Hennessy Correlations

HMSIX Fund

USD 12.90 0.22 1.74%

The current 90-days correlation between Hennessy Bp Midstream and Jp Morgan Smartretirement is 0.81 (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

Poor diversification

The correlation between Hennessy Bp Midstream and DJI is 0.78 (i.e., Poor 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 gross domestic product.

Moving together with Hennessy Mutual Fund

0.73	HICGX	Hennessy Nerstone Growth	Pair Corr
0.85	HICVX	Hennessy Nerstone Value	Pair Corr
0.75	HIMDX	Hennessy Nerstone Mid	Pair Corr
0.71	HILFX	Hennessy Large Cap	Pair Corr
0.83	HILGX	Hennessy Nerstone Large	Pair Corr
0.74	HISFX	Hennessy Small Cap	Pair Corr
0.67	HJPIX	Hennessy Japan	Pair Corr
0.67	HJPNX	Hennessy Japan	Pair Corr
0.71	HLFNX	Hennessy Large Cap	Pair Corr
1.0	HMSFX	Hennessy Bp Midstream	Pair Corr
0.89	HNRGX	Hennessy Bp Energy	Pair Corr
0.97	HNRIX	Hennessy Bp Energy	Pair Corr
0.74	HSFNX	Hennessy Small Cap	Pair Corr
0.69	HBFBX	Hennessy Balanced	Pair Corr
0.7	HTECX	Hennessy Technology	Pair Corr
0.7	HTCIX	Hennessy Technology	Pair Corr
0.68	HDOGX	Hennessy Total Return	Pair Corr
0.76	HEIFX	Hennessy Equity And	Pair Corr
0.82	HEIIX	Hennessy Equity And	Pair Corr
0.71	HFCSX	Hennessy Focus	Pair Corr
0.85	HFCVX	Hennessy Nerstone Value	Pair Corr
0.73	HFCGX	Hennessy Nerstone Growth	Pair Corr
0.71	HFCIX	Hennessy Focus	Pair Corr
0.83	HFLGX	Hennessy Nerstone Large	Pair Corr
0.75	HFMDX	Hennessy Nerstone Mid	Pair Corr
0.87	TORCX	Tortoise Mlp Pipeline	Pair Corr
0.99	MLPTX	Oppenheimer Steelpath Mlp	Pair Corr
0.99	OSPSX	Oppenheimer Steelpath Mlp	Pair Corr
0.9	MLPZX	Oppenheimer Steelpath Mlp	Pair Corr
0.99	OSPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.99	MLPDX	Oppenheimer Steelpath Mlp	Pair Corr
0.98	MLPRX	Oppenheimer Steelpath Mlp	Pair Corr
0.99	GMLPX	Goldman Sachs Mlp	Pair Corr
0.99	GLPIX	Goldman Sachs Mlp	Pair Corr
0.99	GLPRX	Goldman Sachs Mlp	Pair Corr

Moving against Hennessy Mutual Fund

0.65	QCMMIX	Cref Money Market	Pair Corr
0.58	PSHYX	Pioneer Short Term	Pair Corr
0.52	MIDSX	Midas Fund Midas	Pair Corr
0.42	PMPIX	Precious Metals Ultr	Pair Corr
0.42	PMPSX	Precious Metals Ultr	Pair Corr
0.41	FGADX	Franklin Gold Precious	Pair Corr
0.39	RGVJX	Us Government Securities	Pair Corr

Related Correlations Analysis

	JTSQX	TCTZX	RRTBX	SAWMX	USCRX	MXHRX	FHRVX
JTSQX		0.88	0.99	0.96	0.98	0.9	0.79	JTSQX
TCTZX	0.88		0.9	0.91	0.89	0.98	0.97	TCTZX
RRTBX	0.99	0.9		0.98	0.99	0.91	0.84	RRTBX
SAWMX	0.96	0.91	0.98		0.98	0.92	0.87	SAWMX
USCRX	0.98	0.89	0.99	0.98		0.89	0.83	USCRX
MXHRX	0.9	0.98	0.91	0.92	0.89		0.94	MXHRX
FHRVX	0.79	0.97	0.84	0.87	0.83	0.94		FHRVX
	JTSQX	TCTZX	RRTBX	SAWMX	USCRX	MXHRX	FHRVX

Click cells to compare fundamentals

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Backtest Portfolio

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
JTSQX	0.98	0.08	0.00	(0.02)	0.00	0.00	1.66	(2.22)	10.40
TCTZX	0.48	(0.01)	0.14	0.20	0.69	(0.50)	0.75	(1.13)	4.57
RRTBX	0.53	0.04	0.00	(0.02)	0.00	0.00	0.94	(1.03)	5.07
SAWMX	0.56	0.05	0.11	0.00	0.96	(0.55)	1.08	(1.03)	4.92
USCRX	0.64	0.07	0.11	0.00	0.98	(0.64)	1.22	(1.37)	6.49
MXHRX	0.73	(0.04)	0.00	0.56	0.00	0.00	1.26	(1.47)	7.16
FHRVX	0.41	0.00	0.18	(0.04)	0.60	(0.41)	0.72	(1.00)	3.85

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