Jensen Quality Correlations

JNVSX Fund

USD 18.88 0.17 0.91%

The current 90-days correlation between Jensen Quality Value and Applied Finance Explorer is 0.16 (i.e., Average 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 0.57 (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 state.

Moving together with Jensen Mutual Fund

0.86	JENIX	Jensen Portfolio	Pair Corr
0.87	JENRX	Jensen Portfolio	Pair Corr
0.86	JENSX	Jensen Portfolio	Pair Corr
0.86	JENYX	Jensen Portfolio	Pair Corr
1.0	JNVIX	Jensen Quality Value	Pair Corr
1.0	JNVYX	Jensen Quality Value	Pair Corr
0.87	VIMAX	Vanguard Mid Cap	Pair Corr
0.87	VIMSX	Vanguard Mid Cap	Pair Corr
0.89	VMCPX	Vanguard Mid Cap	Pair Corr
0.89	VMCIX	Vanguard Mid Cap	Pair Corr
0.88	VEXAX	Vanguard Extended Market	Pair Corr
0.88	VEMPX	Vanguard Extended Market	Pair Corr
0.84	VIEIX	Vanguard Extended Market	Pair Corr
0.88	VSEMX	Vanguard Extended Market	Pair Corr
0.88	VEXMX	Vanguard Extended Market	Pair Corr
0.88	FSMAX	Fidelity Extended Market	Pair Corr
0.63	RYVLX	Nasdaq 100 2x	Pair Corr
0.63	RYVYX	Nasdaq 100 2x	Pair Corr
0.73	RYCCX	Nasdaq 100 2x	Pair Corr
0.75	BIPIX	Biotechnology Ultrasector	Pair Corr

Moving against Jensen Mutual Fund

0.55	SNPIX	Short Oil Gas	Pair Corr
0.45	DHEYX	Diamond Hill Short	Pair Corr

Related Correlations Analysis

	AFDVX	SMVLX	HRMDX	BHBFX	CIPMX
AFDVX		0.84	0.91	0.82	0.93	AFDVX
SMVLX	0.84		0.79	0.61	0.78	SMVLX
HRMDX	0.91	0.79		0.93	0.95	HRMDX
BHBFX	0.82	0.61	0.93		0.9	BHBFX
CIPMX	0.93	0.78	0.95	0.9		CIPMX
	AFDVX	SMVLX	HRMDX	BHBFX	CIPMX

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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	Treynor Ratio	Potential Upside	Value @Risk	Maximum Drawdown
AFDVX	0.71	(0.14)	9.23	1.44	(1.46)	5.36
SMVLX	0.70	(0.07)	(0.12)	1.12	(1.46)	4.14
HRMDX	0.65	(0.13)	(0.26)	1.02	(1.14)	5.05
BHBFX	0.72	(0.15)	(0.31)	1.10	(1.17)	11.63
CIPMX	0.79	(0.16)	(0.30)	1.24	(1.21)	11.89

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