Brown Advisory Correlations

BAUUX Fund

USD 35.73 0.47 1.33%

The current 90-days correlation between Brown Advisory Small and Artisan Emerging Markets is -0.02 (i.e., Good 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

Very poor diversification

The correlation between Brown Advisory Small Cap and DJI is 0.86 (i.e., Very poor 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 employment.

Moving together with Brown Mutual Fund

0.85	BAFMX	Brown Advisory Mid	Pair Corr
0.71	BAFLX	Brown Advisory Global	Pair Corr
0.87	BAFGX	Brown Advisory Growth	Pair Corr
0.9	BAFFX	Brown Advisory Flexible	Pair Corr
0.9	BAFAX	Brown Advisory Flexible	Pair Corr
0.88	BAGAX	Brown Advisory Growth	Pair Corr
0.98	BAFYX	Brown Advisory Funds	Pair Corr
0.83	BAFWX	Brown Advisory Susta	Pair Corr
0.93	BAFSX	Brown Advisory Small	Pair Corr
0.93	BASAX	Brown Advisory Small	Pair Corr
1.0	BAUAX	Brown Advisory Small	Pair Corr
0.83	BAWAX	Brown Advisory Susta	Pair Corr
0.71	BIALX	Brown Advisory Global	Pair Corr
0.83	BIAGX	Brown Advisory Growth	Pair Corr
0.84	BIAFX	Brown Advisory Flexible	Pair Corr
0.98	BIAYX	Brown Advisory Funds	Pair Corr
0.67	BIAVX	Brown Advisory	Pair Corr
0.83	BIAWX	Brown Advisory Susta	Pair Corr
0.9	BIAUX	Brown Advisory Small	Pair Corr
0.86	BIASX	Brown Advisory Small	Pair Corr
0.85	BMIDX	Brown Advisory Mid	Pair Corr
0.89	VSMAX	Vanguard Small Cap	Pair Corr

Moving against Brown Mutual Fund

0.54	BAIAX	Brown Advisory Inter	Pair Corr
0.53	BAFZX	Brown Advisory Mortgage	Pair Corr
0.53	BAISX	Brown Advisory Susta	Pair Corr
0.51	BASBX	Brown Advisory Susta	Pair Corr
0.51	BIAIX	Brown Advisory Inter	Pair Corr
0.36	BAFHX	Brown Advisory	Pair Corr
0.36	BAHAX	Brown Advisory	Pair Corr
0.36	BIAHX	Brown Advisory	Pair Corr
0.53	BIAZX	Brown Advisory Mortgage	Pair Corr

Related Correlations Analysis

	APDOX	RSHMX	GMDFX	PBBIX	PATFX	PBXIX
APDOX		0.12	0.89	0.82	0.16	0.93	APDOX
RSHMX	0.12		0.4	0.34	0.82	0.01	RSHMX
GMDFX	0.89	0.4		0.8	0.5	0.77	GMDFX
PBBIX	0.82	0.34	0.8		0.31	0.77	PBBIX
PATFX	0.16	0.82	0.5	0.31		0.0	PATFX
PBXIX	0.93	0.01	0.77	0.77	0.0		PBXIX
	APDOX	RSHMX	GMDFX	PBBIX	PATFX	PBXIX

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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

PBXIX	+ 0.93	APDOX
GMDFX	+ 0.89	APDOX
PBBIX	+ 0.82	APDOX
PATFX	+ 0.82	RSHMX
PBBIX	+ 0.8	GMDFX
PBXIX	+ 0.77	GMDFX

High negative correlations

PBXIX

- 0.0

PATFX

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
APDOX	0.14	0.03	(0.56)	5.95	0.00	(0.21)	0.39	(0.19)	0.78
RSHMX	0.24	0.02	(0.23)	(0.06)	0.37	(0.27)	0.42	(0.52)	1.98
GMDFX	0.20	0.02	(0.38)	1.29	0.13	(0.24)	0.39	(0.38)	1.55
PBBIX	0.12	0.02	(0.64)	(0.40)	0.00	(0.19)	0.29	(0.20)	0.98
PATFX	0.15	(0.01)	(0.28)	(0.03)	0.23	(0.24)	0.44	(0.35)	1.69
PBXIX	0.31	0.08	(0.09)	1.26	0.00	(0.42)	0.87	(0.55)	1.94

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