The Jensen Correlations

JENYX Fund

USD 60.47 0.19 0.32%

The current 90-days correlation between Jensen Portfolio and The Jensen Portfolio is 1.0 (i.e., No risk reduction). 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

Modest diversification

The correlation between The Jensen Portfolio and DJI is 0.21 (i.e., Modest 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 manufacturing.

Moving together with The Mutual Fund

0.77

PFE

Pfizer Inc Aggressive Push

Pair Corr

Moving against The Mutual Fund

0.67	KINAX	Kinetics Internet	Pair Corr
0.67	KINCX	Kinetics Internet	Pair Corr
0.61	KNPCX	Kinetics Paradigm Steady Growth	Pair Corr
0.61	WWNPX	Kinetics Paradigm Steady Growth	Pair Corr
0.61	KNPAX	Kinetics Paradigm Steady Growth	Pair Corr
0.6	LSHUX	Horizon Spin Off Steady Growth	Pair Corr
0.58	KSOCX	Kinetics Small Cap	Pair Corr
0.58	KSCYX	Kinetics Small Cap	Pair Corr
0.58	KSCOX	Kinetics Small Cap	Pair Corr
0.41	VTSAX	Vanguard Total Stock	Pair Corr
0.41	VTSMX	Vanguard Total Stock	Pair Corr
0.41	VITSX	Vanguard Total Stock	Pair Corr
0.41	VSMPX	Vanguard Total Stock	Pair Corr
0.41	VSTSX	Vanguard Total Stock	Pair Corr
0.37	VFIAX	Vanguard 500 Index	Pair Corr
0.37	VFINX	Vanguard 500 Index	Pair Corr
0.37	VFFSX	Vanguard 500 Index	Pair Corr
0.37	VINIX	Vanguard Institutional	Pair Corr
0.37	VIIIX	Vanguard Institutional	Pair Corr
0.74	DIS	Walt Disney Sell-off Trend	Pair Corr
0.67	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.62	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.56	WMT	Walmart Aggressive Push	Pair Corr
0.46	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.43	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.32	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr

Related Correlations Analysis

	JENIX	PDGIX	CIPIX	MIGNX	HDGFX
JENIX		-0.3	-0.52	-0.16	-0.33	JENIX
PDGIX	-0.3		0.73	0.88	0.92	PDGIX
CIPIX	-0.52	0.73		0.7	0.78	CIPIX
MIGNX	-0.16	0.88	0.7		0.95	MIGNX
HDGFX	-0.33	0.92	0.78	0.95		HDGFX
	JENIX	PDGIX	CIPIX	MIGNX	HDGFX

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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

HDGFX	+ 0.95	MIGNX
HDGFX	+ 0.92	PDGIX
MIGNX	+ 0.88	PDGIX
HDGFX	+ 0.78	CIPIX
CIPIX	+ 0.73	PDGIX
MIGNX	+ 0.7	CIPIX

High negative correlations

CIPIX	- 0.52	JENIX
HDGFX	- 0.33	JENIX
PDGIX	- 0.3	JENIX
MIGNX	- 0.16	JENIX

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
JENIX	0.68	(0.16)	0.00	(0.29)	0.00	0.00	1.07	(1.23)	11.50
PDGIX	0.46	0.06	(0.11)	2.56	0.44	(0.51)	0.99	(0.92)	2.87
CIPIX	0.65	0.02	0.01	0.15	0.69	(0.69)	1.23	(1.27)	4.04
MIGNX	0.48	0.08	(0.06)	1.23	0.53	(0.54)	1.08	(1.02)	4.03
HDGFX	0.41	0.06	(0.12)	2.10	0.35	(0.44)	0.84	(0.77)	2.60

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