The Jensen Correlations

JENRX Fund

USD 59.39 0.15 0.25%

The current 90-days correlation between Jensen Portfolio and Transamerica International Equity is 0.28 (i.e., Modest 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

Significant diversification

The correlation between The Jensen Portfolio and DJI is 0.07 (i.e., Significant 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

0.91	JENIX	Jensen Portfolio	Pair Corr
0.91	JENSX	Jensen Portfolio	Pair Corr
0.91	JENYX	Jensen Portfolio	Pair Corr
0.78	JNVIX	Jensen Quality Value	Pair Corr
0.86	JNVSX	Jensen Quality Value	Pair Corr
0.78	JNVYX	Jensen Quality Value	Pair Corr

Moving against The Mutual Fund

0.59	HGOYX	Hartford Growth	Pair Corr
0.4	PHIKX	Columbia Convertible	Pair Corr

Related Correlations Analysis

	TRWIX	LEQCX	ARTNX	QLENX	SEHAX	DDCFX	ABPYX
TRWIX		0.04	0.54	-0.38	0.62	0.73	0.77	TRWIX
LEQCX	0.04		0.65	0.63	0.47	0.53	0.31	LEQCX
ARTNX	0.54	0.65		0.09	0.87	0.68	0.82	ARTNX
QLENX	-0.38	0.63	0.09		-0.23	-0.08	-0.36	QLENX
SEHAX	0.62	0.47	0.87	-0.23		0.74	0.85	SEHAX
DDCFX	0.73	0.53	0.68	-0.08	0.74		0.74	DDCFX
ABPYX	0.77	0.31	0.82	-0.36	0.85	0.74		ABPYX
	TRWIX	LEQCX	ARTNX	QLENX	SEHAX	DDCFX	ABPYX

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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

SEHAX	+ 0.87	ARTNX
ABPYX	+ 0.85	SEHAX
ABPYX	+ 0.82	ARTNX
ABPYX	+ 0.77	TRWIX
DDCFX	+ 0.74	SEHAX
ABPYX	+ 0.74	DDCFX

High negative correlations

QLENX	- 0.38	TRWIX
ABPYX	- 0.36	QLENX
SEHAX	- 0.23	QLENX
DDCFX	- 0.08	QLENX

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
TRWIX	0.67	(0.02)	0.00	(0.42)	0.00	0.00	1.68	(1.76)	5.26
LEQCX	0.44	0.06	0.06	0.46	0.45	(0.47)	0.95	(0.78)	2.97
ARTNX	0.58	0.07	0.05	1.26	0.67	(0.70)	1.24	(1.09)	5.16
QLENX	0.41	0.17	0.26	(2.67)	0.00	(0.50)	1.03	(0.63)	2.89
SEHAX	0.70	0.00	(0.02)	0.08	1.99	(0.57)	1.40	(1.37)	11.56
DDCFX	0.20	(0.01)	0.00	(1.80)	0.00	0.00	0.66	(0.44)	1.42
ABPYX	0.44	(0.01)	(0.06)	(0.08)	0.63	(0.44)	0.91	(1.30)	2.42

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