The Brown Capital Fund Market Value
| BCMIX Fund | USD 13.75 0.14 1.01% |
| Symbol | Brown |
Brown Capital 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Brown Capital's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Brown Capital.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Brown Capital on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding The Brown Capital or generate 0.0% return on investment in Brown Capital over 30 days. Brown Capital is related to or competes with Short Term, Aig Government, Lord Abbett, Us Government, Jpmorgan Government, and Fidelity Series. The fund invests at least 80 percent of its net assets in a portfolio of equity securities of companies with total opera... More
Brown Capital Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Brown Capital's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess The Brown Capital upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 5.12 | |||
| Value At Risk | (1.97) | |||
| Potential Upside | 1.54 |
Brown Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brown Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brown Capital's standard deviation. In reality, there are many statistical measures that can use Brown Capital historical prices to predict the future Brown Capital's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.1) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brown Capital's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Brown Capital Backtested Returns
Brown Capital secures Sharpe Ratio (or Efficiency) of -0.0246, which signifies that the fund had a -0.0246% return per unit of standard deviation over the last 3 months. The Brown Capital exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brown Capital's Mean Deviation of 0.8335, risk adjusted performance of (0), and Coefficient Of Variation of (9,970) to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 1.42, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Brown Capital will likely underperform.
Auto-correlation | 0.38 |
Below average predictability
The Brown Capital has below average predictability. Overlapping area represents the amount of predictability between Brown Capital time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Brown Capital price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Brown Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Brown Capital lagged returns against current returns
Autocorrelation, which is Brown Capital mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Brown Capital's mutual fund expected returns. We can calculate the autocorrelation of Brown Capital returns to help us make a trade decision. For example, suppose you find that Brown Capital has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Brown Capital regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Brown Capital mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brown Capital mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brown Capital mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Brown Capital Lagged Returns
When evaluating Brown Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brown Capital mutual fund have on its future price. Brown Capital autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Brown Capital autocorrelation shows the relationship between Brown Capital mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Brown Capital.
Regressed Prices |
| Timeline |
Pair Trading with Brown Capital
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Brown Capital position performs unexpectedly, the other equity 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 Brown Capital will appreciate offsetting losses from the drop in the long position's value.Moving together with Brown Mutual Fund
| 0.87 | BCSVX | Brown Capital | PairCorr |
| 0.9 | PAMCX | T Rowe Price | PairCorr |
| 0.9 | RRMGX | T Rowe Price | PairCorr |
| 0.9 | TRQZX | T Rowe Price | PairCorr |
The ability to find closely correlated positions to Brown Capital could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brown Capital when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Brown Capital - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling The Brown Capital to buy it.
The correlation of Brown Capital 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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Brown Capital moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brown Capital moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Brown Capital can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Brown Capital Correlation, Brown Capital Volatility and Brown Capital Alpha and Beta module to complement your research on Brown Capital. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Brown Capital technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.