Jensen Quality Correlations

Mutual Funds . USA . 
Fund . Jensen Quality Value
JNVIX Fund  USD 18.68  0.05  0.27%   
The current 90-days correlation between Jensen Quality Value and The Jensen Portfolio is 0.84 (i.e., Very poor diversification). The correlation of Jensen Quality 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.

Jensen Quality Correlation With Market

Good diversification

The correlation between Jensen Quality Value and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jensen Quality Value 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 Jensen Quality Value. 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 Jensen Mutual Fund

  0.93JENIX Jensen PortfolioPairCorr
  0.93JENRX Jensen PortfolioPairCorr
  0.93JENYX Jensen PortfolioPairCorr
  0.91JGQSX Jensen Global QualityPairCorr
  0.91JGQYX Jensen Global QualityPairCorr
  0.91JGQIX Jensen Global QualityPairCorr
  1.0JNVSX Jensen Quality ValuePairCorr
  1.0JNVYX Jensen Quality ValuePairCorr
  0.61KF Korea ClosedPairCorr
  0.86VSRAX Invesco Small CapPairCorr
  0.77TNMRX 1290 Multi AlternativePairCorr
  0.74DCARX Dfa California MunicipalPairCorr
  0.84PZHEX T Rowe PricePairCorr
  0.85HDVRX Hartford InternationalPairCorr
  0.84OANEX Oakmark InternationalPairCorr

Related Correlations Analysis

Click cells to compare fundamentals   Check Volatility   Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Jensen Mutual Fund performing well and Jensen Quality 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 Jensen Quality'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
JENIX  0.63  0.09 (0.06)(3.52) 0.69 
(0.69)
 1.43 
(1.31)
 4.24 
JENRX  0.63  0.08 (0.07)(25.75) 0.69 
(0.70)
 1.43 
(1.31)
 4.24 
JENSX  0.53  0.05 (0.02) 0.24  0.43 
(0.60)
 1.18 
(0.77)
 3.51 
JENYX  0.63  0.09 (0.06)(3.48) 0.70 
(0.69)
 1.41 
(1.31)
 4.24 
JGQSX  0.62  0.14  0.00 (2.70) 0.62 
(0.69)
 1.72 
(1.24)
 4.07 
JGQYX  0.63  0.14  0.00 (3.25) 0.60 
(0.69)
 1.72 
(1.24)
 4.01 
JGQIX  0.62  0.14  0.00 (2.98) 0.61 
(0.68)
 1.72 
(1.24)
 4.02 
JNVIX  0.70  0.10 (0.06)(0.51) 0.81 
(0.79)
 1.34 
(1.78)
 4.70 
JNVSX  0.70  0.10 (0.06)(0.51) 0.82 
(0.79)
 1.34 
(1.83)
 4.74 
JNVYX  0.70  0.10 (0.06)(0.49) 0.79 
(0.78)
 1.35 
(1.73)
 4.77 

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