Stone Ridge Diversified Fund Volatility
| SRDBX Fund | USD 10.01 0.02 0.20% |
Stone Ridge Diversified currently reflects a minimal volatility profile across the selected horizon. The current Sharpe Ratio (Efficiency) for Stone Ridge Diversified is 0.12, which points to risk-adjusted returns over the last 3 months. The latest risk read is supported by 27 technical indicators.
Sharpe Ratio = 0.1203
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | SRDBX |
Stone Ridge Diversified posted a Market Risk Adjusted Performance of -0.5%, a Risk of 0.24, and a Risk Adjusted Performance of 0.1% for the reported period. Stone Ridge is currently trading at approximately 9% of its recent trend range according to monthly moving averages. In portfolio analysis, diversification may alter its risk-adjusted contribution.
Key indicators related to Stone Ridge's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility for Stone Ridge measures the dispersion of its mutual fund returns around their average. Higher volatility implies greater uncertainty about Stone Ridge's future price, while lower volatility suggests more predictable price behavior.
Stone |
Volatility Strategy
Market variability in Stone Ridge Diversified affects how it contributes to portfolio dispersion. Observed price cycles may shift risk-adjusted exposure. Current statistical measures show total volatility near 0.24% with a beta coefficient of -0.0424, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.12, evaluates return per unit of total risk. An alpha value of 0.0172 reflects performance relative to systematic market exposure. Expected return estimates near 0.0288% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Volatility effects depend on underlying market structure and exposure characteristics.
Main indicators related to Stone Ridge's market risk premium analysis include:
Beta -0.04 | Alpha 0.0172 | Risk 0.24 | Sharpe Ratio 0.12 | Expected Return 0.0288 |
Moving together with Stone Mutual Fund
Moving against Stone Mutual Fund
Sensitivity To Market
Beta analysis for Stone Ridge Diversified evaluates how its price movements correlate with the broader market. Beta is calculated as the slope of the regression between asset returns and benchmark returns. With a beta of -0.0424, Stone Ridge reflects measurable exposure to systematic risk. Observed total volatility stands near 0.24%.Recent trading in Stone Ridge Diversified shows a measurable level of volatility. Downside deviation is near 0.28% and semi-deviation is near 0.12%, which emphasize downside-focused movement. For Stone Ridge, the volatility profile is a portfolio effect rather than a single-company effect.
3 Months Beta |Analyze Stone Ridge Diversified Demand TrendCheck current 90 days Stone Ridge correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation of Stone quantifies daily price dispersion around the mean over your chosen time horizon. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one.
Standard Deviation | 0.24 |
Understanding the asymmetry between upside and downside risk is critical for investors in Stone Ridge. Upside risk is captured by Stone Ridge's standard deviation, while downside risk is measured by semi-deviation or downside deviation of Stone Ridge's daily returns. Stone Ridge Diversified posted a Downside Deviation of 0.28, a Downside Variance of 0.08, and a Maximum Drawdown of 1.03 for the reported period.
Mutual Fund Volatility Analysis
Volatility is a statistical measure of the dispersion of Stone Ridge mutual fund returns over a given period of time. It is generally measured from either the standard deviation or variance between returns from that same mutual fund. In most cases, the higher the volatility, the riskier the mutual fund.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Stone Ridge Diversified Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Projected Return Density Against Market
Assuming a 90-day horizon Stone Ridge Diversified has a beta of -0.0424 . This usually implies that as returns on the benchmark increase, returns on Stone Ridge tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Stone Ridge Diversified is likely to outperform the market.Risk for Stone Ridge can be divided into market-wide and asset-specific components. While diversification may mitigate unsystematic factors, systematic risk tied to the mutual fund market cannot be eliminated. Historical beta and volatility measures provide context. Stone Ridge Diversified posted a Downside Deviation of 0.28, a Mean Deviation of 0.18, and a Semi Deviation of 0.12 for the reported period.
Predicted Return Density |
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What Drives Stone Ridge's Price Volatility?
