Stone Ridge Diversified Fund Market Value
| SRDAX Fund | USD 11.32 0.03 0.27% |
| Symbol | Stone |
Stone Ridge 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Stone Ridge's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Stone Ridge.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Stone Ridge on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Stone Ridge Diversified or generate 0.0% return on investment in Stone Ridge over 180 days. Stone Ridge is related to or competes with T Rowe, Nationwide Growth, Ab Small, Kinetics Small, Victory Rs, and Champlain Mid. The fund seeks to generate total returns from diverse investment strategies that the advisor believes have the potential... More
Stone Ridge Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Stone Ridge's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Stone Ridge Diversified upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3549 | |||
| Information Ratio | (0.30) | |||
| Maximum Drawdown | 1.36 | |||
| Value At Risk | (0.35) | |||
| Potential Upside | 0.4448 |
Stone Ridge Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Stone Ridge's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Stone Ridge's standard deviation. In reality, there are many statistical measures that can use Stone Ridge historical prices to predict the future Stone Ridge's volatility.| Risk Adjusted Performance | 0.1217 | |||
| Jensen Alpha | 0.0428 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.24) | |||
| Treynor Ratio | (8.11) |
Stone Ridge Diversified Backtested Returns
At this stage we consider Stone Mutual Fund to be very steady. Stone Ridge Diversified owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the fund had a 0.17% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Stone Ridge Diversified, which you can use to evaluate the volatility of the fund. Please validate Stone Ridge's Coefficient Of Variation of 553.21, risk adjusted performance of 0.1217, and Semi Deviation of 0.1224 to confirm if the risk estimate we provide is consistent with the expected return of 0.0481%. The entity has a beta of -0.0052, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Stone Ridge are expected to decrease at a much lower rate. During the bear market, Stone Ridge is likely to outperform the market.
Auto-correlation | 0.82 |
Very good predictability
Stone Ridge Diversified has very good predictability. Overlapping area represents the amount of predictability between Stone Ridge time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Stone Ridge Diversified price movement. The serial correlation of 0.82 indicates that around 82.0% of current Stone Ridge price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Stone Ridge Diversified lagged returns against current returns
Autocorrelation, which is Stone Ridge mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Stone Ridge's mutual fund expected returns. We can calculate the autocorrelation of Stone Ridge returns to help us make a trade decision. For example, suppose you find that Stone Ridge has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Stone Ridge regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Stone Ridge mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Stone Ridge mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Stone Ridge mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Stone Ridge Lagged Returns
When evaluating Stone Ridge's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Stone Ridge mutual fund have on its future price. Stone Ridge autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Stone Ridge autocorrelation shows the relationship between Stone Ridge mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Stone Ridge Diversified.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Stone Mutual Fund
Stone Ridge financial ratios help investors to determine whether Stone Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Stone with respect to the benefits of owning Stone Ridge security.
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