The Jensen Correlations

JENRX Fund

USD 56.50 0.01 0.02%

The current 90-days correlation between Jensen Portfolio and Aqr Risk Parity is 0.67 (i.e., Poor 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 0.75 (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 metropolitan statistical area.

Moving together with The Mutual Fund

1.0	JENIX	Jensen Portfolio	Pair Corr
1.0	JENSX	Jensen Portfolio	Pair Corr
0.93	JGQSX	Jensen Global Quality	Pair Corr
0.91	VTSAX	Vanguard Total Stock	Pair Corr
0.91	VFIAX	Vanguard 500 Index	Pair Corr
0.91	VTSMX	Vanguard Total Stock	Pair Corr
0.91	VITSX	Vanguard Total Stock	Pair Corr
0.91	VSMPX	Vanguard Total Stock	Pair Corr
0.91	VSTSX	Vanguard Total Stock	Pair Corr
0.91	VFINX	Vanguard 500 Index	Pair Corr
0.91	VFFSX	Vanguard 500 Index	Pair Corr
0.91	VINIX	Vanguard Institutional	Pair Corr
0.91	VIIIX	Vanguard Institutional	Pair Corr

Moving against The Mutual Fund

0.48	GF	New Germany Closed	Pair Corr
0.33	PSDNX	Putnam Ultra Short	Pair Corr
0.32	BISMX	Brandes International	Pair Corr

Related Correlations Analysis

	AQRRX	MRHYX	FYAIX	BXHCX	ABTHX	ABTYX
AQRRX		0.94	0.9	0.87	0.63	0.64	AQRRX
MRHYX	0.94		0.96	0.96	0.74	0.75	MRHYX
FYAIX	0.9	0.96		0.94	0.71	0.73	FYAIX
BXHCX	0.87	0.96	0.94		0.83	0.84	BXHCX
ABTHX	0.63	0.74	0.71	0.83		1.0	ABTHX
ABTYX	0.64	0.75	0.73	0.84	1.0		ABTYX
	AQRRX	MRHYX	FYAIX	BXHCX	ABTHX	ABTYX

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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
AQRRX	0.49	0.05	0.13	0.06	0.63	(0.53)	1.02	(1.08)	3.50
MRHYX	0.12	0.00	0.28	(0.07)	0.14	(0.17)	0.24	(0.24)	0.95
FYAIX	0.23	0.01	0.21	0.00	0.30	(0.23)	0.43	(0.40)	1.44
BXHCX	0.13	0.00	0.26	(0.03)	0.14	(0.19)	0.37	(0.37)	1.00
ABTHX	0.24	(0.01)	0.12	(0.26)	0.34	(0.31)	0.49	(0.59)	1.64
ABTYX	0.24	(0.01)	0.13	(0.20)	0.34	(0.28)	0.50	(0.59)	1.55

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