Brown Advisory Correlations

BIAMX Fund

USD 9.96 0.02 0.20%

The current 90-days correlation between Brown Advisory Maryland and Prudential Jennison Financial is 0.03 (i.e., Significant 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 good diversification

The correlation between Brown Advisory Maryland and DJI is -0.22 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Maryland 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 Maryland. 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 population.

Moving together with Brown Mutual Fund

0.62	BAFZX	Brown Advisory Mortgage	Pair Corr
0.61	BAIAX	Brown Advisory Inter	Pair Corr
0.99	BTEIX	Brown Advisory Tax	Pair Corr
0.62	BIAIX	Brown Advisory Inter	Pair Corr
0.99	BIAEX	Brown Advisory Tax	Pair Corr
0.61	BIAZX	Brown Advisory Mortgage	Pair Corr
0.98	BITEX	Brown Advisory Tax	Pair Corr

Moving against Brown Mutual Fund

0.36	SMPIX	Semiconductor Ultrasector	Pair Corr
0.34	SMPSX	Semiconductor Ultrasector	Pair Corr

Related Correlations Analysis

	PFSQX	ICFAX	DVFYX	XFINX	MSVVX	MSVIX	FIKBX
PFSQX		0.68	0.99	0.68	0.82	0.82	1.0	PFSQX
ICFAX	0.68		0.67	0.45	0.7	0.7	0.68	ICFAX
DVFYX	0.99	0.67		0.66	0.81	0.81	1.0	DVFYX
XFINX	0.68	0.45	0.66		0.64	0.64	0.68	XFINX
MSVVX	0.82	0.7	0.81	0.64		1.0	0.8	MSVVX
MSVIX	0.82	0.7	0.81	0.64	1.0		0.8	MSVIX
FIKBX	1.0	0.68	1.0	0.68	0.8	0.8		FIKBX
	PFSQX	ICFAX	DVFYX	XFINX	MSVVX	MSVIX	FIKBX

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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
PFSQX	0.80	0.23	0.11	(2.46)	0.51	(1.01)	1.58	(1.42)	8.34
ICFAX	0.93	(0.22)	0.00	(0.10)	0.00	0.00	1.43	(1.23)	5.10
DVFYX	0.80	0.23	0.10	(1.60)	0.52	(0.98)	1.85	(1.39)	7.57
XFINX	0.11	0.02	(0.28)	0.86	0.14	(0.13)	0.22	(0.14)	1.00
MSVVX	0.78	(0.06)	(0.03)	0.08	0.81	(0.83)	1.78	(1.41)	5.71
MSVIX	0.78	(0.06)	(0.03)	0.08	0.83	(0.86)	1.78	(1.41)	5.71
FIKBX	0.84	0.27	0.16	(2.16)	0.51	(1.03)	1.88	(1.15)	9.76

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