Brown Advisory Correlations

BIAEX Fund

USD 9.45 0.01 0.11%

The current 90-days correlation between Brown Advisory Tax and Brown Advisory Mid Cap is 0.07 (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

Very good diversification

The correlation between Brown Advisory Tax and DJI is -0.27 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Tax 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 Tax. 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 income.

Moving together with Brown Mutual Fund

0.99	BTEIX	Brown Advisory Tax	Pair Corr
0.99	BIAMX	Brown Advisory Maryland	Pair Corr
0.9	BITEX	Brown Advisory Tax	Pair Corr
0.97	VWITX	Vanguard Intermediate-ter	Pair Corr

Related Correlations Analysis

	BAFMX	BAFLX	BAFGX	BAFHX	BAFFX	BAFAX	BAGAX	BAFYX	BAFZX	BAFWX
BAFMX		0.71	0.95	-0.69	0.97	0.97	0.95	0.89	-0.69	0.91	BAFMX
BAFLX	0.71		0.77	-0.2	0.8	0.8	0.77	0.77	-0.33	0.86	BAFLX
BAFGX	0.95	0.77		-0.63	0.98	0.98	1.0	0.9	-0.68	0.97	BAFGX
BAFHX	-0.69	-0.2	-0.63		-0.63	-0.63	-0.63	-0.38	0.84	-0.58	BAFHX
BAFFX	0.97	0.8	0.98	-0.63		1.0	0.98	0.93	-0.68	0.96	BAFFX
BAFAX	0.97	0.8	0.98	-0.63	1.0		0.98	0.93	-0.67	0.96	BAFAX
BAGAX	0.95	0.77	1.0	-0.63	0.98	0.98		0.9	-0.68	0.97	BAGAX
BAFYX	0.89	0.77	0.9	-0.38	0.93	0.93	0.9		-0.46	0.86	BAFYX
BAFZX	-0.69	-0.33	-0.68	0.84	-0.68	-0.67	-0.68	-0.46		-0.65	BAFZX
BAFWX	0.91	0.86	0.97	-0.58	0.96	0.96	0.97	0.86	-0.65		BAFWX
	BAFMX	BAFLX	BAFGX	BAFHX	BAFFX	BAFAX	BAGAX	BAFYX	BAFZX	BAFWX

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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

BAGAX	+ 1.0	BAFGX
BAFAX	+ 1.0	BAFFX
BAFFX	+ 0.98	BAFGX
BAFAX	+ 0.98	BAFGX
BAGAX	+ 0.98	BAFFX
BAGAX	+ 0.98	BAFAX

High negative correlations

BAFZX	- 0.69	BAFMX
BAFHX	- 0.69	BAFMX
BAFZX	- 0.68	BAGAX
BAFZX	- 0.68	BAFFX
BAFZX	- 0.68	BAFGX
BAFZX	- 0.67	BAFAX

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
BAFMX	0.62	0.15	0.07	1.07	0.61	(0.70)	1.33	(0.96)	4.83
BAFLX	0.50	(0.03)	(0.11)	0.07	0.60	(0.51)	0.99	(1.07)	2.73
BAFGX	0.66	0.01	0.00	0.13	0.84	(0.69)	1.43	(1.49)	4.47
BAFHX	0.64	(0.14)	0.00	(0.20)	0.00	0.00	1.49	(1.24)	4.43
BAFFX	0.54	0.02	0.01	0.14	0.57	(0.60)	0.98	(1.16)	4.40
BAFAX	0.54	0.02	0.01	0.13	0.57	(0.60)	0.97	(1.17)	4.44
BAGAX	0.66	0.01	0.00	0.13	0.82	(0.69)	1.40	(1.51)	4.49
BAFYX	0.79	(0.05)	(0.01)	0.08	0.73	(0.95)	1.84	(1.43)	6.89
BAFZX	0.22	(0.04)	0.00	(0.26)	0.00	0.00	0.44	(0.45)	1.34
BAFWX	0.72	(0.01)	(0.01)	0.11	0.96	(0.73)	1.66	(1.62)	5.09

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