The Brown Correlations

BCSVX Fund

USD 23.69 0.19 0.80%

The current 90-days correlation between Brown Capital and Df Dent Midcap is 0.66 (i.e., Poor 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

Poor diversification

The correlation between The Brown Capital and DJI is 0.62 (i.e., Poor 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 real.

Moving together with The Mutual Fund

0.82	BCIIX	Brown Capital	Pair Corr
0.82	BCISX	Brown Capital	Pair Corr
1.0	BCSFX	Brown Capital	Pair Corr
0.63	KINAX	Kinetics Internet	Pair Corr
0.83	FTYPX	Fidelity Freedom Index	Pair Corr
0.81	FFBTX	Fidelity Freedom Blend	Pair Corr
0.71	GCAVX	Gmo Small Cap	Pair Corr
0.85	GQLOX	Gmo Quality Fund	Pair Corr
0.87	GMCQX	Gmo Equity Allocation	Pair Corr

Moving against The Mutual Fund

0.58	GAAVX	Gmo Alternative Allo	Pair Corr
0.34	GABFX	Gmo Asset Allocation	Pair Corr
0.32	MWLIX	Metropolitan West Low	Pair Corr
0.33	QGMNX	Aqr Global Macro	Pair Corr

Related Correlations Analysis

	DFDMX	BEXFX	ARTYX	HFQTX	BGAFX
DFDMX		-0.23	0.36	-0.15	0.79	DFDMX
BEXFX	-0.23		0.6	0.81	-0.18	BEXFX
ARTYX	0.36	0.6		0.59	0.49	ARTYX
HFQTX	-0.15	0.81	0.59		-0.25	HFQTX
BGAFX	0.79	-0.18	0.49	-0.25		BGAFX
	DFDMX	BEXFX	ARTYX	HFQTX	BGAFX

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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

HFQTX	+ 0.81	BEXFX
BGAFX	+ 0.79	DFDMX
ARTYX	+ 0.6	BEXFX
HFQTX	+ 0.59	ARTYX
BGAFX	+ 0.49	ARTYX
ARTYX	+ 0.36	DFDMX

High negative correlations

BGAFX	- 0.25	HFQTX
BEXFX	- 0.23	DFDMX
BGAFX	- 0.18	BEXFX
HFQTX	- 0.15	DFDMX

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
DFDMX	0.81	(0.04)	0.00	(0.12)	0.00	0.00	1.47	(2.03)	3.93
BEXFX	0.83	0.07	0.09	0.08	1.12	(0.81)	1.75	(1.84)	6.66
ARTYX	1.07	0.00	0.04	(0.11)	1.43	(1.05)	2.22	(2.07)	6.05
HFQTX	0.47	0.13	0.24	0.23	0.45	(0.57)	1.22	(0.92)	2.45
BGAFX	1.23	(0.06)	0.00	(0.12)	0.00	0.00	2.12	(3.17)	8.92

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