Hennessy Japan Correlations

HJPIX Fund

USD 43.93 0.14 0.32%

The current 90-days correlation between Hennessy Japan and Hennessy Japan Fund is 1.0 (i.e., No risk reduction). The correlation of Hennessy Japan 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 Japan Correlation With Market

Very weak diversification

The correlation between Hennessy Japan Fund and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Japan Fund 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 Japan Fund. 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 gross domestic product.

Moving together with Hennessy Mutual Fund

1.0	HJPNX	Hennessy Japan	Pair Corr
0.61	HJPSX	Hennessy Japan Small	Pair Corr
0.72	FJPNX	Fidelity Japan	Pair Corr
0.71	FIQLX	Fidelity Japan	Pair Corr
0.87	MJFOX	Matthews Japan	Pair Corr
0.87	MIJFX	Matthews Japan	Pair Corr
0.65	FSJPX	Fidelity Sai Japan	Pair Corr
0.72	FJPIX	Fidelity Japan	Pair Corr

Related Correlations Analysis

	HJPNX	HJPSX	MIJFX	MIDNX	HJSIX
HJPNX		0.59	0.86	0.24	0.59	HJPNX
HJPSX	0.59		0.85	-0.3	1.0	HJPSX
MIJFX	0.86	0.85		-0.09	0.85	MIJFX
MIDNX	0.24	-0.3	-0.09		-0.31	MIDNX
HJSIX	0.59	1.0	0.85	-0.31		HJSIX
	HJPNX	HJPSX	MIJFX	MIDNX	HJSIX

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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

HJSIX	+ 1.0	HJPSX
MIJFX	+ 0.86	HJPNX
MIJFX	+ 0.85	HJPSX
HJSIX	+ 0.85	MIJFX
HJPSX	+ 0.59	HJPNX
HJSIX	+ 0.59	HJPNX

High negative correlations

HJSIX	- 0.31	MIDNX
MIDNX	- 0.3	HJPSX
MIDNX	- 0.09	MIJFX

Risk-Adjusted Indicators

There is a big difference between Hennessy Mutual Fund performing well and Hennessy Japan 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 Japan'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
HJPNX	0.76	0.02	0.00	(0.04)	0.00	0.00	1.34	(1.90)	4.15
HJPSX	0.62	0.08	0.14	0.12	0.75	(0.63)	1.40	(1.38)	3.36
MIJFX	0.78	0.06	0.07	0.02	1.05	(0.83)	1.78	(1.43)	5.18
MIDNX	1.03	(0.34)	0.00	(1.38)	0.00	0.00	1.67	(2.03)	14.59
HJSIX	0.62	0.08	0.14	0.12	0.73	(0.65)	1.42	(1.34)	3.47

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