Correlation Between Brown Advisory and Northern Small
Can any of the company-specific risk be diversified away by investing in both Brown Advisory and Northern Small at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Brown Advisory and Northern Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Brown Advisory Small Cap and Northern Small Cap, you can compare the effects of market volatilities on Brown Advisory and Northern Small and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Brown Advisory with a short position of Northern Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brown Advisory and Northern Small.
Diversification Opportunities for Brown Advisory and Northern Small
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Brown and NORTHERN is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Small Cap and Northern Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Northern Small Cap and Brown Advisory is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Brown Advisory Small Cap are associated (or correlated) with Northern Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Northern Small Cap has no effect on the direction of Brown Advisory i.e., Brown Advisory and Northern Small go up and down completely randomly.
Pair Corralation between Brown Advisory and Northern Small
Assuming the 90 days horizon Brown Advisory is expected to generate 1.59 times less return on investment than Northern Small. But when comparing it to its historical volatility, Brown Advisory Small Cap is 1.26 times less risky than Northern Small. It trades about 0.04 of its potential returns per unit of risk. Northern Small Cap is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,180 in Northern Small Cap on September 4, 2024 and sell it today you would earn a total of 439.00 from holding Northern Small Cap or generate 37.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Brown Advisory Small Cap vs. Northern Small Cap
Performance |
| Timeline |
| Brown Advisory Small |
| Northern Small Cap |
Brown Advisory and Northern Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Brown Advisory and Northern Small
The main advantage of trading using opposite Brown Advisory and Northern Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Brown Advisory position performs unexpectedly, Northern Small can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Northern Small will offset losses from the drop in Northern Small's long position.| Brown Advisory vs. Jpmorgan Diversified Fund | Brown Advisory vs. Amg Managers Montag | Brown Advisory vs. Clearbridge Value Trust | Brown Advisory vs. Artisan International Value |
| Northern Small vs. Northern Bond Index | Northern Small vs. Northern E Bond | Northern Small vs. Northern Fixed Income | Northern Small vs. Northern Income Equity |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Money Managers module to screen money managers from public funds and ETFs managed around the world.
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