Jensen Quality Correlations

JNVSX Fund

USD 18.73 0.05 0.27%

The current 90-days correlation between Jensen Quality Value and The Jensen Portfolio is 0.83 (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

Very poor diversification

The correlation between Jensen Quality Value and DJI is 0.87 (i.e., Very poor 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 state.

Moving together with Jensen Mutual Fund

0.93	JENIX	Jensen Portfolio	Pair Corr
0.93	JENSX	Jensen Portfolio	Pair Corr
0.91	JGQSX	Jensen Global Quality	Pair Corr
0.91	JGQYX	Jensen Global Quality	Pair Corr
0.91	JGQIX	Jensen Global Quality	Pair Corr
1.0	JNVIX	Jensen Quality Value	Pair Corr
1.0	JNVYX	Jensen Quality Value	Pair Corr
0.9	VIMAX	Vanguard Mid Cap	Pair Corr
0.9	VIMSX	Vanguard Mid Cap	Pair Corr
0.9	VMCPX	Vanguard Mid Cap	Pair Corr
0.9	VMCIX	Vanguard Mid Cap	Pair Corr
0.88	VEXAX	Vanguard Extended Market	Pair Corr
0.88	VEMPX	Vanguard Extended Market	Pair Corr
0.88	VIEIX	Vanguard Extended Market	Pair Corr
0.85	VSEMX	Vanguard Extended Market	Pair Corr
0.88	VEXMX	Vanguard Extended Market	Pair Corr
0.88	FSMAX	Fidelity Extended Market	Pair Corr
0.87	BRUFX	Bruce Fund Bruce	Pair Corr
0.85	SPGSX	State Street Premier	Pair Corr
0.61	KF	Korea Closed	Pair Corr
0.86	VSRAX	Invesco Small Cap	Pair Corr
0.77	TNMRX	1290 Multi Alternative	Pair Corr
0.8	AMHYX	Invesco High Yield	Pair Corr
0.74	DCARX	Dfa California Municipal	Pair Corr
0.78	FADMX	Fidelity Advisor Str	Pair Corr
0.87	PZHEX	T Rowe Price	Pair Corr
0.84	HDVRX	Hartford International	Pair Corr
0.83	OANEX	Oakmark International	Pair Corr
0.94	BVSIX	Ff Baywd Fd	Pair Corr
0.92	FIIAX	Fidelity Advisor Mid	Pair Corr
0.93	MAADX	Morgan Stanley Insti	Pair Corr
0.87	GSCGX	Goldman Sachs Capital	Pair Corr
0.85	MBXFX	Catalystmillburn Hedge	Pair Corr
0.73	MAUKX	Pioneer Multi Asset	Pair Corr
0.9	JANEX	Janus Enterprise	Pair Corr

Related Correlations Analysis

	JENIX	JENRX	JENSX	JENYX	JGQSX	JGQYX	JGQIX	JNVIX	JNVSX	JNVYX
JENIX		0.74	1.0	0.0	0.99	0.99	0.99	0.93	0.93	0.93	JENIX
JENRX	0.74		0.74	0.0	0.72	0.72	0.72	0.62	0.61	0.62	JENRX
JENSX	1.0	0.74		0.0	0.99	0.99	0.99	0.93	0.93	0.93	JENSX
JENYX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	JENYX
JGQSX	0.99	0.72	0.99	0.0		1.0	1.0	0.91	0.91	0.91	JGQSX
JGQYX	0.99	0.72	0.99	0.0	1.0		1.0	0.91	0.91	0.91	JGQYX
JGQIX	0.99	0.72	0.99	0.0	1.0	1.0		0.91	0.91	0.91	JGQIX
JNVIX	0.93	0.62	0.93	0.0	0.91	0.91	0.91		1.0	1.0	JNVIX
JNVSX	0.93	0.61	0.93	0.0	0.91	0.91	0.91	1.0		1.0	JNVSX
JNVYX	0.93	0.62	0.93	0.0	0.91	0.91	0.91	1.0	1.0		JNVYX
	JENIX	JENRX	JENSX	JENYX	JGQSX	JGQYX	JGQIX	JNVIX	JNVSX	JNVYX

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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

JENSX	+ 1.0	JENIX
JGQYX	+ 1.0	JGQSX
JGQIX	+ 1.0	JGQSX
JGQIX	+ 1.0	JGQYX
JNVSX	+ 1.0	JNVIX
JNVYX	+ 1.0	JNVIX

High negative correlations

JNVYX	- 0.0	JENYX
JNVSX	- 0.0	JENYX
JNVIX	- 0.0	JENYX
JGQIX	- 0.0	JENYX
JGQYX	- 0.0	JENYX
JGQSX	- 0.0	JENYX

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 Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
JENIX	0.63	(0.03)	(0.06)	0.10	0.69	(0.69)	1.43	(1.31)	4.24
JENRX	0.53	0.13	0.00	(16.30)	0.39	(0.64)	1.23	(0.77)	3.51
JENSX	0.63	(0.03)	(0.06)	0.10	0.69	(0.69)	1.42	(1.29)	4.25
JENYX	0.54	0.14	0.01	(10.15)	0.39	(0.63)	1.24	(0.78)	3.50
JGQSX	0.62	0.03	0.00	0.16	0.62	(0.69)	1.72	(1.24)	4.07
JGQYX	0.63	0.03	0.00	0.16	0.60	(0.69)	1.72	(1.24)	4.01
JGQIX	0.62	0.03	0.00	0.16	0.61	(0.68)	1.72	(1.24)	4.02
JNVIX	0.70	(0.03)	(0.05)	0.09	0.81	(0.79)	1.34	(1.78)	4.70
JNVSX	0.70	(0.03)	(0.05)	0.09	0.82	(0.79)	1.34	(1.83)	4.74
JNVYX	0.70	(0.03)	(0.05)	0.09	0.79	(0.78)	1.35	(1.73)	4.77

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