Hennessy Small Correlations

HISFX Fund

USD 18.07 0.08 0.44%

The current 90-days correlation between Hennessy Small Cap and HUMANA INC is 0.07 (i.e., Significant diversification). The correlation of Hennessy Small 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.

Hennessy Small Correlation With Market

Poor diversification

The correlation between Hennessy Small Cap and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Small Cap 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 Hennessy Small Cap. 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 census.

Moving together with Hennessy Mutual Fund

0.91	HICGX	Hennessy Nerstone Growth	Pair Corr
0.72	HICVX	Hennessy Nerstone Value	Pair Corr
0.82	HIMDX	Hennessy Nerstone Mid Steady Growth	Pair Corr
0.97	HILFX	Hennessy Large Cap	Pair Corr
0.65	HILGX	Hennessy Nerstone Large	Pair Corr
0.97	HLFNX	Hennessy Large Cap	Pair Corr
0.9	HMSFX	Hennessy Bp Midstream	Pair Corr
0.9	HMSIX	Hennessy Bp Midstream	Pair Corr
0.72	HNRGX	Hennessy Bp Energy	Pair Corr
0.72	HNRIX	Hennessy Bp Energy	Pair Corr
1.0	HSFNX	Hennessy Small Cap	Pair Corr
0.83	HTECX	Hennessy Technology	Pair Corr
0.83	HTCIX	Hennessy Technology	Pair Corr
0.9	HEIFX	Hennessy Equity And	Pair Corr
0.9	HEIIX	Hennessy Equity And	Pair Corr
0.86	GASFX	Hennessy Gas Utility	Pair Corr
0.72	HFCVX	Hennessy Nerstone Value	Pair Corr
0.91	HFCGX	Hennessy Nerstone Growth	Pair Corr
0.64	HFLGX	Hennessy Nerstone Large	Pair Corr
0.82	HFMDX	Hennessy Nerstone Mid Steady Growth	Pair Corr
0.86	HGASX	Hennessy Gas Utility	Pair Corr
0.96	VFAIX	Vanguard Financials Index	Pair Corr
1.0	FRBCX	Regional Bank	Pair Corr
0.94	JRGRX	Regional Bank	Pair Corr
0.9	PRISX	T Rowe Price	Pair Corr
0.96	FIDCX	Financial Industries	Pair Corr
0.96	JFDRX	Financial Industries	Pair Corr
0.9	TFIFX	T Rowe Price	Pair Corr
0.95	DVFYX	Davis Financial	Pair Corr
0.95	RPFGX	Davis Financial	Pair Corr
0.95	DFFCX	Davis Financial	Pair Corr

Moving against Hennessy Mutual Fund

0.44	HJPNX	Hennessy Japan	Pair Corr
0.43	HJPIX	Hennessy Japan	Pair Corr
0.32	HJPSX	Hennessy Japan Small	Pair Corr
0.31	HJSIX	Hennessy Japan Small	Pair Corr
0.77	KF	Korea Closed	Pair Corr
0.52	BRUFX	Bruce Fund Bruce	Pair Corr

Related Correlations Analysis

	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF
444859BR2		0.0	0.22	-0.53	-0.54	-0.03	0.41	444859BR2
AQUI	0.0		0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	0.22	0.0		-0.45	-0.35	-0.4	-0.04	BRRAY
MSTSX	-0.53	0.0	-0.45		0.67	0.34	-0.02	MSTSX
LBHIX	-0.54	0.0	-0.35	0.67		0.51	-0.29	LBHIX
ABHYX	-0.03	0.0	-0.4	0.34	0.51		-0.05	ABHYX
SCAXF	0.41	0.0	-0.04	-0.02	-0.29	-0.05		SCAXF
	444859BR2	AQUI	BRRAY	MSTSX	LBHIX	ABHYX	SCAXF

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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

LBHIX	+ 0.67	MSTSX
ABHYX	+ 0.51	LBHIX
SCAXF	+ 0.41	444859BR2
ABHYX	+ 0.34	MSTSX
BRRAY	+ 0.22	444859BR2
AQUI	+ 0.0	444859BR2

High negative correlations

LBHIX	- 0.54	444859BR2
MSTSX	- 0.53	444859BR2
MSTSX	- 0.45	BRRAY
ABHYX	- 0.4	BRRAY
LBHIX	- 0.35	BRRAY
SCAXF	- 0.29	LBHIX

Risk-Adjusted Indicators

There is a big difference between Hennessy Mutual Fund performing well and Hennessy Small 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 Hennessy Small'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
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

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