corr
0.71	ICSAX	Vy Umbia Small	Pair Corr
0.67	AMAGX	Amana Growth	Pair Corr

Moving against Stone Mutual Fund

0.82	USPSX	Profunds Ultrashort	Pair Corr
0.77	TCSUX	Cleartrack 2020 Class	Pair Corr
0.76	TCTGX	Transamerica Cleartrack	Pair Corr
0.75	TDKTX	Cleartrack 2015 Class	Pair Corr
0.75	TCTJX	Transamerica Cleartrack	Pair Corr
0.82	USPIX	Profunds Ultrashort	Pair Corr
0.79	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	SHRIX	SRDAX	OTRFX	PINCX	SWHCX	FDSCX	ARDEX	FCPCX	LRSOX
SHRIX		0.23	-0.56	-0.45	-0.2	-0.28	-0.15	-0.19	-0.16	SHRIX
SRDAX	0.23		0.36	0.38	0.66	0.62	0.81	0.62	0.79	SRDAX
OTRFX	-0.56	0.36		0.83	0.58	0.67	0.49	0.65	0.45	OTRFX
PINCX	-0.45	0.38	0.83		0.63	0.66	0.62	0.66	0.52	PINCX
SWHCX	-0.2	0.66	0.58	0.63		0.98	0.76	0.83	0.73	SWHCX
FDSCX	-0.28	0.62	0.67	0.66	0.98		0.74	0.79	0.71	FDSCX
ARDEX	-0.15	0.81	0.49	0.62	0.76	0.74		0.69	0.95	ARDEX
FCPCX	-0.19	0.62	0.65	0.66	0.83	0.79	0.69		0.63	FCPCX
LRSOX	-0.16	0.79	0.45	0.52	0.73	0.71	0.95	0.63		LRSOX
	SHRIX	SRDAX	OTRFX	PINCX	SWHCX	FDSCX	ARDEX	FCPCX	LRSOX

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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

FDSCX	+ 0.98	SWHCX
LRSOX	+ 0.95	ARDEX
PINCX	+ 0.83	OTRFX
FCPCX	+ 0.83	SWHCX
ARDEX	+ 0.81	SRDAX
LRSOX	+ 0.79	SRDAX

High negative correlations

OTRFX	- 0.56	SHRIX
PINCX	- 0.45	SHRIX
FDSCX	- 0.28	SHRIX
SWHCX	- 0.2	SHRIX
FCPCX	- 0.19	SHRIX
LRSOX	- 0.16	SHRIX

Risk-Adjusted Indicators

There is a big difference between Stone Mutual Fund performing well and Stone Ridge 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 Stone Ridge'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
SHRIX	0.09	0.00	0.00	0.13	0.00	0.00	0.11	(0.11)	2.45
SRDAX	0.14	0.02	(0.42)	(0.85)	0.10	(0.16)	0.29	(0.20)	0.98
OTRFX	0.13	0.02	(0.50)	1.08	0.00	(0.15)	0.29	(0.20)	1.19
PINCX	0.23	0.01	(0.32)	0.35	0.18	(0.30)	0.40	(0.40)	1.21
SWHCX	0.50	0.25	0.17	(2.77)	0.00	(0.59)	1.66	(0.81)	3.95
FDSCX	0.84	0.32	0.16	(3.25)	0.67	(0.98)	2.34	(1.47)	6.13
ARDEX	0.58	0.02	(0.02)	0.17	0.66	(0.67)	1.36	(1.05)	3.97
FCPCX	0.57	0.20	0.18	0.57	0.00	(0.65)	1.62	(1.04)	3.84
LRSOX	0.86	0.31	0.15	(2.33)	0.74	(1.01)	2.37	(1.71)	6.53

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