Stone Ridge Correlations

SHRIX Fund

USD 8.99 0.01 0.11%

The current 90-days correlation between Stone Ridge High and Vanguard Short Term Government is 0.36 (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

Average diversification

The correlation between Stone Ridge High and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Stone Ridge High 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 High. 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 gross domestic product.

Moving together with Stone Mutual Fund

0.99

SHRMX

Stone Ridge High

Pair Corr

Moving against Stone Mutual Fund

0.46	CIF	Mfs Intermediate High	Pair Corr
0.42	NXJ	Nuveen New Jersey	Pair Corr
0.39	XDSMX	Dreyfus Strategic	Pair Corr
0.39	XNXJX	Nuveen New Jersey	Pair Corr
0.5	JULMX	Multimanager Lifestyle	Pair Corr
0.42	VWIGX	Vanguard International	Pair Corr
0.35	XNBHX	Neuberger Berman Int	Pair Corr
0.52	ACMTX	Ab All Market	Pair Corr
0.33	HFHCX	Hartford Floating	Pair Corr
0.32	WMRIX	Wilmington Multi-manager	Pair Corr

Related Correlations Analysis

	VSBIX	GCMVX	USGFX	FCSCX	WMBDX	LOISX	GSOIX	AUNTX
VSBIX		0.83	0.98	0.97	0.96	0.77	0.97	0.69	VSBIX
GCMVX	0.83		0.89	0.86	0.91	0.99	0.9	0.89	GCMVX
USGFX	0.98	0.89		0.96	0.99	0.84	1.0	0.71	USGFX
FCSCX	0.97	0.86	0.96		0.94	0.8	0.95	0.71	FCSCX
WMBDX	0.96	0.91	0.99	0.94		0.87	1.0	0.76	WMBDX
LOISX	0.77	0.99	0.84	0.8	0.87		0.86	0.91	LOISX
GSOIX	0.97	0.9	1.0	0.95	1.0	0.86		0.75	GSOIX
AUNTX	0.69	0.89	0.71	0.71	0.76	0.91	0.75		AUNTX
	VSBIX	GCMVX	USGFX	FCSCX	WMBDX	LOISX	GSOIX	AUNTX

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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
VSBIX	0.07	0.00	1.04	0.00	0.00	(0.09)	0.16	(0.12)	0.33
GCMVX	0.09	0.01	0.45	0.19	0.00	(0.14)	0.20	(0.20)	0.60
USGFX	0.25	0.05	0.43	1.48	0.04	(0.31)	0.60	(0.42)	1.55
FCSCX	0.07	0.02	0.60	1.38	0.00	(0.19)	0.13	(0.13)	0.66
WMBDX	0.24	0.05	0.36	1.11	0.09	(0.31)	0.64	(0.51)	1.43
LOISX	0.13	0.01	0.34	0.16	0.10	(0.17)	0.30	(0.39)	0.88
GSOIX	0.23	0.05	0.42	0.97	0.05	(0.29)	0.63	(0.46)	1.42
AUNTX	0.11	0.02	0.49	1.91	0.00	(0.18)	0.29	(0.28)	0.75

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