Stone Ridge Correlations

SRDBX Fund

USD 9.63 0.01 0.10%

The current 90-days correlation between Stone Ridge Diversified and Fa 529 Aggressive is -0.1 (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 -0.44 (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 bureau of labor statistics.

Moving together with Stone Mutual Fund

0.61

SRDAX

Stone Ridge Diversified

Pair Corr

Moving against Stone Mutual Fund

0.54	BKMBX	Blackrock Systematic	Pair Corr
0.54	GARTX	Goldman Sachs Absolute	Pair Corr
0.53	BIMBX	Blackrock Alternative	Pair Corr
0.51	BAMBX	Blackrock Alternative	Pair Corr
0.51	BMBCX	Blackrock Alternative	Pair Corr
0.51	QSPRX	Aqr Style Premia	Pair Corr
0.51	BXMIX	Blackstone Alternative	Pair Corr
0.5	BXMYX	Blackstone Alternative	Pair Corr
0.49	GCRTX	Goldman Sachs Absolute	Pair Corr
0.45	BXMDX	Blackstone Alternative	Pair Corr
0.36	SHRMX	Stone Ridge High	Pair Corr
0.35	SHRIX	Stone Ridge High	Pair Corr
0.77	MLOAX	Cohen Steers Mlp	Pair Corr
0.71	PDI	Pimco Dynamic Income Sell-off Trend	Pair Corr
0.6	CPRRX	Cohen Steers Preferred	Pair Corr
0.54	RYZCX	Precious Metals	Pair Corr
0.54	SCMIX	Columbia Seligman	Pair Corr
0.54	BROCX	Backrock Glbl Opprtnts	Pair Corr
0.51	IOBZX	Icon Bond Fund	Pair Corr
0.5	ACEVX	International Value	Pair Corr
0.5	FSTZX	Fidelity Series 0	Pair Corr
0.49	STYAX	Wells Fargo Income	Pair Corr
0.45	PLCNX	Pacific Funds Strategic	Pair Corr
0.44	MEDIX	Mfs Emerging Markets	Pair Corr
0.44	SWSFX	Ultra Short Fixed	Pair Corr
0.43	MDFSX	Disciplined Value Series	Pair Corr
0.31	ISTAX	Icon Long/short	Pair Corr
0.31	HIACX	Hartford Capital App	Pair Corr
0.75	QTERX	Aqr Tm Emerging	Pair Corr
0.69	EPIBX	Europac International	Pair Corr

Related Correlations Analysis

	FANISX	FABWX	FWNHTX	MFTFX	IAADX	FFCGX
FANISX		-0.67	0.59	-0.66	-0.71	-0.66	FANISX
FABWX	-0.67		-0.78	0.94	0.93	0.99	FABWX
FWNHTX	0.59	-0.78		-0.77	-0.81	-0.74	FWNHTX
MFTFX	-0.66	0.94	-0.77		0.97	0.95	MFTFX
IAADX	-0.71	0.93	-0.81	0.97		0.92	IAADX
FFCGX	-0.66	0.99	-0.74	0.95	0.92		FFCGX
	FANISX	FABWX	FWNHTX	MFTFX	IAADX	FFCGX

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

FFCGX	+ 0.99	FABWX
IAADX	+ 0.97	MFTFX
FFCGX	+ 0.95	MFTFX
MFTFX	+ 0.94	FABWX
IAADX	+ 0.93	FABWX
FFCGX	+ 0.92	IAADX

High negative correlations

IAADX	- 0.81	FWNHTX
FWNHTX	- 0.78	FABWX
MFTFX	- 0.77	FWNHTX
FFCGX	- 0.74	FWNHTX
IAADX	- 0.71	FANISX
FABWX	- 0.67	FANISX

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
FANISX	0.20	(0.03)	0.00	(0.30)	0.00	0.00	0.33	(0.43)	1.23
FABWX	0.62	0.06	0.05	0.12	0.75	(0.65)	1.22	(1.48)	3.81
FWNHTX	0.52	(0.26)	0.00	0.71	0.00	0.00	0.01	(0.01)	8.62
MFTFX	1.06	0.22	0.13	1.02	1.22	(1.16)	2.06	(2.15)	6.76
IAADX	0.15	0.06	0.02	(2.88)	0.00	(0.21)	0.42	(0.21)	1.03
FFCGX	0.53	0.03	0.02	0.10	0.71	(0.52)	1.03	(1.31)	2.84

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