Hennessy Correlations

HMSFX Fund

USD 13.57 0.18 1.34%

The current 90-days correlation between Hennessy Bp Midstream and Cohen Steers Mlp is 0.8 (i.e., Very poor diversification). The correlation of Hennessy 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 Correlation With Market

Very weak diversification

The correlation between Hennessy Bp Midstream and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Bp Midstream 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 Bp Midstream. 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

1.0	HMSIX	Hennessy Bp Midstream	Pair Corr
0.92	HNRGX	Hennessy Bp Energy	Pair Corr
0.92	HNRIX	Hennessy Bp Energy	Pair Corr
0.79	GASFX	Hennessy Gas Utility	Pair Corr
0.78	HGASX	Hennessy Gas Utility	Pair Corr
0.97	TORCX	Tortoise Mlp Pipeline	Pair Corr
0.98	MLPTX	Oppenheimer Steelpath Mlp	Pair Corr
0.98	OSPSX	Oppenheimer Steelpath Mlp	Pair Corr
0.91	MLPZX	Oppenheimer Steelpath Mlp	Pair Corr
0.91	OSPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.92	MLPDX	Oppenheimer Steelpath Mlp	Pair Corr
0.92	MLPRX	Oppenheimer Steelpath Mlp	Pair Corr
0.96	GMLPX	Goldman Sachs Mlp	Pair Corr
0.96	GLPIX	Goldman Sachs Mlp	Pair Corr
0.96	GLPRX	Goldman Sachs Mlp	Pair Corr

Moving against Hennessy Mutual Fund

0.51	TCTGX	Transamerica Cleartrack	Pair Corr
0.51	TDKTX	Cleartrack 2015 Class	Pair Corr
0.51	TCTJX	Transamerica Cleartrack	Pair Corr
0.43	TCSUX	Cleartrack 2020 Class	Pair Corr

Related Correlations Analysis

	MLOAX	VLPAX	HNRGX	HMSIX	EGLAX
MLOAX		0.87	0.74	0.56	0.63	MLOAX
VLPAX	0.87		0.9	0.87	0.91	VLPAX
HNRGX	0.74	0.9		0.92	0.94	HNRGX
HMSIX	0.56	0.87	0.92		0.99	HMSIX
EGLAX	0.63	0.91	0.94	0.99		EGLAX
	MLOAX	VLPAX	HNRGX	HMSIX	EGLAX

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Risk-Adjusted Indicators

There is a big difference between Hennessy Mutual Fund performing well and Hennessy 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'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
MLOAX	0.85	0.02	0.03	0.00	1.21	(0.86)	1.59	(2.44)	5.31
VLPAX	1.04	0.10	0.08	0.11	1.36	(1.10)	1.97	(2.08)	6.14
HNRGX	0.89	0.12	0.09	0.17	1.31	(0.84)	1.80	(2.30)	5.81
HMSIX	1.05	0.16	0.12	0.22	1.32	(1.11)	1.87	(2.15)	6.49
EGLAX	1.09	0.15	0.11	0.19	1.37	(1.13)	2.00	(1.94)	6.42

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