Hennessy Balanced Fund Volatility
At this stage we consider Hennessy Mutual Fund to be out of control. Hennessy Balanced holds Efficiency (Sharpe) Ratio of 0.18, which attests that the entity had a 0.18 % return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Hennessy Balanced, which you can use to evaluate the volatility of the entity. Please check out Hennessy Balanced's Risk Adjusted Performance of 0.1548, downside deviation of 0.3315, and Market Risk Adjusted Performance of (0.57) to validate if the risk estimate we provide is consistent with the expected return of 0.0661%.
Hennessy |
Hennessy Balanced Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Hennessy daily returns, and it is calculated using variance and standard deviation. We also use Hennessy's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Hennessy Balanced volatility.
Hennessy Balanced Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Hennessy Balanced fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Hennessy Balanced's price changes. Investors will then calculate the volatility of Hennessy Balanced's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Hennessy Balanced's volatility:
Historical Volatility
This type of fund volatility measures Hennessy Balanced's fluctuations based on previous trends. It's commonly used to predict Hennessy Balanced's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Hennessy Balanced's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Hennessy Balanced's to be redeemed at a future date.Transformation |
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Hennessy Balanced Projected Return Density Against Market
Assuming the 90 days horizon Hennessy Balanced Fund has a beta of -0.0972 . This usually indicates as returns on the benchmark increase, returns on holding Hennessy Balanced are expected to decrease at a much lower rate. During a bear market, however, Hennessy Balanced Fund is likely to outperform the market.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Hennessy Balanced or Hennessy sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Hennessy Balanced's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Hennessy fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Hennessy Balanced Fund has an alpha of 0.0688, implying that it can generate a 0.0688 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Hennessy Balanced Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Hennessy Balanced Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Hennessy Balanced is 547.39. The daily returns are distributed with a variance of 0.13 and standard deviation of 0.36. The mean deviation of Hennessy Balanced Fund is currently at 0.28. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.93
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | -0.1 | |
σ | Overall volatility | 0.36 | |
Ir | Information ratio | -0.21 |
Hennessy Balanced Mutual Fund Return Volatility
Hennessy Balanced historical daily return volatility represents how much of Hennessy Balanced fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 0.3616% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8352% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Hennessy Balanced Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.84 and is 2.33 times more volatile than Hennessy Balanced Fund. 3 percent of all equities and portfolios are less risky than Hennessy Balanced. You can use Hennessy Balanced Fund to protect your portfolios against small market fluctuations. The mutual fund experiences a normal downward trend and little activity. Check odds of Hennessy Balanced to be traded at $12.02 in 90 days.Very good diversification
The correlation between Hennessy Balanced Fund and DJI is -0.25 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Balanced Fund and DJI in the same portfolio, assuming nothing else is changed.
Hennessy Balanced Additional Risk Indicators
The analysis of Hennessy Balanced's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Hennessy Balanced's investment and either accepting that risk or mitigating it. Along with some common measures of Hennessy Balanced mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1548 | |||
| Market Risk Adjusted Performance | (0.57) | |||
| Mean Deviation | 0.2787 | |||
| Semi Deviation | 0.1584 | |||
| Downside Deviation | 0.3315 | |||
| Coefficient Of Variation | 547.39 | |||
| Standard Deviation | 0.3616 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Hennessy Balanced Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Hennessy Balanced as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Hennessy Balanced's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Hennessy Balanced's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Hennessy Balanced Fund.
Other Information on Investing in Hennessy Mutual Fund
Hennessy Balanced 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 Balanced security.
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