Jensen Quality Correlations

JNVSX Fund

USD 16.22 0.10 0.61%

The current 90-days correlation between Jensen Quality Value and Legg Mason Bw is -0.07 (i.e., Good 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 weak diversification

The correlation between Jensen Quality Value and DJI is 0.59 (i.e., Very weak 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 main economic indicators.

Moving together with Jensen Mutual Fund

0.91	JENIX	Jensen Portfolio	Pair Corr
0.85	JENRX	Jensen Portfolio	Pair Corr
0.91	JENSX	Jensen Portfolio	Pair Corr
0.91	JENYX	Jensen Portfolio	Pair Corr
0.96	JNVIX	Jensen Quality Value	Pair Corr
0.96	JNVYX	Jensen Quality Value	Pair Corr
0.65	VIMAX	Vanguard Mid Cap	Pair Corr
0.65	VMCPX	Vanguard Mid Cap	Pair Corr
0.65	VMCIX	Vanguard Mid Cap	Pair Corr
0.71	ASG	Liberty All Star	Pair Corr
0.83	USA	Liberty All Star	Pair Corr
0.7	ETY	Eaton Vance Tax	Pair Corr

Moving against Jensen Mutual Fund

0.73	VSEMX	Vanguard Extended Market	Pair Corr
0.86	AEDFX	Arbitrage Event	Pair Corr
0.77	QDARX	Aqr Diversified Arbitrage	Pair Corr
0.66	CII	Blackrock Enhanced	Pair Corr
0.59	TWQAX	Transamerica Large Cap	Pair Corr
0.57	VIITX	Vanguard Institutional	Pair Corr
0.52	CLM	Cornerstone Strategic	Pair Corr
0.39	BAISX	Brown Advisory Susta	Pair Corr
0.38	IRGMX	Voya Retirement Moderate	Pair Corr
0.36	CRF	Cornerstone Total Return	Pair Corr
0.34	ETV	Eaton Vance Tax	Pair Corr

Related Correlations Analysis

	LBAFX	FHTFX	ABVCX	REMVX	BXDYX	CPUCX	TBLDX
LBAFX		0.79	0.76	0.84	0.91	0.56	0.72	LBAFX
FHTFX	0.79		0.86	0.92	0.85	0.8	0.87	FHTFX
ABVCX	0.76	0.86		0.92	0.81	0.68	0.89	ABVCX
REMVX	0.84	0.92	0.92		0.87	0.67	0.91	REMVX
BXDYX	0.91	0.85	0.81	0.87		0.74	0.85	BXDYX
CPUCX	0.56	0.8	0.68	0.67	0.74		0.81	CPUCX
TBLDX	0.72	0.87	0.89	0.91	0.85	0.81		TBLDX
	LBAFX	FHTFX	ABVCX	REMVX	BXDYX	CPUCX	TBLDX

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
LBAFX	0.06	0.01	(0.12)	(0.29)	0.00	(0.16)	0.18	(0.09)	0.54
FHTFX	0.14	0.07	0.27	2.02	0.00	(0.24)	0.39	(0.13)	1.16
ABVCX	0.51	0.06	0.06	11.37	0.59	(0.57)	1.23	(1.12)	3.51
REMVX	0.65	0.12	0.12	0.20	0.71	(0.73)	1.38	(0.83)	4.64
BXDYX	0.08	0.01	(0.10)	0.38	0.00	(0.15)	0.11	(0.11)	0.64
CPUCX	0.18	0.01	(0.03)	0.63	0.10	(0.24)	0.32	(0.32)	0.97
TBLDX	0.27	0.01	0.01	0.05	0.34	(0.29)	0.55	(0.54)	1.73

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