The Jensen Correlations
| JENSX Fund | USD 59.74 0.15 0.25% |
The current 90-days correlation between Jensen Portfolio and Clipper Fund Inc is 0.26 (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
Average diversification
The correlation between The Jensen Portfolio and DJI is 0.19 (i.e., Average 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.
The |
Moving together with The Mutual Fund
| 1.0 | JENIX | Jensen Portfolio | PairCorr |
| 1.0 | JENRX | Jensen Portfolio | PairCorr |
| 1.0 | JENYX | Jensen Portfolio | PairCorr |
| 0.93 | JNVIX | Jensen Quality Value | PairCorr |
| 0.93 | JNVSX | Jensen Quality Value | PairCorr |
| 0.93 | JNVYX | Jensen Quality Value | PairCorr |
| 0.63 | SMPIX | Semiconductor Ultrasector Steady Growth | PairCorr |
Moving against The Mutual Fund
| 0.47 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.42 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.42 | VITSX | Vanguard Total Stock | PairCorr |
| 0.42 | VSMPX | Vanguard Total Stock | PairCorr |
| 0.42 | VSTSX | Vanguard Total Stock | PairCorr |
| 0.42 | VFINX | Vanguard 500 Index | PairCorr |
| 0.42 | VFFSX | Vanguard 500 Index | PairCorr |
| 0.41 | VTSMX | Vanguard Total Stock | PairCorr |
| 0.54 | PHIKX | Columbia Convertible | PairCorr |
| 0.42 | FXAIX | Fidelity 500 Index | PairCorr |
| 0.41 | MKHCX | Mainstay High Yield | PairCorr |
| 0.41 | UPAAX | Upright Assets Allocation Steady Growth | PairCorr |
| 0.4 | PHYZX | Prudential High Yield | PairCorr |
Related Correlations Analysis
| 0.83 | -0.75 | 0.94 | 0.72 | CFIMX | ||
| 0.83 | -0.77 | 0.77 | 0.71 | PRBLX | ||
| -0.75 | -0.77 | -0.63 | -0.67 | BJBIX | ||
| 0.94 | 0.77 | -0.63 | 0.75 | MPGFX | ||
| 0.72 | 0.71 | -0.67 | 0.75 | SSHFX | ||
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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
| High negative correlations
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CFIMX | 0.78 | (0.05) | 0.00 | (0.09) | 0.00 | 1.18 | 12.43 | |||
| PRBLX | 0.75 | (0.10) | 0.00 | (0.22) | 0.00 | 1.18 | 9.89 | |||
| BJBIX | 0.94 | 0.10 | 0.06 | 1.02 | 1.10 | 2.51 | 5.43 | |||
| MPGFX | 0.64 | (0.02) | (0.03) | (0.02) | 1.05 | 1.35 | 6.44 | |||
| SSHFX | 0.86 | (0.26) | 0.00 | (0.40) | 0.00 | 1.08 | 22.59 |