Correlation Between Jensen Global and Jensen Quality
Can any of the company-specific risk be diversified away by investing in both Jensen Global and Jensen Quality at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Jensen Global and Jensen Quality into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jensen Global Quality and Jensen Quality Value, you can compare the effects of market volatilities on Jensen Global and Jensen Quality and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Jensen Global with a short position of Jensen Quality. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jensen Global and Jensen Quality.
Diversification Opportunities for Jensen Global and Jensen Quality
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Jensen and Jensen is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Jensen Global Quality and Jensen Quality Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jensen Quality Value and Jensen Global is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Jensen Global Quality are associated (or correlated) with Jensen Quality. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jensen Quality Value has no effect on the direction of Jensen Global i.e., Jensen Global and Jensen Quality go up and down completely randomly.
Pair Corralation between Jensen Global and Jensen Quality
Assuming the 90 days horizon Jensen Global Quality is expected to generate 0.85 times more return on investment than Jensen Quality. However, Jensen Global Quality is 1.18 times less risky than Jensen Quality. It trades about 0.06 of its potential returns per unit of risk. Jensen Quality Value is currently generating about 0.05 per unit of risk. If you would invest 1,356 in Jensen Global Quality on August 26, 2024 and sell it today you would earn a total of 336.00 from holding Jensen Global Quality or generate 24.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jensen Global Quality vs. Jensen Quality Value
Performance |
| Timeline |
| Jensen Global Quality |
| Jensen Quality Value |
Jensen Global and Jensen Quality Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jensen Global and Jensen Quality
The main advantage of trading using opposite Jensen Global and Jensen Quality positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jensen Global position performs unexpectedly, Jensen Quality can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Jensen Quality will offset losses from the drop in Jensen Quality's long position.| Jensen Global vs. The Jensen Portfolio | Jensen Global vs. The Jensen Portfolio | Jensen Global vs. The Jensen Portfolio | Jensen Global vs. The Jensen Portfolio |
| Jensen Quality vs. Jensen Global Quality | Jensen Quality vs. Jensen Global Quality | Jensen Quality vs. Jensen Global Quality | Jensen Quality vs. The Jensen Portfolio |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Other Complementary Tools
| Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance |