Brown Advisory Correlations

BIAYX Fund

USD 11.05 0.04 0.36%

The current 90-days correlation between Brown Advisory Funds and Kinetics Market Opportunities is 0.48 (i.e., Very weak 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 poor diversification

The correlation between Brown Advisory Funds and DJI is 0.88 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Funds 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 Funds. 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 manufacturing.

Moving together with Brown Mutual Fund

0.92	BAFMX	Brown Advisory Mid	Pair Corr
0.76	BAFLX	Brown Advisory Global	Pair Corr
0.89	BAFGX	Brown Advisory Growth	Pair Corr
0.92	BAFFX	Brown Advisory Flexible	Pair Corr
0.92	BAFAX	Brown Advisory Flexible	Pair Corr
0.89	BAGAX	Brown Advisory Growth	Pair Corr
1.0	BAFYX	Brown Advisory Funds	Pair Corr
0.85	BAFWX	Brown Advisory Susta	Pair Corr
0.98	BAFSX	Brown Advisory Small	Pair Corr
0.98	BASAX	Brown Advisory Small	Pair Corr
0.98	BAUAX	Brown Advisory Small	Pair Corr
0.98	BAUUX	Brown Advisory Small	Pair Corr
0.85	BAWAX	Brown Advisory Susta	Pair Corr
0.76	BIALX	Brown Advisory Global	Pair Corr
0.89	BIAGX	Brown Advisory Growth	Pair Corr
0.92	BIAFX	Brown Advisory Flexible	Pair Corr
0.76	BIAVX	Brown Advisory	Pair Corr
0.85	BIAWX	Brown Advisory Susta	Pair Corr
0.98	BIAUX	Brown Advisory Small	Pair Corr
0.98	BIASX	Brown Advisory Small	Pair Corr
0.92	BMIDX	Brown Advisory Mid	Pair Corr
0.95	VSMAX	Vanguard Small Cap	Pair Corr
0.95	VSCIX	Vanguard Small Cap	Pair Corr
0.95	VSCPX	Vanguard Small Cap	Pair Corr

Moving against Brown Mutual Fund

0.5	BAIAX	Brown Advisory Inter	Pair Corr
0.49	BASBX	Brown Advisory Susta	Pair Corr
0.46	BAFZX	Brown Advisory Mortgage	Pair Corr
0.38	BAFHX	Brown Advisory	Pair Corr
0.38	BAHAX	Brown Advisory	Pair Corr
0.49	BIAIX	Brown Advisory Inter	Pair Corr
0.47	BIAZX	Brown Advisory Mortgage	Pair Corr
0.38	BIAHX	Brown Advisory	Pair Corr
0.43	CIFRX	Columbia Porate Income	Pair Corr
0.35	LIIAX	Columbia Porate Income	Pair Corr
0.34	SRINX	Columbia Porate Income	Pair Corr

Related Correlations Analysis

	KMKCX	MDVSX	CMNIX	BXECX	HCEMX	LOTCX
KMKCX		-0.38	0.88	-0.26	-0.06	-0.39	KMKCX
MDVSX	-0.38		-0.68	-0.53	-0.7	0.39	MDVSX
CMNIX	0.88	-0.68		0.04	0.31	-0.49	CMNIX
BXECX	-0.26	-0.53	0.04		0.68	0.22	BXECX
HCEMX	-0.06	-0.7	0.31	0.68		-0.34	HCEMX
LOTCX	-0.39	0.39	-0.49	0.22	-0.34		LOTCX
	KMKCX	MDVSX	CMNIX	BXECX	HCEMX	LOTCX

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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

CMNIX	+ 0.88	KMKCX
HCEMX	+ 0.68	BXECX
LOTCX	+ 0.39	MDVSX
HCEMX	+ 0.31	CMNIX
LOTCX	+ 0.22	BXECX
BXECX	+ 0.04	CMNIX

High negative correlations

HCEMX	- 0.7	MDVSX
CMNIX	- 0.68	MDVSX
BXECX	- 0.53	MDVSX
LOTCX	- 0.49	CMNIX
LOTCX	- 0.39	KMKCX
MDVSX	- 0.38	KMKCX

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
KMKCX	1.41	0.59	0.33	0.64	1.21	(1.72)	3.82	(2.21)	14.12
MDVSX	0.94	(0.35)	0.00	(0.18)	0.00	0.00	1.16	(1.03)	22.64
CMNIX	0.08	0.01	(0.98)	0.23	0.00	(0.13)	0.20	(0.13)	0.54
BXECX	0.26	(0.01)	(0.37)	0.06	0.23	(0.37)	0.65	(0.40)	1.45
HCEMX	0.72	(0.04)	(0.13)	(0.03)	0.91	(0.85)	1.83	(1.86)	4.70
LOTCX	0.64	(0.12)	0.00	(0.04)	0.00	0.00	1.09	(1.30)	4.17

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