Stone Ridge Correlations

SRDBX Fund

USD 10.22 0.01 0.1%

The current 90-days correlation between Stone Ridge Diversified and Stone Ridge High is 0.01 (i.e., Significant 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 Diversified and DJI is -0.19 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge Diversified 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 Diversified. 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 bureau of labor statistics.

Moving together with Stone Mutual Fund

0.83	SHRMX	Stone Ridge High	Pair Corr
0.95	SRDAX	Stone Ridge Diversified	Pair Corr
0.81	BXMYX	Blackstone Alternative	Pair Corr
0.7	QSPRX	Aqr Style Premia	Pair Corr
0.81	BXMIX	Blackstone Alternative	Pair Corr
0.81	BXMDX	Blackstone Alternative	Pair Corr
0.82	GARTX	Goldman Sachs Absolute	Pair Corr
0.8	GCRTX	Goldman Sachs Absolute	Pair Corr
0.83	VSTSX	Vanguard Total Stock	Pair Corr
0.83	VSMPX	Vanguard Total Stock	Pair Corr
0.82	VITSX	Vanguard Total Stock	Pair Corr
0.83	VFFSX	Vanguard 500 Index	Pair Corr
0.82	VFIAX	Vanguard 500 Index	Pair Corr
0.83	VTISX	Vanguard Total Inter	Pair Corr
0.83	VTSNX	Vanguard Total Inter	Pair Corr
0.82	VTPSX	Vanguard Total Inter	Pair Corr
0.82	VINIX	Vanguard Institutional	Pair Corr
0.83	VTSAX	Vanguard Total Stock	Pair Corr
0.79	SENYX	Stet New York	Pair Corr
0.8	PPILX	Deutsche Short Duration	Pair Corr
0.83	RSOOX	Columbia Dividend	Pair Corr
0.86	DIMIX	Dreyfus Short Interm	Pair Corr
0.83	PUDCX	Prudential Real Assets	Pair Corr
0.83	FAQTX	American Funds 2035	Pair Corr
0.71	KNGLX	Cboe Vest Sp	Pair Corr
0.83	BSPSX	Blackrock Sp 500	Pair Corr
0.81	VLSMX	Valic Company I	Pair Corr
0.75	FMFIX	Free Market Fixed	Pair Corr
0.8	USDIX	Ubs Ultra Short	Pair Corr
0.82	PPNMX	Smallcap Growth	Pair Corr
0.87	HRNRX	Hood River New	Pair Corr

Related Correlations Analysis

	SHRIX	SRDAX	SRDBX	BTBFX	APDIX	SAGCX	AVLIX	PGDRX	ACFGX	SMSIX
SHRIX		0.16	0.12	-0.13	-0.06	-0.07	-0.16	-0.02	-0.06	-0.14	SHRIX
SRDAX	0.16		0.95	0.8	0.86	0.81	0.8	0.84	0.85	0.8	SRDAX
SRDBX	0.12	0.95		0.79	0.85	0.8	0.79	0.85	0.83	0.8	SRDBX
BTBFX	-0.13	0.8	0.79		0.95	0.99	0.99	0.94	0.97	0.98	BTBFX
APDIX	-0.06	0.86	0.85	0.95		0.95	0.93	0.97	0.96	0.97	APDIX
SAGCX	-0.07	0.81	0.8	0.99	0.95		0.96	0.95	0.97	0.97	SAGCX
AVLIX	-0.16	0.8	0.79	0.99	0.93	0.96		0.94	0.94	0.96	AVLIX
PGDRX	-0.02	0.84	0.85	0.94	0.97	0.95	0.94		0.93	0.98	PGDRX
ACFGX	-0.06	0.85	0.83	0.97	0.96	0.97	0.94	0.93		0.96	ACFGX
SMSIX	-0.14	0.8	0.8	0.98	0.97	0.97	0.96	0.98	0.96		SMSIX
	SHRIX	SRDAX	SRDBX	BTBFX	APDIX	SAGCX	AVLIX	PGDRX	ACFGX	SMSIX

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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

SAGCX	+ 0.99	BTBFX
AVLIX	+ 0.99	BTBFX
SMSIX	+ 0.98	BTBFX
SMSIX	+ 0.98	PGDRX
ACFGX	+ 0.97	BTBFX
PGDRX	+ 0.97	APDIX

High negative correlations

AVLIX	- 0.16	SHRIX
SMSIX	- 0.14	SHRIX
BTBFX	- 0.13	SHRIX
SAGCX	- 0.07	SHRIX
ACFGX	- 0.06	SHRIX
APDIX	- 0.06	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	0.10	0.00	0.00	0.11	(0.11)	2.45
SRDAX	0.14	0.02	(0.44)	(0.89)	0.10	(0.16)	0.29	(0.20)	0.98
SRDBX	0.14	0.02	(0.47)	(0.46)	0.10	(0.17)	0.20	(0.30)	0.99
BTBFX	0.46	0.02	(0.05)	0.17	0.37	(0.52)	1.20	(0.88)	3.10
APDIX	0.54	0.25	0.20	(8.83)	0.00	(0.70)	1.53	(0.89)	3.62
SAGCX	0.87	0.13	0.14	0.25	0.72	(1.04)	2.54	(1.61)	6.37
AVLIX	0.63	0.03	(0.01)	0.18	0.60	(0.68)	1.62	(1.08)	3.84
PGDRX	0.36	0.08	(0.07)	0.55	0.17	(0.43)	0.89	(0.85)	2.22
ACFGX	0.98	0.37	0.21	(3.51)	0.73	(1.21)	2.75	(1.30)	5.84
SMSIX	0.21	0.04	(0.22)	0.31	0.00	(0.25)	0.49	(0.48)	1.25

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