The Brown Correlations

BCISX Fund

USD 16.79 0.43 2.50%

The current 90-days correlation between Brown Capital and Legg Mason Partners is 0.24 (i.e., Modest diversification). The correlation of The Brown 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.

The Brown Correlation With Market

Good diversification

The correlation between The Brown Capital and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Brown Capital 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 The Brown Capital. 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 state.

Moving together with The Mutual Fund

0.93	BCIIX	Brown Capital	Pair Corr
0.73	BCSFX	Brown Capital	Pair Corr
0.8	RERFX	Europacific Growth	Pair Corr
0.79	AEPFX	Europacific Growth	Pair Corr
0.79	CEUAX	Europacific Growth	Pair Corr
0.79	CEUCX	Europacific Growth	Pair Corr
0.79	RERCX	Europacific Growth	Pair Corr
0.79	REREX	Europacific Growth	Pair Corr
0.79	RERGX	Europacific Growth	Pair Corr
0.81	CEUFX	Europacific Growth	Pair Corr
0.8	CEUEX	Europacific Growth	Pair Corr
0.79	RERAX	Europacific Growth	Pair Corr
0.73	BUIIX	Buffalo International	Pair Corr
0.62	CWFIX	Chartwell Short Duration	Pair Corr
0.66	STEYX	International Strategic	Pair Corr
0.64	SRMAX	Deutsche Short Term	Pair Corr
0.84	EUGAX	Morgan Stanley European	Pair Corr
0.73	MNOZX	Manning Napier Overseas	Pair Corr

Moving against The Mutual Fund

0.37

RRPIX

Rising Rates Opportunity

Pair Corr

Related Correlations Analysis

	QLMYIX	MSTBX	WACIX	RULFX	ABNTX	PBNAX	TTRBX
QLMYIX		0.89	0.84	0.8	0.93	0.86	0.9	QLMYIX
MSTBX	0.89		0.86	0.83	0.98	0.92	0.95	MSTBX
WACIX	0.84	0.86		0.86	0.91	0.95	0.94	WACIX
RULFX	0.8	0.83	0.86		0.85	0.81	0.86	RULFX
ABNTX	0.93	0.98	0.91	0.85		0.94	0.98	ABNTX
PBNAX	0.86	0.92	0.95	0.81	0.94		0.98	PBNAX
TTRBX	0.9	0.95	0.94	0.86	0.98	0.98		TTRBX
	QLMYIX	MSTBX	WACIX	RULFX	ABNTX	PBNAX	TTRBX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between The Mutual Fund performing well and The Brown 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 The Brown'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
QLMYIX	0.13	0.01	0.44	0.00	0.11	(0.22)	0.33	(0.33)	0.99
MSTBX	0.11	0.01	0.72	1.26	0.00	(0.15)	0.21	(0.21)	0.62
WACIX	0.26	0.03	0.39	0.17	0.23	(0.31)	0.55	(0.44)	1.56
RULFX	0.05	0.00	0.00	0.00	0.00	0.00	0.10	(0.10)	0.60
ABNTX	0.15	0.01	0.52	0.86	0.10	(0.21)	0.30	(0.39)	0.99
PBNAX	0.22	0.00	0.38	(0.20)	0.23	(0.27)	0.43	(0.43)	1.22
TTRBX	0.15	0.00	0.53	(0.19)	0.14	(0.20)	0.40	(0.30)	0.82

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