Brown Advisory Correlations

BAFWX Fund

USD 51.11 0.98 1.88%

The current 90-days correlation between Brown Advisory Susta and Cref Money Market is 0.02 (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

Poor diversification

The correlation between Brown Advisory Sustainable and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Sustainable 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 Sustainable. 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 housing.

Moving together with Brown Mutual Fund

0.93	BAFGX	Brown Advisory Growth	Pair Corr
0.9	BAFFX	Brown Advisory Flexible	Pair Corr
0.9	BAFAX	Brown Advisory Flexible	Pair Corr
0.98	BAGAX	Brown Advisory Growth	Pair Corr
0.94	BASAX	Brown Advisory Small	Pair Corr
0.95	BAUAX	Brown Advisory Small	Pair Corr
1.0	BAWAX	Brown Advisory Susta	Pair Corr
0.85	BVALX	Brown Advisory	Pair Corr
0.61	BIALX	Brown Advisory Global	Pair Corr
0.98	BIAGX	Brown Advisory Growth	Pair Corr
0.89	BIAYX	Brown Advisory Funds	Pair Corr
0.86	BIAVX	Brown Advisory	Pair Corr
1.0	BIAWX	Brown Advisory Susta	Pair Corr
0.95	BIAUX	Brown Advisory Small	Pair Corr
0.94	BIASX	Brown Advisory Small	Pair Corr
0.9	FAFGX	American Funds	Pair Corr
0.9	FFAFX	American Funds	Pair Corr
0.89	GFACX	Growth Fund	Pair Corr
0.9	GFAFX	Growth Fund	Pair Corr
0.93	AGTHX	Growth Fund	Pair Corr
0.9	CGFFX	Growth Fund	Pair Corr
0.89	CGFCX	Growth Fund	Pair Corr
0.9	CGFAX	Growth Fund	Pair Corr
0.9	CGFEX	Growth Fund	Pair Corr
0.9	RGAEX	Growth Fund	Pair Corr

Moving against Brown Mutual Fund

0.81	BAFHX	Brown Advisory	Pair Corr
0.81	BAHAX	Brown Advisory	Pair Corr
0.79	BAIAX	Brown Advisory Inter	Pair Corr
0.77	BAFZX	Brown Advisory Mortgage	Pair Corr
0.77	BIAIX	Brown Advisory Inter	Pair Corr
0.73	BASBX	Brown Advisory Susta	Pair Corr
0.44	BAQAX	Brown Advisory	Pair Corr
0.81	BIAHX	Brown Advisory	Pair Corr
0.77	BIAZX	Brown Advisory Mortgage	Pair Corr
0.76	USGDX	Morgan Stanley Government	Pair Corr
0.75	PSDNX	Putnam Ultra Short	Pair Corr
0.75	BISMX	Brandes International	Pair Corr
0.7	ARBOX	Absolute Convertible	Pair Corr
0.58	RMDUX	American Funds Multi	Pair Corr
0.52	PFN	Pimco Income Strategy	Pair Corr

Related Correlations Analysis

	QCMMIX	SMAAX	IAAEX	FNPIX	XFINX	FIDAX	FIKBX	AEYXX
QCMMIX		0.58	-0.18	0.16	0.18	-0.29	-0.16	0.0	QCMMIX
SMAAX	0.58		0.13	0.55	0.44	0.16	0.22	0.0	SMAAX
IAAEX	-0.18	0.13		0.32	0.08	0.53	0.34	0.0	IAAEX
FNPIX	0.16	0.55	0.32		0.64	0.75	0.85	0.0	FNPIX
XFINX	0.18	0.44	0.08	0.64		0.51	0.59	0.0	XFINX
FIDAX	-0.29	0.16	0.53	0.75	0.51		0.94	0.0	FIDAX
FIKBX	-0.16	0.22	0.34	0.85	0.59	0.94		0.0	FIKBX
AEYXX	0.0	0.0	0.0	0.0	0.0	0.0	0.0		AEYXX
	QCMMIX	SMAAX	IAAEX	FNPIX	XFINX	FIDAX	FIKBX	AEYXX

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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

FIKBX	+ 0.94	FIDAX
FIKBX	+ 0.85	FNPIX
FIDAX	+ 0.75	FNPIX
XFINX	+ 0.64	FNPIX
FIKBX	+ 0.59	XFINX
SMAAX	+ 0.58	QCMMIX

High negative correlations

FIDAX	- 0.29	QCMMIX
IAAEX	- 0.18	QCMMIX
FIKBX	- 0.16	QCMMIX
AEYXX	- 0.0	FIKBX
AEYXX	- 0.0	FIDAX
AEYXX	- 0.0	XFINX

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
QCMMIX	0.02	0.01	0.00	(5.15)	0.00	0.00	0.03	0.00	0.03
SMAAX	0.14	(0.02)	0.00	(1.27)	0.00	0.00	0.20	(0.39)	0.90
IAAEX	0.81	(0.12)	0.00	1.00	0.00	0.00	1.41	(1.48)	9.17
FNPIX	1.27	0.01	0.00	(0.10)	1.87	(1.25)	2.66	(3.48)	9.08
XFINX	0.15	(0.01)	(0.03)	0.28	0.25	(0.18)	0.29	(0.64)	1.27
FIDAX	0.99	(0.13)	0.00	(0.12)	0.00	0.00	2.02	(3.26)	7.13
FIKBX	0.90	(0.05)	0.00	(0.04)	0.00	0.00	1.73	(2.69)	6.29
AEYXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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