Stone Ridge Correlations

SHRIX Fund

USD 9.03 0.01 0.11%

The current 90-days correlation between Stone Ridge High and Lincoln Inflation Plus is -0.07 (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

Very poor diversification

The correlation between Stone Ridge High and DJI is 0.85 (i.e., Very poor 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 gross domestic product.

Moving together with Stone Mutual Fund

1.0	SHRMX	Stone Ridge High	Pair Corr
0.89	MISHX	Ab Municipal Income	Pair Corr
0.93	LMSMX	Western Asset Smash	Pair Corr
0.96	LMECX	Western Asset Smash	Pair Corr
0.79	FXIMX	Fixed Income Shares	Pair Corr
0.97	FXICX	Fixed Income Shares	Pair Corr
0.92	WFCPX	Wells Fargo	Pair Corr
0.91	NMTRX	Municipal Total Return	Pair Corr
0.83	LMLCX	Western Asset Smash	Pair Corr
0.96	BATAX	Blackrock Allocation	Pair Corr
0.64	VTSAX	Vanguard Total Stock	Pair Corr
0.64	VSTSX	Vanguard Total Stock	Pair Corr
0.61	VSMPX	Vanguard Total Stock	Pair Corr
0.61	VITSX	Vanguard Total Stock	Pair Corr
0.98	VTIAX	Vanguard Total Inter	Pair Corr
0.78	VBTLX	Vanguard Total Bond	Pair Corr
0.95	CLDBX	Compass Capital Low	Pair Corr
0.9	DPLTX	Dreyfus High Yield	Pair Corr
0.89	RFXAX	Rational Special Sit	Pair Corr
0.78	HABYX	Hartford Total	Pair Corr
0.93	ECORX	Eaton Vance Oregon	Pair Corr
0.68	GOODX	Goodhaven Fund Goodhaven	Pair Corr
0.96	TBLEX	T Rowe Price	Pair Corr
0.96	FFFGX	Fidelity Freedom 2045	Pair Corr
0.76	ETFCX	Stadion Tactical Growth	Pair Corr
0.89	LSAAX	Locorr Strategic All	Pair Corr
0.9	GMXAX	Nationwide Mid Cap	Pair Corr
0.93	FSMNX	Fidelity Sai Municipal	Pair Corr
0.94	FFLDX	Fidelity Freedom Index	Pair Corr
0.97	PQTNX	Pimco Trends Managed	Pair Corr
0.97	SVARX	Spectrum Low Volatility	Pair Corr
0.94	GMOZX	Gmo High Yield	Pair Corr
0.91	NRIQX	Neuberger Berman Int	Pair Corr

Moving against Stone Mutual Fund

0.7	SRDBX	Stone Ridge Diversified	Pair Corr
0.42	SRDAX	Stone Ridge Diversified	Pair Corr

Related Correlations Analysis

	SRDAX	SRDBX	DMCYX	WIBMX	DHEIX	HRATX	PFONX	LFTAX
SRDAX		0.58	-0.29	-0.23	-0.41	-0.32	-0.34	-0.52	SRDAX
SRDBX	0.58		-0.52	-0.34	-0.65	-0.59	-0.51	-0.76	SRDBX
DMCYX	-0.29	-0.52		0.45	0.73	0.89	0.54	0.68	DMCYX
WIBMX	-0.23	-0.34	0.45		0.85	0.55	0.88	0.74	WIBMX
DHEIX	-0.41	-0.65	0.73	0.85		0.78	0.91	0.94	DHEIX
HRATX	-0.32	-0.59	0.89	0.55	0.78		0.67	0.76	HRATX
PFONX	-0.34	-0.51	0.54	0.88	0.91	0.67		0.86	PFONX
LFTAX	-0.52	-0.76	0.68	0.74	0.94	0.76	0.86		LFTAX
	SRDAX	SRDBX	DMCYX	WIBMX	DHEIX	HRATX	PFONX	LFTAX

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

LFTAX	+ 0.94	DHEIX
PFONX	+ 0.91	DHEIX
HRATX	+ 0.89	DMCYX
PFONX	+ 0.88	WIBMX
LFTAX	+ 0.86	PFONX
DHEIX	+ 0.85	WIBMX

High negative correlations

LFTAX	- 0.76	SRDBX
DHEIX	- 0.65	SRDBX
HRATX	- 0.59	SRDBX
DMCYX	- 0.52	SRDBX
LFTAX	- 0.52	SRDAX
PFONX	- 0.51	SRDBX

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
SRDAX	0.45	0.00	(0.07)	(0.02)	1.34	(0.52)	0.41	(0.41)	16.73
SRDBX	0.19	(0.02)	0.00	(0.57)	0.00	0.00	0.41	(0.41)	1.03
DMCYX	0.93	0.28	0.44	0.32	0.00	(1.28)	1.63	(1.06)	19.36
WIBMX	0.14	0.02	(0.48)	6.25	0.00	(0.19)	0.23	(0.23)	0.68
DHEIX	0.04	0.01	0.00	(1.78)	0.00	0.00	0.10	0.00	0.30
HRATX	0.57	0.21	0.25	0.56	0.00	(0.71)	0.96	(0.87)	10.66
PFONX	0.10	0.02	(0.49)	(1.50)	0.00	(0.15)	0.20	(0.20)	0.71
LFTAX	0.54	0.17	0.04	(0.74)	0.75	(0.58)	1.13	(1.02)	4.38

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