The Jensen Correlations

JENIX Fund

USD 59.54 0.34 0.57%

The current 90-days correlation between Jensen Portfolio and Bond Fund Of is 0.22 (i.e., Modest diversification). The correlation of The Jensen 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 Jensen Correlation With Market

Poor diversification

The correlation between The Jensen Portfolio and DJI is 0.76 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Jensen Portfolio and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in The Jensen Portfolio. 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 gross domestic product.

Moving together with The Mutual Fund

0.89	VTSAX	Vanguard Total Stock	Pair Corr
0.89	VFIAX	Vanguard 500 Index	Pair Corr
0.89	VTSMX	Vanguard Total Stock	Pair Corr
0.89	VITSX	Vanguard Total Stock	Pair Corr
0.89	VSMPX	Vanguard Total Stock	Pair Corr
0.89	VSTSX	Vanguard Total Stock	Pair Corr
0.89	VFINX	Vanguard 500 Index	Pair Corr
0.89	VFFSX	Vanguard 500 Index	Pair Corr
0.89	VINIX	Vanguard Institutional	Pair Corr
0.89	VIIIX	Vanguard Institutional	Pair Corr
0.63	IBM	International Business	Pair Corr

Related Correlations Analysis

	ABNFX	WMFFX	JVMIX	AEPFX	JSCOX
ABNFX		0.61	0.5	0.52	0.54	ABNFX
WMFFX	0.61		0.98	0.98	0.95	WMFFX
JVMIX	0.5	0.98		0.96	0.97	JVMIX
AEPFX	0.52	0.98	0.96		0.9	AEPFX
JSCOX	0.54	0.95	0.97	0.9		JSCOX
	ABNFX	WMFFX	JVMIX	AEPFX	JSCOX

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Risk-Adjusted Indicators

There is a big difference between The Mutual Fund performing well and The Jensen 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 Jensen'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
ABNFX	0.26	0.01	(0.57)	0.38	0.25	(0.29)	0.45	(0.53)	1.17
WMFFX	0.46	0.09	(0.01)	0.37	0.19	(0.57)	1.03	(0.71)	3.88
JVMIX	0.60	0.08	0.02	0.32	0.49	(0.71)	1.26	(0.83)	5.45
AEPFX	0.48	0.13	0.01	0.52	0.17	(0.54)	1.35	(0.77)	3.60
JSCOX	0.87	0.01	(0.01)	0.22	0.85	(0.97)	2.02	(1.50)	6.56

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The Jensen Correlations

The Jensen Correlation With Market

Poor diversification

Moving together with The Mutual Fund

Related Correlations Analysis

Risk-Adjusted Indicators

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