Hennessy Nerstone Value Fund Market Value
| HICVX Fund | USD 21.44 0.05 0.23% |
| Symbol | Hennessy |
Hennessy Nerstone 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Hennessy Nerstone's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Hennessy Nerstone.
| 11/15/2024 |
| 12/15/2024 |
If you would invest 0.00 in Hennessy Nerstone on November 15, 2024 and sell it all today you would earn a total of 0.00 from holding Hennessy Nerstone Value or generate 0.0% return on investment in Hennessy Nerstone over 30 days. Hennessy Nerstone is related to or competes with California High, Baird Strategic, T Rowe, Bbh Intermediate, Gamco Global, and Alliancebernstein. The fund invests in larger, dividend-paying common stocks by utilizing a quantitative formula known as the Cornerstone V... More
Hennessy Nerstone Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Hennessy Nerstone's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Hennessy Nerstone Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4473 | |||
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 2.65 | |||
| Value At Risk | (0.81) | |||
| Potential Upside | 0.8372 |
Hennessy Nerstone Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hennessy Nerstone's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hennessy Nerstone's standard deviation. In reality, there are many statistical measures that can use Hennessy Nerstone historical prices to predict the future Hennessy Nerstone's volatility.| Risk Adjusted Performance | 0.0039 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.21) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Hennessy Nerstone's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Hennessy Nerstone Value Backtested Returns
Hennessy Nerstone Value holds Efficiency (Sharpe) Ratio of -0.0308, which attests that the entity had a -0.0308% return per unit of risk over the last 3 months. Hennessy Nerstone Value exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hennessy Nerstone's Downside Deviation of 0.4473, market risk adjusted performance of 0.002, and Risk Adjusted Performance of 0.0039 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.55, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Hennessy Nerstone's returns are expected to increase less than the market. However, during the bear market, the loss of holding Hennessy Nerstone is expected to be smaller as well.
Auto-correlation | -0.9 |
Excellent reverse predictability
Hennessy Nerstone Value has excellent reverse predictability. Overlapping area represents the amount of predictability between Hennessy Nerstone time series from 15th of November 2024 to 30th of November 2024 and 30th of November 2024 to 15th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Hennessy Nerstone Value price movement. The serial correlation of -0.9 indicates that approximately 90.0% of current Hennessy Nerstone price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.9 | |
| Spearman Rank Test | -0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Hennessy Nerstone Value lagged returns against current returns
Autocorrelation, which is Hennessy Nerstone mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Hennessy Nerstone's mutual fund expected returns. We can calculate the autocorrelation of Hennessy Nerstone returns to help us make a trade decision. For example, suppose you find that Hennessy Nerstone has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Hennessy Nerstone regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Hennessy Nerstone mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hennessy Nerstone mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hennessy Nerstone mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Hennessy Nerstone Lagged Returns
When evaluating Hennessy Nerstone's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hennessy Nerstone mutual fund have on its future price. Hennessy Nerstone autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Hennessy Nerstone autocorrelation shows the relationship between Hennessy Nerstone mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Hennessy Nerstone Value.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Hennessy Mutual Fund
Hennessy Nerstone financial ratios help investors to determine whether Hennessy Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Hennessy with respect to the benefits of owning Hennessy Nerstone security.
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