Brown Advisory Small Cap Fund Market Value
| BAFSX Fund | USD 50.34 0.79 1.59% |
| Symbol | Brown |
Brown Advisory 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Brown Advisory's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Brown Advisory.
| 10/31/2023 |
| 11/24/2024 |
If you would invest 0.00 in Brown Advisory on October 31, 2023 and sell it all today you would earn a total of 0.00 from holding Brown Advisory Small Cap or generate 0.0% return on investment in Brown Advisory over 390 days. Brown Advisory is related to or competes with Jpmorgan Diversified, Amg Managers, Clearbridge Value, Artisan International, and John Hancock. Under normal conditions, the Adviser seeks to achieve the funds investment objective by investing at least 80 percent of... More
Brown Advisory Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Brown Advisory's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Brown Advisory Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.939 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 5.99 | |||
| Value At Risk | (1.42) | |||
| Potential Upside | 1.68 |
Brown Advisory Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brown Advisory's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brown Advisory's standard deviation. In reality, there are many statistical measures that can use Brown Advisory historical prices to predict the future Brown Advisory's volatility.| Risk Adjusted Performance | 0.0807 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0807 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brown Advisory's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Brown Advisory Small Backtested Returns
At this stage we consider Brown Mutual Fund to be very steady. Brown Advisory Small secures Sharpe Ratio (or Efficiency) of 0.0761, which signifies that the fund had a 0.0761% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Brown Advisory Small Cap, which you can use to evaluate the volatility of the entity. Please confirm Brown Advisory's Risk Adjusted Performance of 0.0807, downside deviation of 0.939, and Mean Deviation of 0.7496 to double-check if the risk estimate we provide is consistent with the expected return of 0.0781%. The fund shows a Beta (market volatility) of 1.19, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Brown Advisory will likely underperform.
Auto-correlation | 0.39 |
Below average predictability
Brown Advisory Small Cap has below average predictability. Overlapping area represents the amount of predictability between Brown Advisory time series from 31st of October 2023 to 13th of May 2024 and 13th of May 2024 to 24th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Brown Advisory Small price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Brown Advisory price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 1.87 |
Brown Advisory Small lagged returns against current returns
Autocorrelation, which is Brown Advisory mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Brown Advisory's mutual fund expected returns. We can calculate the autocorrelation of Brown Advisory returns to help us make a trade decision. For example, suppose you find that Brown Advisory has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Brown Advisory regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Brown Advisory mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brown Advisory mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brown Advisory mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Brown Advisory Lagged Returns
When evaluating Brown Advisory's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brown Advisory mutual fund have on its future price. Brown Advisory autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Brown Advisory autocorrelation shows the relationship between Brown Advisory mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Brown Advisory Small Cap.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Brown Mutual Fund
Brown Advisory financial ratios help investors to determine whether Brown Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Brown with respect to the benefits of owning Brown Advisory security.
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance |