Jensen Quality Correlations

JNVYX Fund

USD 19.24 0.02 0.10%

The current 90-days correlation between Jensen Quality Value and Touchstone Small Cap is 0.27 (i.e., Modest 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

Average diversification

The correlation between Jensen Quality Value and DJI is 0.18 (i.e., Average 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 manufacturing.

Moving together with Jensen Mutual Fund

0.75	JENIX	Jensen Portfolio	Pair Corr
0.78	JENRX	Jensen Portfolio	Pair Corr
0.75	JENSX	Jensen Portfolio	Pair Corr
0.75	JENYX	Jensen Portfolio	Pair Corr
1.0	JNVIX	Jensen Quality Value	Pair Corr
0.83	JNVSX	Jensen Quality Value	Pair Corr
0.78	VTISX	Vanguard Total Inter	Pair Corr
0.75	VTSNX	Vanguard Total Inter	Pair Corr
0.78	VTPSX	Vanguard Total Inter	Pair Corr

Moving against Jensen Mutual Fund

0.46	BTCRX	Vest Bitcoin Strategy	Pair Corr
0.44	DBPIX	Deutsche Short Duration	Pair Corr

Related Correlations Analysis

	TVOYX	FCSGX	KSCYX	GSMVX	RRSVX	GLVIX
TVOYX		0.68	0.82	0.85	0.85	0.35	TVOYX
FCSGX	0.68		0.46	0.89	0.95	0.39	FCSGX
KSCYX	0.82	0.46		0.62	0.6	0.12	KSCYX
GSMVX	0.85	0.89	0.62		0.97	0.25	GSMVX
RRSVX	0.85	0.95	0.6	0.97		0.38	RRSVX
GLVIX	0.35	0.39	0.12	0.25	0.38		GLVIX
	TVOYX	FCSGX	KSCYX	GSMVX	RRSVX	GLVIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
TVOYX	0.82	(0.01)	(0.03)	0.02	0.96	(0.99)	1.56	(1.59)	9.38
FCSGX	0.91	0.14	0.08	1.07	1.13	(0.96)	1.89	(1.50)	9.09
KSCYX	1.64	0.22	0.09	0.28	2.29	(1.64)	3.29	(4.04)	16.43
GSMVX	0.83	0.07	0.03	0.78	1.01	(0.92)	1.68	(1.80)	8.43
RRSVX	0.86	0.09	0.05	0.46	0.98	(1.04)	1.69	(1.66)	10.30
GLVIX	0.77	0.09	0.05	0.33	0.93	(0.83)	1.53	(1.37)	5.26

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC