Brown Advisory Correlations

BAFSX Fund

USD 46.47 0.33 0.72%

The current 90-days correlation between Brown Advisory Small and Brown Advisory Mid Cap is 0.74 (i.e., Poor 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

Weak diversification

The correlation between Brown Advisory Small Cap and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Small Cap 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 Small Cap. 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 state.

Moving together with Brown Mutual Fund

0.63	BAFLX	Brown Advisory Global	Pair Corr
0.87	BAFGX	Brown Advisory Growth	Pair Corr
0.8	BAFHX	Brown Advisory	Pair Corr
0.87	BAFFX	Brown Advisory Flexible	Pair Corr
0.88	BAFAX	Brown Advisory Flexible	Pair Corr
0.88	BAGAX	Brown Advisory Growth	Pair Corr
0.74	BAFYX	Brown Advisory Funds	Pair Corr
0.65	BAFZX	Brown Advisory Mortgage	Pair Corr
0.92	BAFWX	Brown Advisory Susta	Pair Corr
0.8	BAHAX	Brown Advisory	Pair Corr
0.71	BAISX	Brown Advisory Susta	Pair Corr
0.62	BAIAX	Brown Advisory Inter	Pair Corr
0.71	BASBX	Brown Advisory Susta	Pair Corr
0.95	BASAX	Brown Advisory Small	Pair Corr
0.97	BAUAX	Brown Advisory Small	Pair Corr
0.97	BAUUX	Brown Advisory Small	Pair Corr
0.93	BAWAX	Brown Advisory Susta	Pair Corr
0.9	BVALX	Brown Advisory	Pair Corr
0.89	BIAGX	Brown Advisory Growth	Pair Corr
0.8	BIAHX	Brown Advisory	Pair Corr
0.95	BIAFX	Brown Advisory Flexible	Pair Corr
0.72	BIAZX	Brown Advisory Mortgage	Pair Corr
0.81	BIAYX	Brown Advisory Funds	Pair Corr
0.88	BIAVX	Brown Advisory	Pair Corr
0.92	BIAWX	Brown Advisory Susta	Pair Corr
0.97	BIAUX	Brown Advisory Small	Pair Corr
1.0	BIASX	Brown Advisory Small	Pair Corr
0.61	BIAMX	Brown Advisory Maryland	Pair Corr

Moving against Brown Mutual Fund

0.51	PQTAX	Pimco Trends Managed	Pair Corr
0.37	GPMFX	Guidepath Managed Futures	Pair Corr

Related Correlations Analysis

	BAFMX	BAFLX	BAFGX	BAFHX	BAFFX	BAFAX	BAGAX	BAFYX	BAFZX	BAFWX
BAFMX		0.62	-0.02	-0.08	0.56	0.55	-0.06	0.77	0.09	0.56	BAFMX
BAFLX	0.62		0.42	0.54	0.71	0.7	0.37	0.74	0.66	0.81	BAFLX
BAFGX	-0.02	0.42		0.91	0.76	0.77	0.96	0.48	0.68	0.73	BAFGX
BAFHX	-0.08	0.54	0.91		0.68	0.69	0.88	0.44	0.78	0.7	BAFHX
BAFFX	0.56	0.71	0.76	0.68		1.0	0.7	0.91	0.65	0.89	BAFFX
BAFAX	0.55	0.7	0.77	0.69	1.0		0.71	0.91	0.66	0.89	BAFAX
BAGAX	-0.06	0.37	0.96	0.88	0.7	0.71		0.43	0.65	0.74	BAGAX
BAFYX	0.77	0.74	0.48	0.44	0.91	0.91	0.43		0.54	0.8	BAFYX
BAFZX	0.09	0.66	0.68	0.78	0.65	0.66	0.65	0.54		0.63	BAFZX
BAFWX	0.56	0.81	0.73	0.7	0.89	0.89	0.74	0.8	0.63		BAFWX
	BAFMX	BAFLX	BAFGX	BAFHX	BAFFX	BAFAX	BAGAX	BAFYX	BAFZX	BAFWX

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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

BAFAX	+ 1.0	BAFFX
BAGAX	+ 0.96	BAFGX
BAFHX	+ 0.91	BAFGX
BAFYX	+ 0.91	BAFFX
BAFYX	+ 0.91	BAFAX
BAFWX	+ 0.89	BAFFX

High negative correlations

BAFHX	- 0.08	BAFMX
BAGAX	- 0.06	BAFMX
BAFGX	- 0.02	BAFMX

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
BAFMX	0.73	0.08	0.07	0.25	0.95	(0.77)	1.65	(1.32)	6.21
BAFLX	0.54	(0.01)	(0.03)	(0.01)	0.83	(0.52)	1.08	(1.21)	4.59
BAFGX	1.68	(0.66)	0.00	(0.94)	0.00	0.00	1.43	(2.16)	48.08
BAFHX	0.61	(0.10)	0.00	(1.35)	0.00	0.00	0.94	(1.36)	4.92
BAFFX	0.64	(0.02)	0.00	(0.16)	0.00	0.00	1.07	(1.39)	7.73
BAFAX	0.64	(0.03)	0.00	(0.18)	0.00	0.00	1.05	(1.40)	7.84
BAGAX	1.83	(0.75)	0.00	(1.18)	0.00	0.00	1.41	(2.15)	54.32
BAFYX	0.83	0.03	0.01	0.17	1.00	(0.95)	1.60	(1.37)	8.96
BAFZX	0.25	(0.04)	0.00	(1.17)	0.00	0.00	0.45	(0.66)	1.69
BAFWX	0.88	(0.03)	0.00	(0.06)	0.00	0.00	1.86	(2.25)	8.03

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