Brown Advisory Correlations
| BIALX Fund | USD 27.09 0.20 0.74% |
The current 90-days correlation between Brown Advisory Global and Brown Advisory Sustainable is 0.89 (i.e., Very poor 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 Global 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 Global and DJI in the same portfolio, assuming nothing else is changed.
Brown |
Moving together with Brown Mutual Fund
| 0.83 | BAFMX | Brown Advisory Mid | PairCorr |
| 1.0 | BAFLX | Brown Advisory Global | PairCorr |
| 0.78 | BAFGX | Brown Advisory Growth | PairCorr |
| 0.91 | BAFFX | Brown Advisory Flexible | PairCorr |
| 0.9 | BAFAX | Brown Advisory Flexible | PairCorr |
| 0.78 | BAGAX | Brown Advisory Growth | PairCorr |
| 0.9 | BAFYX | Brown Advisory Funds | PairCorr |
| 0.7 | BAFWX | Brown Advisory Susta | PairCorr |
| 0.86 | BAFSX | Brown Advisory Small | PairCorr |
| 0.86 | BASAX | Brown Advisory Small | PairCorr |
| 0.71 | BAUAX | Brown Advisory Small | PairCorr |
| 0.72 | BAUUX | Brown Advisory Small | PairCorr |
| 0.7 | BAWAX | Brown Advisory Susta | PairCorr |
| 0.76 | BVALX | Brown Advisory | PairCorr |
| 0.78 | BIAGX | Brown Advisory Growth | PairCorr |
| 0.91 | BIAFX | Brown Advisory Flexible | PairCorr |
| 0.9 | BIAYX | Brown Advisory Funds | PairCorr |
| 0.76 | BIAVX | Brown Advisory | PairCorr |
| 0.7 | BIAWX | Brown Advisory Susta | PairCorr |
| 0.71 | BIAUX | Brown Advisory Small | PairCorr |
| 0.86 | BIASX | Brown Advisory Small | PairCorr |
| 0.83 | BMIDX | Brown Advisory Mid | PairCorr |
| 0.86 | FNFPX | American Funds New | PairCorr |
Moving against Brown Mutual Fund
Related Correlations Analysis
| 0.9 | 0.98 | 0.93 | 0.94 | BIAWX | ||
| 0.9 | 0.94 | 0.86 | 0.98 | BIAFX | ||
| 0.98 | 0.94 | 0.94 | 0.96 | BIAGX | ||
| 0.93 | 0.86 | 0.94 | 0.92 | BIAUX | ||
| 0.94 | 0.98 | 0.96 | 0.92 | BIASX | ||
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BIAWX | 1.03 | (0.11) | 0.00 | (0.18) | 0.00 | 1.73 | 5.40 | |||
| BIAFX | 0.75 | (0.03) | 0.00 | (0.10) | 0.00 | 1.30 | 4.61 | |||
| BIAGX | 0.90 | (0.10) | 0.00 | (0.18) | 0.00 | 1.33 | 5.17 | |||
| BIAUX | 0.83 | (0.11) | 0.00 | (0.19) | 0.00 | 1.31 | 3.93 | |||
| BIASX | 0.85 | (0.08) | 0.00 | (0.16) | 0.00 | 1.47 | 4.99 |