Hennessy Large Correlations

HILFX Fund

USD 34.95 0.87 2.55%

The current 90-days correlation between Hennessy Large Cap and Schwab Target 2015 is 0.1 (i.e., Average diversification). The correlation of Hennessy Large 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 Large Correlation With Market

Average diversification

The correlation between Hennessy Large Cap and DJI is 0.13 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Large 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 Large 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

0.79	HICGX	Hennessy Nerstone Growth	Pair Corr
0.85	HICVX	Hennessy Nerstone Value	Pair Corr
0.83	HIMDX	Hennessy Nerstone Mid	Pair Corr
0.9	HILGX	Hennessy Nerstone Large	Pair Corr
0.9	HISFX	Hennessy Small Cap	Pair Corr
0.95	HJPSX	Hennessy Japan Small	Pair Corr
0.95	HJSIX	Hennessy Japan Small	Pair Corr
1.0	HLFNX	Hennessy Large Cap	Pair Corr
0.9	HSFNX	Hennessy Small Cap	Pair Corr
0.95	HTECX	Hennessy Technology	Pair Corr
0.95	HTCIX	Hennessy Technology	Pair Corr
0.93	HEIFX	Hennessy Equity And	Pair Corr
0.96	HEIIX	Hennessy Equity And	Pair Corr
0.87	GASFX	Hennessy Gas Utility	Pair Corr
0.85	HFCVX	Hennessy Nerstone Value	Pair Corr
0.79	HFCGX	Hennessy Nerstone Growth	Pair Corr
0.9	HFLGX	Hennessy Nerstone Large	Pair Corr
0.83	HFMDX	Hennessy Nerstone Mid	Pair Corr
0.87	HGASX	Hennessy Gas Utility	Pair Corr
0.9	VFAIX	Vanguard Financials Index	Pair Corr
0.91	FRBCX	Regional Bank	Pair Corr
0.89	JRGRX	Regional Bank	Pair Corr
0.91	PRISX	T Rowe Price	Pair Corr
0.79	FSLBX	Brokerage And Investment	Pair Corr
0.9	DVFYX	Davis Financial	Pair Corr
0.91	RPFGX	Davis Financial	Pair Corr
0.9	DFFCX	Davis Financial	Pair Corr
0.92	FIDSX	Financial Services	Pair Corr

Moving against Hennessy Mutual Fund

0.83	HFCSX	Hennessy Focus Steady Growth	Pair Corr
0.83	HFCIX	Hennessy Focus Steady Growth	Pair Corr
0.51	FIDCX	Financial Industries	Pair Corr

Related Correlations Analysis

	SWYBX	NSDVX	CYPIX	SSGFX	SISAX	ARFFX	GCV	HMSFX	MSSVX	IAFMX
SWYBX		0.18	0.32	0.26	-0.11	-0.24	-0.02	-0.02	0.04	0.77	SWYBX
NSDVX	0.18		0.75	0.04	0.43	0.55	0.37	0.08	0.63	-0.12	NSDVX
CYPIX	0.32	0.75		0.49	0.57	0.55	0.64	0.0	0.74	0.05	CYPIX
SSGFX	0.26	0.04	0.49		0.27	0.09	0.67	-0.14	0.36	0.18	SSGFX
SISAX	-0.11	0.43	0.57	0.27		0.94	0.42	0.4	0.83	-0.45	SISAX
ARFFX	-0.24	0.55	0.55	0.09	0.94		0.4	0.33	0.79	-0.55	ARFFX
GCV	-0.02	0.37	0.64	0.67	0.42	0.4		-0.28	0.57	-0.15	GCV
HMSFX	-0.02	0.08	0.0	-0.14	0.4	0.33	-0.28		0.42	-0.26	HMSFX
MSSVX	0.04	0.63	0.74	0.36	0.83	0.79	0.57	0.42		-0.36	MSSVX
IAFMX	0.77	-0.12	0.05	0.18	-0.45	-0.55	-0.15	-0.26	-0.36		IAFMX
	SWYBX	NSDVX	CYPIX	SSGFX	SISAX	ARFFX	GCV	HMSFX	MSSVX	IAFMX

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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

ARFFX	+ 0.94	SISAX
MSSVX	+ 0.83	SISAX
MSSVX	+ 0.79	ARFFX
IAFMX	+ 0.77	SWYBX
CYPIX	+ 0.75	NSDVX
MSSVX	+ 0.74	CYPIX

High negative correlations

IAFMX	- 0.55	ARFFX
IAFMX	- 0.45	SISAX
IAFMX	- 0.36	MSSVX
HMSFX	- 0.28	GCV
IAFMX	- 0.26	HMSFX
ARFFX	- 0.24	SWYBX

Risk-Adjusted Indicators

There is a big difference between Hennessy Mutual Fund performing well and Hennessy Large 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 Large'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
SWYBX	0.31	(0.08)	0.00	(0.11)	0.00	0.00	0.50	(0.51)	5.03
NSDVX	0.67	(0.09)	0.00	(0.03)	0.00	0.00	1.65	(1.37)	3.85
CYPIX	1.39	(0.13)	(0.04)	0.01	1.82	(1.37)	2.94	(3.40)	7.64
SSGFX	0.70	(0.05)	(0.06)	0.03	0.92	(0.78)	1.80	(1.78)	4.10
SISAX	0.65	0.10	0.11	0.22	0.49	(0.71)	1.16	(1.12)	10.87
ARFFX	0.91	0.19	0.16	0.37	0.68	(1.18)	1.75	(1.31)	14.28
GCV	0.84	0.05	0.01	0.17	0.88	(0.97)	2.19	(1.68)	4.42
HMSFX	0.67	(0.03)	0.00	(0.05)	0.00	0.00	1.30	(1.64)	3.39
MSSVX	1.34	0.05	0.06	0.11	1.68	(1.43)	2.49	(2.67)	6.89
IAFMX	1.38	(0.37)	0.00	(0.15)	0.00	0.00	1.92	(1.96)	26.58

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