Brown Advisory Correlations

BAFFX Fund

USD 44.64 0.20 0.45%

The current 90-days correlation between Brown Advisory Flexible and Europacific Growth Fund is 0.55 (i.e., Very weak diversification). The correlation of Brown Advisory 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.

Brown Advisory Correlation With Market

Almost no diversification

The correlation between Brown Advisory Flexible and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Flexible and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Brown Advisory Flexible. 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 census.

Moving together with Brown Mutual Fund

0.99	BAFMX	Brown Advisory Mid	Pair Corr
0.79	BAFLX	Brown Advisory Global	Pair Corr
0.98	BAFGX	Brown Advisory Growth	Pair Corr
1.0	BAFAX	Brown Advisory Flexible	Pair Corr
0.98	BAGAX	Brown Advisory Growth	Pair Corr
0.91	BAFYX	Brown Advisory Funds	Pair Corr
0.97	BAFWX	Brown Advisory Susta	Pair Corr
0.93	BAFSX	Brown Advisory Small	Pair Corr
0.93	BASAX	Brown Advisory Small	Pair Corr
0.92	BAUAX	Brown Advisory Small	Pair Corr
0.92	BAUUX	Brown Advisory Small	Pair Corr
0.96	BAWAX	Brown Advisory Susta	Pair Corr
0.71	BVALX	Brown Advisory	Pair Corr
0.79	BIALX	Brown Advisory Global	Pair Corr
0.98	BIAGX	Brown Advisory Growth	Pair Corr
1.0	BIAFX	Brown Advisory Flexible	Pair Corr
0.91	BIAYX	Brown Advisory Funds	Pair Corr
0.71	BIAVX	Brown Advisory	Pair Corr
0.97	BIAWX	Brown Advisory Susta	Pair Corr
0.92	BIAUX	Brown Advisory Small	Pair Corr
0.93	BIASX	Brown Advisory Small	Pair Corr
0.99	BMIDX	Brown Advisory Mid	Pair Corr
0.98	FAFGX	American Funds	Pair Corr

Moving against Brown Mutual Fund

0.72	BAISX	Brown Advisory Susta	Pair Corr
0.72	BAIAX	Brown Advisory Inter	Pair Corr
0.72	BASBX	Brown Advisory Susta	Pair Corr
0.71	BIAIX	Brown Advisory Inter	Pair Corr
0.7	BAFZX	Brown Advisory Mortgage	Pair Corr
0.65	BAFHX	Brown Advisory	Pair Corr
0.65	BAHAX	Brown Advisory	Pair Corr
0.65	BIAHX	Brown Advisory	Pair Corr
0.71	BIAZX	Brown Advisory Mortgage	Pair Corr

Related Correlations Analysis

	RERGX	RWMGX	RWIGX	444859BR2	SCRYY	AQUI	APAAX	LBHIX	MSTSX	ID
RERGX		0.14	0.56	0.2	-0.36	0.0	0.37	0.04	0.52	-0.35	RERGX
RWMGX	0.14		0.88	-0.64	0.54	0.0	0.0	0.69	0.86	0.69	RWMGX
RWIGX	0.56	0.88		-0.49	0.3	0.0	0.14	0.6	0.96	0.41	RWIGX
444859BR2	0.2	-0.64	-0.49		-0.53	0.0	0.06	-0.54	-0.45	-0.53	444859BR2
SCRYY	-0.36	0.54	0.3	-0.53		0.0	0.14	0.48	0.34	0.73	SCRYY
AQUI	0.0	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	AQUI
APAAX	0.37	0.0	0.14	0.06	0.14	0.0		0.49	0.25	-0.06	APAAX
LBHIX	0.04	0.69	0.6	-0.54	0.48	0.0	0.49		0.68	0.55	LBHIX
MSTSX	0.52	0.86	0.96	-0.45	0.34	0.0	0.25	0.68		0.42	MSTSX
ID	-0.35	0.69	0.41	-0.53	0.73	0.0	-0.06	0.55	0.42		ID
	RERGX	RWMGX	RWIGX	444859BR2	SCRYY	AQUI	APAAX	LBHIX	MSTSX	ID

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Please upgrade your account to get full access to Macroaxis premium features

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

MSTSX	+ 0.96	RWIGX
RWIGX	+ 0.88	RWMGX
MSTSX	+ 0.86	RWMGX
ID	+ 0.73	SCRYY
LBHIX	+ 0.69	RWMGX
ID	+ 0.69	RWMGX

High negative correlations

444859BR2	- 0.64	RWMGX
LBHIX	- 0.54	444859BR2
ID	- 0.53	444859BR2
SCRYY	- 0.53	444859BR2
444859BR2	- 0.49	RWIGX
MSTSX	- 0.45	444859BR2

Risk-Adjusted Indicators

There is a big difference between Brown Mutual Fund performing well and Brown Advisory 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 Brown Advisory'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
RERGX	0.61	(0.11)	0.00	(0.11)	0.00	0.00	1.11	(1.48)	4.02
RWMGX	0.50	(0.03)	(0.09)	0.07	0.59	(0.53)	1.00	(1.14)	3.32
RWIGX	0.53	(0.06)	(0.13)	0.03	0.74	(0.55)	1.18	(1.36)	3.19
444859BR2	1.36	(0.08)	0.00	(0.21)	0.00	0.00	5.93	(5.79)	16.62
SCRYY	2.07	0.29	0.08	1.93	2.02	(2.85)	5.61	(4.09)	12.99
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
APAAX	0.14	0.02	(0.35)	(0.09)	0.15	(0.18)	0.31	(0.31)	1.13
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
MSTSX	0.49	(0.03)	(0.12)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
ID	3.91	0.70	0.13	1.00	4.02	(5.25)	7.89	(6.67)	20.54

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC