Hennessy Large Correlations

HLFNX Fund

USD 34.16 1.44 4.04%

The current 90-days correlation between Hennessy Large Cap and Hennessy Small Cap is 0.72 (i.e., Poor 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

Very poor diversification

The correlation between Hennessy Large Cap and DJI is 0.84 (i.e., Very poor 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 state.

Moving together with Hennessy Mutual Fund

0.64	HICGX	Hennessy Nerstone Growth	Pair Corr
0.7	HICVX	Hennessy Nerstone Value	Pair Corr
0.71	HIMDX	Hennessy Nerstone Mid	Pair Corr
1.0	HILFX	Hennessy Large Cap	Pair Corr
0.69	HISFX	Hennessy Small Cap	Pair Corr
0.71	HNRGX	Hennessy Bp Energy	Pair Corr
0.71	HNRIX	Hennessy Bp Energy	Pair Corr
0.69	HSFNX	Hennessy Small Cap	Pair Corr
0.81	HTECX	Hennessy Technology	Pair Corr
0.81	HTCIX	Hennessy Technology	Pair Corr
0.76	HEIFX	Hennessy Equity And	Pair Corr
0.76	HEIIX	Hennessy Equity And	Pair Corr
0.7	HFCVX	Hennessy Nerstone Value	Pair Corr
0.64	HFCGX	Hennessy Nerstone Growth	Pair Corr
0.7	HFMDX	Hennessy Nerstone Mid	Pair Corr
0.87	VFAIX	Vanguard Financials Index	Pair Corr
0.69	FRBCX	Regional Bank	Pair Corr
0.7	JRGRX	Regional Bank	Pair Corr
0.81	PRISX	T Rowe Price	Pair Corr
0.74	FIDCX	Financial Industries	Pair Corr
0.77	JFDRX	Financial Industries	Pair Corr
0.81	TFIFX	T Rowe Price	Pair Corr
0.8	DVFYX	Davis Financial	Pair Corr
0.8	RPFGX	Davis Financial	Pair Corr
0.81	DFFCX	Davis Financial	Pair Corr

Moving against Hennessy Mutual Fund

0.82	UIPIX	Ultrashort Mid Cap Steady Growth	Pair Corr
0.69	USPSX	Profunds Ultrashort Steady Growth	Pair Corr
0.69	USPIX	Profunds Ultrashort Steady Growth	Pair Corr
0.48	TCSUX	Cleartrack 2020 Class	Pair Corr
0.47	TCTGX	Transamerica Cleartrack	Pair Corr
0.47	TCTJX	Transamerica Cleartrack	Pair Corr
0.46	TDKTX	Cleartrack 2015 Class	Pair Corr

Related Correlations Analysis

	HSFNX	HILFX	BREFX	HFCSX	HJPNX
HSFNX		0.69	0.79	-0.14	0.64	HSFNX
HILFX	0.69		0.55	0.27	0.58	HILFX
BREFX	0.79	0.55		-0.33	0.77	BREFX
HFCSX	-0.14	0.27	-0.33		0.08	HFCSX
HJPNX	0.64	0.58	0.77	0.08		HJPNX
	HSFNX	HILFX	BREFX	HFCSX	HJPNX

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

BREFX	+ 0.79	HSFNX
HJPNX	+ 0.77	BREFX
HILFX	+ 0.69	HSFNX
HJPNX	+ 0.64	HSFNX
HJPNX	+ 0.58	HILFX
BREFX	+ 0.55	HILFX

High negative correlations

HFCSX	- 0.33	BREFX
HFCSX	- 0.14	HSFNX

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
HSFNX	1.03	(0.06)	0.00	(0.02)	0.00	0.00	2.07	(1.98)	7.08
HILFX	0.83	(0.05)	0.00	(0.01)	0.00	0.00	1.54	(1.63)	4.75
BREFX	0.75	(0.02)	(0.02)	0.00	0.78	(1.00)	2.06	(1.39)	4.80
HFCSX	1.36	0.23	0.15	0.23	1.36	(1.57)	3.55	(2.87)	7.95
HJPNX	1.05	0.06	0.05	0.07	1.22	(1.25)	2.35	(2.03)	6.41

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