Correlation Between Brown Advisory and Brandes International

Can any of the company-specific risk be diversified away by investing in both Brown Advisory and Brandes International at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Brown Advisory and Brandes International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Brown Advisory Small Cap and Brandes International Small, you can compare the effects of market volatilities on Brown Advisory and Brandes International and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Brown Advisory with a short position of Brandes International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brown Advisory and Brandes International.

Diversification Opportunities for Brown Advisory and Brandes International

-0.07

Correlation Coefficient

Brown Advisory  Brandes International

Good diversification

The 3 months correlation between Brown and Brandes is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Brown Advisory Small Cap and Brandes International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brandes International and Brown Advisory is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Brown Advisory Small Cap are associated (or correlated) with Brandes International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brandes International has no effect on the direction of Brown Advisory i.e., Brown Advisory and Brandes International go up and down completely randomly.

Pair Corralation between Brown Advisory and Brandes International

Assuming the 90 days horizon Brown Advisory is expected to generate 1.8 times less return on investment than Brandes International. In addition to that, Brown Advisory is 1.66 times more volatile than Brandes International Small. It trades about 0.05 of its total potential returns per unit of risk. Brandes International Small is currently generating about 0.16 per unit of volatility. If you would invest  1,090  in Brandes International Small on September 4, 2024 and sell it today you would earn a total of  806.00  from holding Brandes International Small or generate 73.94% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Brown Advisory Small Cap  vs.  Brandes International Small

Brown Advisory Small

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Brown Advisory Small Cap are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Brown Advisory may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Brandes International

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Brandes International Small are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Brandes International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Brown Advisory and Brandes International

The main advantage of trading using opposite Brown Advisory and Brandes International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Brown Advisory position performs unexpectedly, Brandes International can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Brandes International will offset losses from the drop in Brandes International's long position.

The idea behind Brown Advisory Small Cap and Brandes International Small pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.