Stone Ridge Correlations

LIBD Etf

282.95 2.05 0.73%

The current 90-days correlation between Stone Ridge 2065 and Vanguard Short Term Inflation Protected is 0.04 (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.

Stone Ridge Correlation With Market

Average diversification

The correlation between Stone Ridge 2065 and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge 2065 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 2065. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of labor statistics.

Moving together with Stone Etf

0.74	MPAY	Exchange Traded Concepts	Pair Corr
0.62	ELON	Battleshares TSLA	Pair Corr
0.61	T	ATT Inc	Pair Corr
0.8	MSFT	Microsoft	Pair Corr
0.74	HD	Home Depot	Pair Corr
0.75	HPQ	HP Inc	Pair Corr
0.77	PG	Procter Gamble	Pair Corr

Moving against Stone Etf

0.75	MRK	Merck Company Aggressive Push	Pair Corr
0.64	VTV	Vanguard Value Index	Pair Corr
0.59	VEA	Vanguard FTSE Developed	Pair Corr
0.57	AMPD	Tidal ETF Services	Pair Corr
0.43	VB	Vanguard Small Cap	Pair Corr
0.41	SPY	SPDR SP 500	Pair Corr
0.41	IVV	iShares Core SP	Pair Corr
0.4	VTI	Vanguard Total Stock	Pair Corr
0.39	ITWO	Proshares Russell 2000 Low Volatility	Pair Corr
0.76	JNJ	Johnson Johnson	Pair Corr
0.75	TRV	The Travelers Companies	Pair Corr
0.69	JPM	JPMorgan Chase Earnings Call This Week	Pair Corr
0.68	XOM	Exxon Mobil Corp	Pair Corr
0.66	BAC	Bank of America Earnings Call This Week	Pair Corr
0.64	WMT	Walmart Common Stock	Pair Corr
0.62	PFE	Pfizer Inc	Pair Corr
0.54	AXP	American Express	Pair Corr
0.41	MCD	McDonalds	Pair Corr

Related Correlations Analysis

	VTIP	TIP	PBTP	GTIP	IBIC	IBIF	IBIG	IBID	IBIE
VTIP		0.18	0.97	0.22	0.62	0.67	0.49	0.8	0.81	VTIP
TIP	0.18		0.26	0.99	-0.5	0.67	0.82	-0.03	0.3	TIP
PBTP	0.97	0.26		0.3	0.51	0.69	0.5	0.77	0.81	PBTP
GTIP	0.22	0.99	0.3		-0.46	0.7	0.83	0.01	0.33	GTIP
IBIC	0.62	-0.5	0.51	-0.46		0.14	-0.04	0.76	0.54	IBIC
IBIF	0.67	0.67	0.69	0.7	0.14		0.91	0.59	0.81	IBIF
IBIG	0.49	0.82	0.5	0.83	-0.04	0.91		0.38	0.64	IBIG
IBID	0.8	-0.03	0.77	0.01	0.76	0.59	0.38		0.88	IBID
IBIE	0.81	0.3	0.81	0.33	0.54	0.81	0.64	0.88		IBIE
	VTIP	TIP	PBTP	GTIP	IBIC	IBIF	IBIG	IBID	IBIE

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

GTIP	+ 0.99	TIP
PBTP	+ 0.97	VTIP
IBIG	+ 0.91	IBIF
IBIE	+ 0.88	IBID
IBIG	+ 0.83	GTIP
IBIG	+ 0.82	TIP

High negative correlations

IBIC	- 0.5	TIP
IBIC	- 0.46	GTIP
IBIG	- 0.04	IBIC
IBID	- 0.03	TIP

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
VTIP	0.06	(0.01)	(1.13)	(0.13)	0.00	(0.07)	0.12	(0.10)	0.40
TIP	0.15	(0.01)	(0.48)	(0.23)	0.19	(0.15)	0.27	(0.23)	0.88
PBTP	0.06	(0.01)	(0.76)	(0.15)	0.04	(0.07)	0.12	(0.12)	0.50
GTIP	0.14	(0.01)	(0.46)	(0.26)	0.17	(0.16)	0.29	(0.24)	0.87
IBIC	0.04	0.00	(1.57)	(0.20)	0.00	(0.06)	0.08	(0.08)	0.24
IBIF	0.08	(0.01)	(0.87)	(0.74)	0.08	(0.12)	0.19	(0.12)	0.50
IBIG	0.11	(0.01)	(0.66)	(0.39)	0.12	(0.13)	0.23	(0.19)	0.61
IBID	0.04	(0.01)	(1.09)	(0.98)	0.00	(0.05)	0.08	(0.12)	0.23
IBIE	0.05	(0.01)	(1.03)	(0.42)	0.00	(0.08)	0.12	(0.12)	0.39

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