Stone Ridge Correlations

SHRIX Fund

USD 8.92 0.01 0.11%

The current 90-days correlation between Stone Ridge High and Davis Government Bond is -0.03 (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

Significant diversification

The correlation between Stone Ridge High and DJI is 0.05 (i.e., Significant 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

0.69	SHRMX	Stone Ridge High	Pair Corr
0.91	GFSYX	Strategic Alternatives	Pair Corr
0.65	DHLSX	Diamond Hill Long	Pair Corr
0.85	PHSYX	Putnam Global Health	Pair Corr
0.88	CRIAX	Crm Smallmid Cap	Pair Corr
0.72	IMBAX	Voya Limited Maturity	Pair Corr
0.8	KHYCX	Deutsche High Income	Pair Corr
0.68	LFRFX	Floating Rate	Pair Corr
0.69	EFRRX	Eaton Vance Floating	Pair Corr
0.89	SRCMX	California Municipal	Pair Corr
0.79	PPRSX	Preferred Securities	Pair Corr
0.78	CFOIX	Calvert Floating Rate	Pair Corr
0.75	ECMOX	Eaton Vance Missouri	Pair Corr
0.71	FDMLX	Fidelity Series Intrinsic	Pair Corr
0.79	SAMVX	Ridgeworth Ceredex Mid	Pair Corr
0.72	PYSBX	Payden Low Duration	Pair Corr
0.68	FFGRX	Emerald Growth	Pair Corr

Moving against Stone Mutual Fund

0.52

SRDBX

Stone Ridge Diversified

Pair Corr

Related Correlations Analysis

	RFBAX	SIGVX	SNGYX	RYAQX	CGTFX	FICMX	UGSDX
RFBAX		0.8	0.52	0.65	0.17	0.37	0.67	RFBAX
SIGVX	0.8		0.56	0.89	0.2	0.31	0.81	SIGVX
SNGYX	0.52	0.56		0.36	0.79	0.54	0.31	SNGYX
RYAQX	0.65	0.89	0.36		-0.03	-0.03	0.78	RYAQX
CGTFX	0.17	0.2	0.79	-0.03		0.62	-0.09	CGTFX
FICMX	0.37	0.31	0.54	-0.03	0.62		-0.09	FICMX
UGSDX	0.67	0.81	0.31	0.78	-0.09	-0.09		UGSDX
	RFBAX	SIGVX	SNGYX	RYAQX	CGTFX	FICMX	UGSDX

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

RYAQX	+ 0.89	SIGVX
UGSDX	+ 0.81	SIGVX
SIGVX	+ 0.8	RFBAX
CGTFX	+ 0.79	SNGYX
UGSDX	+ 0.78	RYAQX
UGSDX	+ 0.67	RFBAX

High negative correlations

UGSDX	- 0.09	FICMX
UGSDX	- 0.09	CGTFX
FICMX	- 0.03	RYAQX
CGTFX	- 0.03	RYAQX

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
RFBAX	0.06	0.00	(0.42)	(0.68)	0.00	(0.19)	0.19	(0.19)	0.39
SIGVX	0.06	0.00	(0.77)	(1.06)	0.00	(0.14)	0.10	(0.10)	0.51
SNGYX	0.13	0.00	(0.46)	(0.92)	0.09	(0.17)	0.29	(0.29)	0.77
RYAQX	0.39	0.06	(0.07)	(0.45)	0.30	(0.44)	0.98	(0.58)	1.98
CGTFX	0.13	(0.01)	(0.45)	(0.20)	0.15	(0.15)	0.25	(0.25)	0.82
FICMX	0.16	0.00	(0.34)	(0.02)	0.17	(0.20)	0.33	(0.33)	0.98
UGSDX	0.02	0.00	0.00	0.05	0.00	0.00	0.00	0.00	0.52

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