Stone Ridge Correlations

SRDAX Fund

USD 10.46 0.01 0.1%

The current 90-days correlation between Stone Ridge Diversified and Blackrock Alternative Capital is -0.02 (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 -0.26 (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

0.95	SHRIX	Stone Ridge High	Pair Corr
0.95	SHRMX	Stone Ridge High	Pair Corr
1.0	SRDBX	Stone Ridge Diversified	Pair Corr
0.91	BXMYX	Blackstone Alternative	Pair Corr
0.69	QSPRX	Aqr Style Premia	Pair Corr
0.91	BXMIX	Blackstone Alternative	Pair Corr
0.91	BXMDX	Blackstone Alternative	Pair Corr
0.84	GARTX	Goldman Sachs Absolute	Pair Corr
0.84	GCRTX	Goldman Sachs Absolute	Pair Corr
0.91	PDI	Pimco Dynamic Income	Pair Corr
0.89	FTCAX	Templeton Strained Bond	Pair Corr
0.79	VTBIX	Vanguard Total Bond	Pair Corr
0.79	PWLMX	Pimco Rae Worldwide	Pair Corr
0.8	SGSYX	Western Asset Mortgage	Pair Corr
0.83	VFIAX	Vanguard 500 Index	Pair Corr
0.89	GSCDX	Goldman Sachs Emerging	Pair Corr
0.9	JUCSX	Janus Global Unconst	Pair Corr
0.83	CSAZX	Columbia Global Oppo	Pair Corr
0.85	VWELX	Vanguard Wellington	Pair Corr
0.74	SWLVX	Schwab Large Cap	Pair Corr
0.78	DVLCX	Dreyfus Opportunistic	Pair Corr
0.81	CPECX	Catalyst Dynamic Alpha	Pair Corr
0.77	RBKTX	American Funds 2040	Pair Corr
0.73	BROIX	Blackrock Glbl Opprtnts	Pair Corr
0.77	PHYFX	High Yield Fund	Pair Corr
0.83	EMPTX	Ubs Emerging Markets	Pair Corr
0.84	PONAX	Pimco Income	Pair Corr

Moving against Stone Mutual Fund

0.78	USPSX	Profunds Ultrashort	Pair Corr
0.74	TCSUX	Cleartrack 2020 Class	Pair Corr
0.72	TCTGX	Transamerica Cleartrack	Pair Corr
0.71	TCTJX	Transamerica Cleartrack	Pair Corr
0.7	TDKTX	Cleartrack 2015 Class	Pair Corr
0.45	BMBCX	Blackrock Alternative	Pair Corr
0.36	BAMBX	Blackrock Alternative	Pair Corr
0.34	BIMBX	Blackrock Alternative	Pair Corr
0.32	BKMBX	Blackrock Systematic	Pair Corr
0.78	USPIX	Profunds Ultrashort	Pair Corr
0.66	UIPIX	Ultrashort Mid Cap	Pair Corr

Related Correlations Analysis

	BIMBX	BAMBX	BMBCX	BKMBX	BXMYX	QSPRX	BXMIX	BXMDX	GARTX	GCRTX
BIMBX		1.0	0.99	0.99	-0.13	0.08	-0.14	-0.13	-0.31	-0.31	BIMBX
BAMBX	1.0		0.99	0.99	-0.15	0.07	-0.16	-0.15	-0.32	-0.32	BAMBX
BMBCX	0.99	0.99		0.98	-0.26	0.0	-0.27	-0.27	-0.43	-0.43	BMBCX
BKMBX	0.99	0.99	0.98		-0.1	0.09	-0.1	-0.1	-0.27	-0.27	BKMBX
BXMYX	-0.13	-0.15	-0.26	-0.1		0.61	1.0	1.0	0.94	0.94	BXMYX
QSPRX	0.08	0.07	0.0	0.09	0.61		0.61	0.61	0.42	0.42	QSPRX
BXMIX	-0.14	-0.16	-0.27	-0.1	1.0	0.61		1.0	0.95	0.94	BXMIX
BXMDX	-0.13	-0.15	-0.27	-0.1	1.0	0.61	1.0		0.94	0.94	BXMDX
GARTX	-0.31	-0.32	-0.43	-0.27	0.94	0.42	0.95	0.94		1.0	GARTX
GCRTX	-0.31	-0.32	-0.43	-0.27	0.94	0.42	0.94	0.94	1.0		GCRTX
	BIMBX	BAMBX	BMBCX	BKMBX	BXMYX	QSPRX	BXMIX	BXMDX	GARTX	GCRTX

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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

BAMBX	+ 1.0	BIMBX
BXMIX	+ 1.0	BXMYX
BXMDX	+ 1.0	BXMYX
BXMDX	+ 1.0	BXMIX
GCRTX	+ 1.0	GARTX
BMBCX	+ 0.99	BIMBX

High negative correlations

GCRTX	- 0.43	BMBCX
GARTX	- 0.43	BMBCX
GCRTX	- 0.32	BAMBX
GARTX	- 0.32	BAMBX
GCRTX	- 0.31	BIMBX
GARTX	- 0.31	BIMBX

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
BIMBX	0.18	(0.02)	(0.45)	(0.05)	0.20	(0.23)	0.39	(0.39)	0.96
BAMBX	0.18	(0.02)	(0.45)	(0.06)	0.21	(0.22)	0.38	(0.39)	0.96
BMBCX	0.18	(0.02)	(0.45)	(0.11)	0.22	(0.22)	0.30	(0.39)	0.97
BKMBX	0.19	(0.02)	(0.42)	(0.04)	0.22	(0.23)	0.38	(0.39)	1.05
BXMYX	0.10	0.04	(0.40)	0.68	0.00	(0.16)	0.27	(0.18)	0.55
QSPRX	0.52	0.03	(0.16)	(0.09)	0.56	(0.60)	1.03	(1.05)	2.44
BXMIX	0.10	0.04	(0.51)	0.67	0.00	(0.16)	0.27	(0.09)	0.55
BXMDX	0.11	0.04	(0.51)	0.70	0.00	(0.17)	0.27	(0.09)	0.55
GARTX	0.18	0.02	(0.25)	0.17	0.00	(0.25)	0.50	(0.21)	1.22
GCRTX	0.20	0.01	(0.24)	0.14	0.00	(0.26)	0.46	(0.34)	1.26

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