Stone Ridge Correlations

SRDAX Fund

USD 9.89 0.03 0.30%

The current 90-days correlation between Stone Ridge Diversified and Vanguard Commodity Strategy is -0.16 (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 good diversification

The correlation between Stone Ridge Diversified and DJI is -0.41 (i.e., Very 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 nation.

Moving together with Stone Mutual Fund

0.64

SRDBX

Stone Ridge Diversified

Pair Corr

Moving against Stone Mutual Fund

0.46	VTSAX	Vanguard Total Stock	Pair Corr
0.46	VSTSX	Vanguard Total Stock	Pair Corr
0.43	GARTX	Goldman Sachs Absolute	Pair Corr
0.42	SHRMX	Stone Ridge High	Pair Corr
0.42	BXMYX	Blackstone Alternative	Pair Corr
0.42	BXMIX	Blackstone Alternative	Pair Corr
0.41	SHRIX	Stone Ridge High	Pair Corr
0.4	GCRTX	Goldman Sachs Absolute	Pair Corr
0.4	VFIAX	Vanguard 500 Index	Pair Corr
0.4	VTSMX	Vanguard Total Stock	Pair Corr
0.34	BXMDX	Blackstone Alternative	Pair Corr
0.51	PGEJX	George Putnam Balanced	Pair Corr
0.46	VFFSX	Vanguard 500 Index	Pair Corr
0.46	LEQAX	Locorr Dynamic Equity	Pair Corr
0.45	CGAEX	Calvert Global Energy	Pair Corr
0.42	VDVIX	Vanguard Developed	Pair Corr
0.42	OSINX	Oppenheimer Strat Incm	Pair Corr
0.4	VSMPX	Vanguard Total Stock	Pair Corr
0.4	VITSX	Vanguard Total Stock	Pair Corr
0.4	VTIAX	Vanguard Total Inter	Pair Corr
0.4	AAINX	Thrivent Opportunity	Pair Corr
0.4	HFCVX	Hennessy Nerstone Value	Pair Corr
0.39	JSCOX	Perkins Small Cap	Pair Corr
0.38	VFINX	Vanguard 500 Index	Pair Corr
0.38	MERIX	Merger Fund	Pair Corr
0.32	MMECX	Victory Integrity	Pair Corr
0.46	FFCGX	Fa 529 Aggressive	Pair Corr
0.46	MPHLX	Massmutual Premier High	Pair Corr
0.46	EVTTX	Evaluator Tactically	Pair Corr
0.45	VEUSX	Vanguard European Stock	Pair Corr

Related Correlations Analysis

	SHRIX	SHRMX	WSMRX	DNLVX	VGSTX	RWIFX	NPSFX	VCMDX
SHRIX		1.0	0.74	0.95	0.9	0.94	0.97	0.91	SHRIX
SHRMX	1.0		0.73	0.95	0.9	0.93	0.98	0.9	SHRMX
WSMRX	0.74	0.73		0.84	0.91	0.87	0.73	0.73	WSMRX
DNLVX	0.95	0.95	0.84		0.94	0.97	0.94	0.89	DNLVX
VGSTX	0.9	0.9	0.91	0.94		0.98	0.9	0.86	VGSTX
RWIFX	0.94	0.93	0.87	0.97	0.98		0.93	0.93	RWIFX
NPSFX	0.97	0.98	0.73	0.94	0.9	0.93		0.86	NPSFX
VCMDX	0.91	0.9	0.73	0.89	0.86	0.93	0.86		VCMDX
	SHRIX	SHRMX	WSMRX	DNLVX	VGSTX	RWIFX	NPSFX	VCMDX

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	0.06	0.03	0.00	4.42	0.00	0.00	0.11	(0.11)	0.23
SHRMX	0.05	0.00	0.00	0.00	0.00	0.00	0.11	0.00	0.23
WSMRX	0.90	0.06	0.08	0.16	0.74	(1.06)	2.09	(1.63)	5.37
DNLVX	0.56	0.17	0.18	0.37	0.21	(0.65)	1.33	(0.98)	5.73
VGSTX	0.36	0.04	(0.03)	0.18	0.24	(0.42)	0.82	(0.71)	2.21
RWIFX	0.61	0.10	0.09	0.24	0.49	(0.69)	1.25	(1.36)	3.76
NPSFX	0.09	0.03	(0.78)	(4.48)	0.00	(0.14)	0.19	(0.06)	0.87
VCMDX	0.87	0.16	0.05	0.92	1.22	(0.92)	1.78	(1.73)	5.86

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