PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
JENSX vs. FNDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between JENSX and FNDX is 0.83, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

JENSX vs. FNDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Jensen Quality Growth Fund (JENSX) and Schwab Fundamental U.S. Large Company Index ETF (FNDX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.89%
8.22%
JENSX
FNDX

Key characteristics

Sharpe Ratio

JENSX:

1.10

FNDX:

1.83

Sortino Ratio

JENSX:

1.53

FNDX:

2.55

Omega Ratio

JENSX:

1.20

FNDX:

1.34

Calmar Ratio

JENSX:

2.17

FNDX:

3.18

Martin Ratio

JENSX:

6.39

FNDX:

10.99

Ulcer Index

JENSX:

1.87%

FNDX:

1.87%

Daily Std Dev

JENSX:

10.91%

FNDX:

11.21%

Max Drawdown

JENSX:

-47.93%

FNDX:

-37.71%

Current Drawdown

JENSX:

-2.80%

FNDX:

-4.73%

Returns By Period

In the year-to-date period, JENSX achieves a 11.52% return, which is significantly lower than FNDX's 19.57% return. Over the past 10 years, JENSX has underperformed FNDX with an annualized return of 8.17%, while FNDX has yielded a comparatively higher 14.13% annualized return.


JENSX

YTD

11.52%

1M

-1.11%

6M

4.89%

1Y

12.01%

5Y*

8.89%

10Y*

8.17%

FNDX

YTD

19.57%

1M

-3.66%

6M

8.22%

1Y

20.17%

5Y*

16.43%

10Y*

14.13%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


JENSX vs. FNDX - Expense Ratio Comparison

JENSX has a 0.81% expense ratio, which is higher than FNDX's 0.25% expense ratio.


JENSX
Jensen Quality Growth Fund
Expense ratio chart for JENSX: current value at 0.81% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.81%
Expense ratio chart for FNDX: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

JENSX vs. FNDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Jensen Quality Growth Fund (JENSX) and Schwab Fundamental U.S. Large Company Index ETF (FNDX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for JENSX, currently valued at 1.10, compared to the broader market-1.000.001.002.003.004.001.101.83
The chart of Sortino ratio for JENSX, currently valued at 1.53, compared to the broader market-2.000.002.004.006.008.0010.001.532.55
The chart of Omega ratio for JENSX, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.003.501.201.34
The chart of Calmar ratio for JENSX, currently valued at 2.17, compared to the broader market0.002.004.006.008.0010.0012.0014.002.173.18
The chart of Martin ratio for JENSX, currently valued at 6.39, compared to the broader market0.0020.0040.0060.006.3910.99
JENSX
FNDX

The current JENSX Sharpe Ratio is 1.10, which is lower than the FNDX Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of JENSX and FNDX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.10
1.83
JENSX
FNDX

Dividends

JENSX vs. FNDX - Dividend Comparison

JENSX's dividend yield for the trailing twelve months is around 12.10%, more than FNDX's 1.75% yield.


TTM20232022202120202019201820172016201520142013
JENSX
Jensen Quality Growth Fund
12.10%0.82%0.85%0.64%0.94%1.03%0.99%0.91%1.14%1.29%1.00%0.92%
FNDX
Schwab Fundamental U.S. Large Company Index ETF
1.75%2.72%5.10%2.41%4.72%4.69%4.91%2.63%3.96%3.00%3.13%0.46%

Drawdowns

JENSX vs. FNDX - Drawdown Comparison

The maximum JENSX drawdown since its inception was -47.93%, which is greater than FNDX's maximum drawdown of -37.71%. Use the drawdown chart below to compare losses from any high point for JENSX and FNDX. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.80%
-4.73%
JENSX
FNDX

Volatility

JENSX vs. FNDX - Volatility Comparison

The current volatility for Jensen Quality Growth Fund (JENSX) is 3.22%, while Schwab Fundamental U.S. Large Company Index ETF (FNDX) has a volatility of 3.46%. This indicates that JENSX experiences smaller price fluctuations and is considered to be less risky than FNDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.22%
3.46%
JENSX
FNDX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab