The Jensen Correlations

JENSX Fund

USD 59.65 0.15 0.25%

The current 90-days correlation between Jensen Portfolio and Clipper Fund Inc is 0.05 (i.e., Significant 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

Weak diversification

The correlation between The Jensen Portfolio and DJI is 0.35 (i.e., Weak 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 state.

Moving together with The Mutual Fund

0.9	JENIX	Jensen Portfolio	Pair Corr
1.0	JENRX	Jensen Portfolio	Pair Corr
1.0	JENYX	Jensen Portfolio	Pair Corr
0.79	JNVIX	Jensen Quality Value	Pair Corr
0.9	JNVSX	Jensen Quality Value	Pair Corr
0.79	JNVYX	Jensen Quality Value	Pair Corr
0.67	VTISX	Vanguard Total Inter	Pair Corr
0.67	VTSNX	Vanguard Total Inter	Pair Corr
0.67	VTPSX	Vanguard Total Inter	Pair Corr

Moving against The Mutual Fund

0.34	VITSX	Vanguard Total Stock	Pair Corr
0.31	VFIAX	Vanguard 500 Index	Pair Corr
0.31	VFINX	Vanguard 500 Index	Pair Corr
0.48	FSLBX	Brokerage And Investment	Pair Corr
0.43	DPG	Duff And Phelps	Pair Corr
0.37	GRSPX	Greenspring Fund Retail	Pair Corr
0.39	LEOIX	Lazard Enhanced Oppo	Pair Corr
0.39	SMERX	Invesco Small Cap	Pair Corr
0.36	LTFOX	Lord Abbett Affiliated	Pair Corr
0.36	VSMVX	Vanguard Sp Small	Pair Corr
0.31	FXAIX	Fidelity 500 Index	Pair Corr

Related Correlations Analysis

	CFIMX	PRBLX	BJBIX	MPGFX	SSHFX
CFIMX		0.9	0.62	0.96	0.97	CFIMX
PRBLX	0.9		0.58	0.96	0.92	PRBLX
BJBIX	0.62	0.58		0.67	0.58	BJBIX
MPGFX	0.96	0.96	0.67		0.96	MPGFX
SSHFX	0.97	0.92	0.58	0.96		SSHFX
	CFIMX	PRBLX	BJBIX	MPGFX	SSHFX

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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	0.69	0.13	(0.01)	(0.64)	0.77	(0.71)	1.54	(1.12)	5.22
PRBLX	0.56	0.06	(0.07)	(1.65)	0.69	(0.56)	1.15	(1.44)	3.75
BJBIX	0.94	0.12	(0.01)	(0.62)	1.10	(1.03)	2.51	(2.12)	5.43
MPGFX	0.58	0.07	(0.06)	(1.36)	0.70	(0.56)	1.17	(1.31)	4.78
SSHFX	0.54	0.10	(0.04)	(2.04)	0.42	(0.62)	1.15	(0.83)	3.39

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