Stone Ridge Correlations

LFDR Etf

189.30 0.91 0.48%

The current 90-days correlation between Stone Ridge Durable and First Trust Dorsey is 0.15 (i.e., Average 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

Average diversification

The correlation between Stone Ridge Durable and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge Durable and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Stone Etf

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Stone Ridge Durable. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in small area income & poverty estimates.

Moving together with Stone Etf

0.67	T	ATT Inc	Pair Corr
0.73	MSFT	Microsoft	Pair Corr
0.61	HD	Home Depot	Pair Corr
0.68	HPQ	HP Inc	Pair Corr
0.82	PG	Procter Gamble Earnings Call This Week	Pair Corr

Moving against Stone Etf

0.66	MRK	Merck Company	Pair Corr
0.57	VTV	Vanguard Value Index Sell-off Trend	Pair Corr
0.55	VEA	Vanguard FTSE Developed	Pair Corr
0.44	AMPD	Tidal ETF Services	Pair Corr
0.43	SPY	SPDR SP 500 Sell-off Trend	Pair Corr
0.43	IVV	iShares Core SP Sell-off Trend	Pair Corr
0.42	VTI	Vanguard Total Stock Sell-off Trend	Pair Corr
0.41	VB	Vanguard Small Cap	Pair Corr
0.38	ITWO	Proshares Russell 2000	Pair Corr
0.72	BAC	Bank of America	Pair Corr
0.68	JPM	JPMorgan Chase	Pair Corr
0.65	JNJ	Johnson Johnson Earnings Call This Week	Pair Corr
0.6	TRV	The Travelers Companies Earnings Call This Week	Pair Corr
0.6	AXP	American Express	Pair Corr
0.6	XOM	Exxon Mobil Corp Aggressive Push	Pair Corr
0.59	WMT	Walmart Common Stock Aggressive Push	Pair Corr
0.58	PFE	Pfizer Inc	Pair Corr
0.38	MCD	McDonalds	Pair Corr

Related Correlations Analysis

	FV	MEMA	MEXX	VEXC	MOAT	MODL	DYTA	MVPA	EAPR
FV		-0.19	0.86	0.92	0.92	0.8	0.92	0.84	0.88	FV
MEMA	-0.19		-0.36	-0.12	-0.33	-0.29	-0.39	-0.15	-0.38	MEMA
MEXX	0.86	-0.36		0.82	0.89	0.77	0.94	0.57	0.92	MEXX
VEXC	0.92	-0.12	0.82		0.79	0.72	0.85	0.67	0.87	VEXC
MOAT	0.92	-0.33	0.89	0.79		0.86	0.95	0.78	0.93	MOAT
MODL	0.8	-0.29	0.77	0.72	0.86		0.85	0.67	0.88	MODL
DYTA	0.92	-0.39	0.94	0.85	0.95	0.85		0.68	0.95	DYTA
MVPA	0.84	-0.15	0.57	0.67	0.78	0.67	0.68		0.63	MVPA
EAPR	0.88	-0.38	0.92	0.87	0.93	0.88	0.95	0.63		EAPR
	FV	MEMA	MEXX	VEXC	MOAT	MODL	DYTA	MVPA	EAPR

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

DYTA	+ 0.95	MOAT
EAPR	+ 0.95	DYTA
DYTA	+ 0.94	MEXX
EAPR	+ 0.93	MOAT
VEXC	+ 0.92	FV
MOAT	+ 0.92	FV

High negative correlations

DYTA	- 0.39	MEMA
EAPR	- 0.38	MEMA
MEXX	- 0.36	MEMA
MOAT	- 0.33	MEMA
MODL	- 0.29	MEMA
MEMA	- 0.19	FV

Stone Ridge Constituents Risk-Adjusted Indicators

There is a big difference between Stone Etf performing well and Stone Ridge ETF 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
FV	0.72	0.03	0.03	0.12	0.75	(0.74)	1.55	(1.47)	3.20
MEMA	0.66	0.39	0.54	1.76	0.00	(0.89)	1.44	(0.74)	3.03
MEXX	2.60	0.51	0.20	0.43	2.43	(3.13)	5.60	(4.26)	13.19
VEXC	0.51	0.07	0.05	0.23	0.44	(0.54)	1.30	(1.03)	2.99
MOAT	0.61	0.04	0.04	0.13	0.50	(0.69)	1.28	(1.04)	3.22
MODL	0.49	(0.02)	(0.07)	0.06	0.56	(0.49)	1.15	(1.01)	2.96
DYTA	0.21	0.01	(0.24)	0.11	0.07	(0.24)	0.52	(0.35)	1.11
MVPA	0.83	(0.04)	(0.02)	0.06	0.99	(0.91)	2.06	(1.97)	4.03
EAPR	0.15	0.02	(0.30)	0.27	0.00	(0.18)	0.38	(0.27)	1.03

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