Brown Advisory Correlations

BASBX Fund

USD 8.49 0.01 0.12%

The current 90-days correlation between Brown Advisory Susta and Small Midcap Dividend Income is 0.24 (i.e., Modest 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

Significant diversification

The correlation between Brown Advisory Sustainable and DJI is 0.08 (i.e., Significant 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 bureau of labor statistics.

Moving together with Brown Mutual Fund

0.91	BAFHX	Brown Advisory	Pair Corr
1.0	BAFZX	Brown Advisory Mortgage	Pair Corr
0.91	BAHAX	Brown Advisory	Pair Corr
1.0	BAISX	Brown Advisory Susta	Pair Corr
0.96	BAIAX	Brown Advisory Inter	Pair Corr
0.66	BAQAX	Brown Advisory	Pair Corr
0.99	BIAIX	Brown Advisory Inter	Pair Corr
0.91	BIAHX	Brown Advisory	Pair Corr
1.0	BIAZX	Brown Advisory Mortgage	Pair Corr
0.67	BIAQX	Brown Advisory	Pair Corr
0.96	VBTLX	Vanguard Total Bond	Pair Corr
0.95	VBMFX	Vanguard Total Bond	Pair Corr
1.0	VBTIX	Vanguard Total Bond	Pair Corr
1.0	VTBSX	Vanguard Total Bond	Pair Corr
1.0	VTBIX	Vanguard Total Bond	Pair Corr
1.0	VTBNX	Vanguard Total Bond	Pair Corr
0.99	FBOFX	American Funds	Pair Corr
0.99	FFBOX	American Funds	Pair Corr
0.99	BFAFX	Bond Fund	Pair Corr
0.99	ABNDX	Bond Fund	Pair Corr

Moving against Brown Mutual Fund

0.73	BAFWX	Brown Advisory Susta	Pair Corr
0.73	BAWAX	Brown Advisory Susta	Pair Corr
0.65	BAUAX	Brown Advisory Small	Pair Corr
0.63	BAGAX	Brown Advisory Growth	Pair Corr
0.61	BAFGX	Brown Advisory Growth	Pair Corr
0.52	BASAX	Brown Advisory Small	Pair Corr
0.46	BVALX	Brown Advisory	Pair Corr
0.43	BAFAX	Brown Advisory Flexible	Pair Corr
0.42	BAFFX	Brown Advisory Flexible	Pair Corr
0.73	BIAWX	Brown Advisory Susta	Pair Corr
0.64	BIAUX	Brown Advisory Small	Pair Corr
0.63	BIAGX	Brown Advisory Growth	Pair Corr
0.58	BMIDX	Brown Advisory Mid	Pair Corr
0.52	BIASX	Brown Advisory Small	Pair Corr
0.46	BIAVX	Brown Advisory	Pair Corr
0.42	BIAYX	Brown Advisory Funds	Pair Corr

Related Correlations Analysis

	PMDDX	LMBMX	MSSGX	TVOYX	DFUKX	TISVX	PSBMX	ARTSX
PMDDX		0.93	0.84	0.98	-0.25	-0.41	0.96	0.89	PMDDX
LMBMX	0.93		0.96	0.96	-0.26	-0.57	0.98	0.93	LMBMX
MSSGX	0.84	0.96		0.89	-0.16	-0.5	0.93	0.87	MSSGX
TVOYX	0.98	0.96	0.89		-0.21	-0.43	0.98	0.91	TVOYX
DFUKX	-0.25	-0.26	-0.16	-0.21		0.71	-0.28	-0.2	DFUKX
TISVX	-0.41	-0.57	-0.5	-0.43	0.71		-0.52	-0.57	TISVX
PSBMX	0.96	0.98	0.93	0.98	-0.28	-0.52		0.94	PSBMX
ARTSX	0.89	0.93	0.87	0.91	-0.2	-0.57	0.94		ARTSX
	PMDDX	LMBMX	MSSGX	TVOYX	DFUKX	TISVX	PSBMX	ARTSX

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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

TVOYX	+ 0.98	PMDDX
PSBMX	+ 0.98	LMBMX
PSBMX	+ 0.98	TVOYX
PSBMX	+ 0.96	PMDDX
MSSGX	+ 0.96	LMBMX
TVOYX	+ 0.96	LMBMX

High negative correlations

ARTSX	- 0.57	TISVX
TISVX	- 0.57	LMBMX
PSBMX	- 0.52	TISVX
TISVX	- 0.5	MSSGX
TISVX	- 0.43	TVOYX
TISVX	- 0.41	PMDDX

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
PMDDX	0.84	(0.09)	0.00	(0.09)	0.00	0.00	1.52	(1.78)	3.94
LMBMX	1.02	(0.15)	0.00	(0.13)	0.00	0.00	2.03	(2.43)	5.60
MSSGX	1.80	(0.18)	0.00	(0.11)	0.00	0.00	3.81	(3.91)	9.53
TVOYX	0.86	(0.11)	0.00	(0.10)	0.00	0.00	1.52	(1.95)	4.01
DFUKX	0.80	(0.03)	0.00	0.10	0.00	0.00	1.96	(2.04)	6.05
TISVX	0.79	0.10	0.06	0.14	1.23	(0.77)	1.99	(1.65)	9.81
PSBMX	1.02	(0.16)	0.00	(0.15)	0.00	0.00	2.03	(2.32)	5.36
ARTSX	1.18	(0.13)	0.00	0.89	0.00	0.00	2.24	(3.17)	5.69

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