The Brown Correlations
| BCIIX Fund | USD 16.56 0.12 0.72% |
The current 90-days correlation between Brown Capital and The Brown Capital is 1.0 (i.e., No risk reduction). The correlation of The Brown 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.
The Brown Correlation With Market
Poor diversification
The correlation between The Brown Capital and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Brown Capital and DJI in the same portfolio, assuming nothing else is changed.
The |
Moving together with The Mutual Fund
| 1.0 | BCISX | Brown Capital | PairCorr |
| 0.96 | BCSVX | Brown Capital | PairCorr |
| 0.96 | BCSFX | Brown Capital | PairCorr |
| 0.88 | KINAX | Kinetics Internet | PairCorr |
Moving against The Mutual Fund
| 0.36 | PMPIX | Precious Metals Ultr Steady Growth | PairCorr |
| 0.35 | PMPSX | Precious Metals Ultr | PairCorr |
| 0.76 | RPHIX | Riverpark Short Term | PairCorr |
| 0.75 | NEA | Nuveen Amt Free | PairCorr |
| 0.69 | NXJ | Nuveen New Jersey | PairCorr |
| 0.59 | VMPAX | Wells Fargo Advantage | PairCorr |
| 0.58 | MIDSX | Midas Fund Midas | PairCorr |
| 0.56 | EKWYX | Wells Fargo Advantage | PairCorr |
| 0.54 | SSHFX | Sound Shore Fund | PairCorr |
| 0.48 | FGPMX | Franklin Gold And | PairCorr |
| 0.47 | FRGOX | Franklin Gold Precious | PairCorr |
| 0.46 | FIJDX | Gold Portfolio Fidelity | PairCorr |
| 0.38 | FSCIX | Fidelity Advisor Small | PairCorr |
| 0.36 | EMREX | Jpmorgan Trust Iv | PairCorr |
| 0.84 | RAGHX | Allianzgi Health Sciences | PairCorr |
| 0.83 | VGHCX | Vanguard Health Care | PairCorr |
Related Correlations Analysis
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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between The Mutual Fund performing well and The Brown 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 The Brown'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BCIIX | 0.68 | (0.19) | 0.00 | (0.12) | 0.00 | 1.17 | 4.41 | |||
| BCISX | 0.69 | (0.19) | 0.00 | (0.12) | 0.00 | 1.15 | 4.40 | |||
| BCSVX | 0.69 | (0.16) | 0.00 | (1.08) | 0.00 | 1.13 | 3.48 | |||
| BCSSX | 0.89 | (0.01) | (0.05) | (0.31) | 1.29 | 1.93 | 4.98 | |||
| BCSIX | 1.92 | (0.94) | 0.00 | (0.39) | 0.00 | 1.89 | 4.96 | |||
| BCSFX | 0.69 | (0.16) | 0.00 | (1.07) | 0.00 | 1.13 | 3.46 | |||
| KINAX | 1.57 | (0.22) | 0.00 | (0.43) | 0.00 | 2.48 | 6.58 |