Stone Ridge Correlations
| SRDBX Fund | USD 11.38 0.03 0.26% |
The current 90-days correlation between Stone Ridge Diversified and Goldman Sachs Government is 0.32 (i.e., Weak 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 -0.03 (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.
Stone |
Moving together with Stone Mutual Fund
| 0.84 | SHRIX | Stone Ridge High | PairCorr |
| 0.84 | SHRMX | Stone Ridge High | PairCorr |
| 0.96 | SRDAX | Stone Ridge Diversified | PairCorr |
| 0.87 | BXMYX | Blackstone Alternative | PairCorr |
| 0.87 | BXMIX | Blackstone Alternative | PairCorr |
| 0.87 | BXMDX | Blackstone Alternative | PairCorr |
| 0.62 | FTYPX | Fidelity Freedom Index | PairCorr |
| 0.74 | GCAVX | Gmo Small Cap | PairCorr |
Moving against Stone Mutual Fund
| 0.75 | LIIMX | Lifex Inflation Prot | PairCorr |
| 0.54 | LFEMX | Lifex Income | PairCorr |
| 0.68 | GAAVX | Gmo Alternative Allo | PairCorr |
| 0.62 | GABFX | Gmo Asset Allocation | PairCorr |
Related Correlations Analysis
| 0.96 | 0.78 | -0.6 | 0.34 | -0.85 | GGTPX | ||
| 0.96 | 0.84 | -0.56 | 0.33 | -0.81 | DACGX | ||
| 0.78 | 0.84 | -0.16 | 0.57 | -0.51 | RFBAX | ||
| -0.6 | -0.56 | -0.16 | 0.49 | 0.64 | SSAGX | ||
| 0.34 | 0.33 | 0.57 | 0.49 | -0.13 | DPIGX | ||
| -0.85 | -0.81 | -0.51 | 0.64 | -0.13 | SWGXX | ||
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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
| High negative correlations
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GGTPX | 0.22 | (0.06) | 0.00 | (0.78) | 0.00 | 0.39 | 1.40 | |||
| DACGX | 0.20 | (0.04) | 0.00 | 2.80 | 0.00 | 0.32 | 1.03 | |||
| RFBAX | 0.06 | (0.02) | 0.00 | (0.82) | 0.00 | 0.20 | 0.59 | |||
| SSAGX | 0.03 | 0.00 | (0.94) | (0.64) | 0.00 | 0.10 | 0.51 | |||
| DPIGX | 0.04 | (0.01) | (0.86) | (0.80) | 0.00 | 0.11 | 0.42 | |||
| SWGXX | 0.03 | 0.01 | 0.00 | (0.21) | 0.00 | 0.00 | 1.01 |