Stone Ridge Correlations

SRDAX Fund

USD 10.58 0.83 7.27%

The current 90-days correlation between Stone Ridge Diversified and Gmo Global Equity is 0.04 (i.e., Significant 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

Good diversification

The correlation between Stone Ridge Diversified and DJI is -0.17 (i.e., 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

0.65	SHRIX	Stone Ridge High	Pair Corr
0.65	SHRMX	Stone Ridge High	Pair Corr
0.81	SRDBX	Stone Ridge Diversified	Pair Corr
0.61	BXMIX	Blackstone Alternative	Pair Corr

Moving against Stone Mutual Fund

0.53	UIPIX	Ultrashort Mid Cap Steady Growth	Pair Corr
0.39	USPIX	Profunds Ultrashort Steady Growth	Pair Corr
0.38	USPSX	Profunds Ultrashort Steady Growth	Pair Corr

Related Correlations Analysis

	GMADX	SILLX	AUUIX	APDNX	RGELX	LEQCX	LOGRX
GMADX		0.03	0.09	0.14	0.06	-0.28	0.26	GMADX
SILLX	0.03		0.57	0.89	0.84	0.81	0.7	SILLX
AUUIX	0.09	0.57		0.58	0.38	0.25	0.85	AUUIX
APDNX	0.14	0.89	0.58		0.84	0.82	0.77	APDNX
RGELX	0.06	0.84	0.38	0.84		0.84	0.54	RGELX
LEQCX	-0.28	0.81	0.25	0.82	0.84		0.37	LEQCX
LOGRX	0.26	0.7	0.85	0.77	0.54	0.37		LOGRX
	GMADX	SILLX	AUUIX	APDNX	RGELX	LEQCX	LOGRX

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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

APDNX	+ 0.89	SILLX
LOGRX	+ 0.85	AUUIX
RGELX	+ 0.84	SILLX
RGELX	+ 0.84	APDNX
LEQCX	+ 0.84	RGELX
LEQCX	+ 0.82	APDNX

High negative correlations

LEQCX

- 0.28

GMADX

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
GMADX	0.49	(0.06)	0.00	(0.66)	0.00	0.00	0.80	(0.98)	4.03
SILLX	0.58	(0.01)	(0.02)	0.01	1.01	(0.53)	0.97	(1.31)	4.84
AUUIX	0.58	(0.09)	0.00	(0.08)	0.00	0.00	1.01	(1.18)	10.08
APDNX	0.52	(0.04)	0.00	(0.43)	0.00	0.00	1.17	(0.99)	5.09
RGELX	0.52	(0.01)	0.00	(0.21)	0.00	0.00	1.03	(1.28)	4.49
LEQCX	0.39	0.04	0.04	1.62	0.39	(0.45)	0.87	(0.71)	2.97
LOGRX	0.53	(0.12)	0.00	(0.27)	0.00	0.00	0.86	(0.89)	7.30

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