The Brown Capital Fund Market Value
| BCMIX Fund | USD 14.00 0.09 0.65% |
| 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.
| 03/31/2024 |
| 04/30/2024 |
If you would invest 0.00 in Brown Capital on March 31, 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 Brown Capital, Brown Capital, Brown Capital, Brown Capital, Brown Capital, and Kinetics Internet. 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 | (0.07) | |||
| 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) | |||
| Total Risk Alpha | (0.10) | |||
| Treynor Ratio | 0.0529 |
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
We consider Brown Capital very steady. Brown Capital secures Sharpe Ratio (or Efficiency) of 0.0063, which signifies that the fund had a 0.0063% return per unit of standard deviation over the last 3 months. We have found twenty-two technical indicators for The Brown Capital, which you can use to evaluate the volatility of the entity. Please confirm Brown Capital's Coefficient Of Variation of (10,996), risk adjusted performance of (0), and Mean Deviation of 0.8043 to double-check if the risk estimate we provide is consistent with the expected return of 0.0065%. The fund shows a Beta (market volatility) of -0.37, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Brown Capital are expected to decrease at a much lower rate. During the bear market, Brown Capital is likely to outperform the market.
Auto-correlation | -0.16 |
Insignificant reverse predictability
The Brown Capital has insignificant reverse predictability. Overlapping area represents the amount of predictability between Brown Capital time series from 31st of March 2024 to 15th of April 2024 and 15th of April 2024 to 30th 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 -0.16 indicates that over 16.0% of current Brown Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | -0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
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 |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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.