Several factors can influence Stone Ridge's market volatility:Industry Dynamics
Sector-level events can directly affect Stone Ridge's price stability. Regulatory changes, supply disruptions, or shifts in demand within Stone Ridge's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Stone Ridge.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Stone Ridge's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Stone Ridge. During periods of economic expansion, Stone Ridge's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Stone Ridge's Company-Specific Factors
Volatility can also stem from events unique to Stone Ridge. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Stone Ridge's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Stone Ridge's share price.Mutual Fund Risk Measures
Assuming a 90-day horizon the coefficient of variation of Stone Ridge is 831.28. The daily returns are distributed with a variance of 0.06 and standard deviation of 0.24. The mean deviation of Stone Ridge Diversified is currently at 0.19. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | -0.0424 | |
σ | Overall volatility | 0.24 | |
Ir | Information ratio | 0.46 |
Mutual Fund Return Volatility
Daily return volatility for Stone Ridge measures how far fund returns deviate from their average on a day-to-day basis. The fund shows 0.2397% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial has volatility of 0.8255% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
| -0.29 | 0.79 | -0.38 | -0.11 | 0.12 | MFHVX | ||
| -0.29 | -0.32 | 0.81 | 0.82 | 0.52 | XFINX | ||
| 0.79 | -0.32 | -0.25 | -0.02 | 0.42 | IAAEX | ||
| -0.38 | 0.81 | -0.25 | 0.91 | 0.74 | VFAIX | ||
| -0.11 | 0.82 | -0.02 | 0.91 | 0.85 | FAFSX | ||
| 0.12 | 0.52 | 0.42 | 0.74 | 0.85 | PFSAX | ||
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
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Risk-Adjusted Indicators
Strong stock returns do not always mean Stone Ridge Mutual Fund is outperforming its peers on a fundamental level. Risk-adjusted metrics allow investors to compare Stone Ridge's efficiency and downside exposure against peers in a more meaningful way. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MFHVX | 0.12 | 0.01 | 0.37 | 0.02 | 0.11 | 0.25 | 0.87 | |||
| XFINX | 0.16 | -0.04 | 0.00 | -0.72 | 0.00 | 0.22 | 1.29 | |||
| IAAEX | 0.96 | 0.28 | 0.44 | 2.81 | 0.50 | 1.37 | 19.97 | |||
| VFAIX | 0.82 | -0.08 | 0.00 | -0.16 | 0.00 | 1.24 | 5.68 | |||
| FAFSX | 0.88 | -0.14 | 0.00 | 0.52 | 0.00 | 1.42 | 6.18 | |||
| PFSAX | 1.06 | -0.04 | 0.00 | 0.14 | 0.00 | 1.89 | 14.85 |
Risk Metrics, Assumptions & Methodology
Volatility for Stone Ridge reflects NAV dispersion and exposure stability across disclosure periods. More limited liquidity could contribute to wider spreads in certain market environments.
Data shown for Stone Ridge Diversified is aggregated from fund disclosures and market reference feeds and normalized across reporting formats. Source publication cadence can introduce delays. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Vlad Skutelnik - Macroaxis ContributorStone Ridge Investment Opportunity
Stone Ridge Diversified currently shows materially lower return volatility than Dow Jones Industrial, with a relative multiple of about 3.46. That difference can matter when investors want a steadier position size or lower contribution to total portfolio risk.You can use Stone Ridge Diversified to enhance the returns of your portfolios. This directional read frames the latest price swing through a simple momentum and follow-through lens. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a normal upward fluctuation. Check odds of Stone Ridge to be traded at $10.51 in 90 days.Pay attention - limited upside
Across the chosen horizon, SRDBX and DJI show a correlation of -0.75 and fall into the Pay attention - limited upside bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Stone Ridge Additional Risk Indicators
Looking at additional risk metrics for Stone Ridge Diversified helps investors judge how the position may behave under different market and portfolio conditions. A disciplined risk review helps investors decide whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.0809 | |||
| Market Risk Adjusted Performance | -0.48 | |||
| Mean Deviation | 0.1848 | |||
| Semi Deviation | 0.1248 | |||
| Downside Deviation | 0.2768 | |||
| Coefficient Of Variation | 757.66 | |||
| Standard Deviation | 0.2338 |
Stone Ridge Suggested Diversification Pairs
Using Stone Ridge in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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Pair diversification lowers overall risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the overall market - cannot be eliminated by pairing Stone Ridge with another position. However, Stone Ridge's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with Stone Ridge Diversified.