The Jensen Correlations

JENRX Fund

USD 58.73 0.09 0.15%

The current 90-days correlation between Jensen Portfolio and Angel Oak Financial is -0.06 (i.e., Good 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

Almost no diversification

The correlation between The Jensen Portfolio and DJI is 0.92 (i.e., Almost no 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 metropolitan statistical area.

Moving together with The Mutual Fund

0.83	JENIX	Jensen Portfolio	Pair Corr
0.82	JENSX	Jensen Portfolio	Pair Corr
1.0	JENYX	Jensen Portfolio	Pair Corr
0.79	JGQSX	Jensen Global Quality	Pair Corr
0.98	JGQYX	Jensen Global Quality	Pair Corr
0.98	JGQIX	Jensen Global Quality	Pair Corr
0.93	JNVIX	Jensen Quality Value	Pair Corr
0.93	JNVSX	Jensen Quality Value	Pair Corr
0.93	JNVYX	Jensen Quality Value	Pair Corr
0.92	VTSAX	Vanguard Total Stock	Pair Corr
0.92	VFIAX	Vanguard 500 Index	Pair Corr
0.92	VTSMX	Vanguard Total Stock	Pair Corr
0.92	VITSX	Vanguard Total Stock	Pair Corr
0.92	VSMPX	Vanguard Total Stock	Pair Corr
0.92	VSTSX	Vanguard Total Stock	Pair Corr
0.92	VFINX	Vanguard 500 Index	Pair Corr
0.92	VFFSX	Vanguard 500 Index	Pair Corr
0.92	VINIX	Vanguard Institutional	Pair Corr
0.84	SMPIX	Semiconductor Ultrasector Steady Growth	Pair Corr
0.84	SMPSX	Semiconductor Ultrasector Steady Growth	Pair Corr
0.8	TTEEX	T Rowe Price	Pair Corr
0.63	FIKGX	Fidelity Advisor Sem	Pair Corr
0.86	ONERX	One Rock Fund Steady Growth	Pair Corr
0.63	FELIX	Fidelity Advisor Sem	Pair Corr
0.63	FSELX	Fidelity Select Semi	Pair Corr
0.63	FELAX	Fidelity Advisor Sem	Pair Corr
0.65	WALSX	Wasatch Longshort Alpha	Pair Corr
0.92	ERBIX	Eaton Vance Richard	Pair Corr
0.8	ARBNX	Arbitrage Fund	Pair Corr
0.9	REBYX	Us Small Cap	Pair Corr

Related Correlations Analysis

	XFINX	RMBLX	DVFYX	FTIXX	IAAEX	SBFAX
XFINX		-0.16	-0.48	-0.19	-0.47	-0.4	XFINX
RMBLX	-0.16		0.91	0.64	0.9	0.94	RMBLX
DVFYX	-0.48	0.91		0.71	0.98	0.98	DVFYX
FTIXX	-0.19	0.64	0.71		0.7	0.64	FTIXX
IAAEX	-0.47	0.9	0.98	0.7		0.96	IAAEX
SBFAX	-0.4	0.94	0.98	0.64	0.96		SBFAX
	XFINX	RMBLX	DVFYX	FTIXX	IAAEX	SBFAX

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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

IAAEX	+ 0.98	DVFYX
SBFAX	+ 0.98	DVFYX
SBFAX	+ 0.96	IAAEX
SBFAX	+ 0.94	RMBLX
DVFYX	+ 0.91	RMBLX
IAAEX	+ 0.9	RMBLX

High negative correlations

DVFYX	- 0.48	XFINX
IAAEX	- 0.47	XFINX
SBFAX	- 0.4	XFINX
FTIXX	- 0.19	XFINX
RMBLX	- 0.16	XFINX

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
XFINX	0.41	(0.03)	0.00	2.27	0.00	0.00	0.77	(1.41)	4.64
RMBLX	1.12	0.15	0.11	0.28	1.01	(1.23)	2.53	(2.45)	5.97
DVFYX	0.72	0.15	0.15	0.30	0.57	(0.82)	1.80	(1.32)	5.14
FTIXX	0.03	0.01	0.00	(3.32)	0.00	0.00	0.00	0.00	1.01
IAAEX	0.69	0.02	0.00	0.16	0.66	(0.83)	1.97	(1.27)	4.55
SBFAX	0.67	0.03	0.01	0.16	0.69	(0.76)	1.87	(1.79)	5.39

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