Jensen Global Correlations

JGQYX Fund

USD 17.10 0.02 0.12%

The current 90-days correlation between Jensen Global Quality and T Rowe Price is 0.84 (i.e., Very poor diversification). The correlation of Jensen Global 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 Global Correlation With Market

Poor diversification

The correlation between Jensen Global Quality and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Jensen Global Quality 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 Global Quality. 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 Jensen Mutual Fund

1.0	JGQSX	Jensen Global Quality	Pair Corr
1.0	JGQIX	Jensen Global Quality	Pair Corr
0.64	JNVIX	Jensen Quality Value	Pair Corr
0.65	JNVSX	Jensen Quality Value	Pair Corr
0.64	JNVYX	Jensen Quality Value	Pair Corr
0.84	FNFPX	American Funds New	Pair Corr
0.85	FFPNX	American Funds New	Pair Corr
0.86	NPFCX	New Perspective	Pair Corr
0.85	ANWPX	New Perspective	Pair Corr
0.85	NPFFX	New Perspective	Pair Corr
0.85	CNPAX	New Perspective	Pair Corr
0.85	CNPEX	New Perspective	Pair Corr
0.85	CNPFX	New Perspective	Pair Corr
0.86	CNPCX	New Perspective	Pair Corr
0.86	RNPAX	New Perspective	Pair Corr
0.72	PARAX	T Rowe Price	Pair Corr
0.74	AMRCX	American Growth	Pair Corr
0.73	SBCPX	Qs Defensive Growth	Pair Corr

Related Correlations Analysis

	PAWAX	TADGX	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF	VIASP
PAWAX		0.86	-0.68	0.0	-0.17	0.7	0.64	0.01	-0.51	0.53	PAWAX
TADGX	0.86		-0.44	0.0	-0.18	0.73	0.59	0.22	-0.37	0.31	TADGX
444859BR2	-0.68	-0.44		0.0	0.22	-0.53	-0.54	-0.03	0.41	-0.41	444859BR2
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.17	-0.18	0.22	0.0		-0.45	-0.35	-0.4	-0.04	0.1	BRRAY
MSTSX	0.7	0.73	-0.53	0.0	-0.45		0.67	0.34	-0.02	-0.08	MSTSX
LBHIX	0.64	0.59	-0.54	0.0	-0.35	0.67		0.51	-0.29	0.22	LBHIX
ABHYX	0.01	0.22	-0.03	0.0	-0.4	0.34	0.51		-0.05	-0.17	ABHYX
SCAXF	-0.51	-0.37	0.41	0.0	-0.04	-0.02	-0.29	-0.05		-0.8	SCAXF
VIASP	0.53	0.31	-0.41	0.0	0.1	-0.08	0.22	-0.17	-0.8		VIASP
	PAWAX	TADGX	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF	VIASP

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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

TADGX	+ 0.86	PAWAX
MSTSX	+ 0.73	TADGX
MSTSX	+ 0.7	PAWAX
LBHIX	+ 0.67	MSTSX
LBHIX	+ 0.64	PAWAX
LBHIX	+ 0.59	TADGX

High negative correlations

VIASP	- 0.8	SCAXF
444859BR2	- 0.68	PAWAX
LBHIX	- 0.54	444859BR2
MSTSX	- 0.53	444859BR2
SCAXF	- 0.51	PAWAX
MSTSX	- 0.45	BRRAY

Risk-Adjusted Indicators

There is a big difference between Jensen Mutual Fund performing well and Jensen Global 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 Global'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
PAWAX	0.56	(0.01)	(0.03)	0.11	0.67	(0.61)	1.08	(1.61)	3.74
TADGX	0.48	(0.04)	(0.12)	0.07	0.52	(0.50)	0.99	(0.94)	2.87
444859BR2	1.35	(0.09)	0.00	(0.14)	0.00	0.00	5.93	(5.79)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.13)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	(0.04)	(0.13)	0.06	0.52	(0.61)	1.21	(1.02)	2.80
LBHIX	0.11	0.01	(0.42)	0.38	0.00	(0.29)	0.24	(0.24)	0.96
ABHYX	0.17	0.00	(0.24)	0.19	0.25	(0.24)	0.34	(0.33)	1.91
SCAXF	0.70	(0.41)	0.00	(0.98)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.07	(0.04)	(2.04)	1.13	(0.80)	2.28	(1.20)	7.18

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