Hennessy Cornerstone Correlations

HIMDX Fund

USD 30.41 0.03 0.1%

The current 90-days correlation between Hennessy Nerstone Mid and Large Cap E is 0.82 (i.e., Very poor diversification). The correlation of Hennessy Cornerstone 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 Cornerstone Correlation With Market

Poor diversification

The correlation between Hennessy Nerstone Mid 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 Nerstone Mid 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 Nerstone Mid. 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 unemployment.

Moving together with Hennessy Mutual Fund

0.94	HICGX	Hennessy Nerstone Growth	Pair Corr
0.89	HICVX	Hennessy Nerstone Value	Pair Corr
0.88	HILFX	Hennessy Large Cap	Pair Corr
0.89	HILGX	Hennessy Nerstone Large	Pair Corr
0.83	HISFX	Hennessy Small Cap	Pair Corr
0.88	HLFNX	Hennessy Large Cap	Pair Corr
0.86	HMSFX	Hennessy Bp Midstream	Pair Corr
0.86	HMSIX	Hennessy Bp Midstream	Pair Corr
0.8	HNRGX	Hennessy Bp Energy	Pair Corr
0.84	HNRIX	Hennessy Bp Energy	Pair Corr
0.83	HSFNX	Hennessy Small Cap	Pair Corr
0.94	HTECX	Hennessy Technology	Pair Corr
0.91	HEIFX	Hennessy Equity And	Pair Corr
0.91	HEIIX	Hennessy Equity And	Pair Corr
0.87	GASFX	Hennessy Gas Utility	Pair Corr
0.68	HFCSX	Hennessy Focus	Pair Corr
0.82	HFCVX	Hennessy Nerstone Value	Pair Corr
0.93	HFCGX	Hennessy Nerstone Growth	Pair Corr
0.68	HFCIX	Hennessy Focus	Pair Corr
0.89	HFLGX	Hennessy Nerstone Large	Pair Corr
1.0	HFMDX	Hennessy Nerstone Mid Steady Growth	Pair Corr
0.87	HGASX	Hennessy Gas Utility	Pair Corr
0.97	VSIIX	Vanguard Small Cap	Pair Corr
0.97	VISVX	Vanguard Small Cap	Pair Corr
0.91	DFSVX	Us Small Cap	Pair Corr
0.93	DFFVX	Us Targeted Value	Pair Corr
0.87	UBVCX	Undiscovered Managers	Pair Corr
0.87	UBVAX	Undiscovered Managers	Pair Corr
0.88	UBVSX	Undiscovered Managers	Pair Corr
0.95	AVFIX	American Beacon Small	Pair Corr
0.97	VSTSX	Vanguard Total Stock	Pair Corr

Related Correlations Analysis

	GTLOX	ETGLX	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF
GTLOX		0.95	0.0	0.7	0.67	0.55	0.68	0.54	0.54	0.48	GTLOX
ETGLX	0.95		0.0	0.63	0.59	0.56	0.66	0.54	0.45	0.35	ETGLX
AQUI	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	0.0	AQUI
MSTSX	0.7	0.63	0.0		0.68	-0.05	0.81	0.04	0.12	0.77	MSTSX
LBHIX	0.67	0.59	0.0	0.68		0.26	0.72	0.33	0.09	0.4	LBHIX
VIASP	0.55	0.56	0.0	-0.05	0.26		0.07	0.81	0.56	-0.12	VIASP
RRTLX	0.68	0.66	0.0	0.81	0.72	0.07		0.14	0.04	0.47	RRTLX
OSHDF	0.54	0.54	0.0	0.04	0.33	0.81	0.14		0.41	-0.08	OSHDF
70082LAB3	0.54	0.45	0.0	0.12	0.09	0.56	0.04	0.41		0.23	70082LAB3
SITKF	0.48	0.35	0.0	0.77	0.4	-0.12	0.47	-0.08	0.23		SITKF
	GTLOX	ETGLX	AQUI	MSTSX	LBHIX	VIASP	RRTLX	OSHDF	70082LAB3	SITKF

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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

ETGLX	+ 0.95	GTLOX
RRTLX	+ 0.81	MSTSX
OSHDF	+ 0.81	VIASP
SITKF	+ 0.77	MSTSX
RRTLX	+ 0.72	LBHIX
MSTSX	+ 0.7	GTLOX

High negative correlations

SITKF	- 0.12	VIASP
SITKF	- 0.08	OSHDF
VIASP	- 0.05	MSTSX
SITKF	- 0.0	AQUI
70082LAB3	- 0.0	AQUI
OSHDF	- 0.0	AQUI

Risk-Adjusted Indicators

There is a big difference between Hennessy Mutual Fund performing well and Hennessy Cornerstone 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 Cornerstone'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
GTLOX	0.58	(0.02)	(0.04)	0.09	0.63	(0.63)	1.23	(1.06)	4.24
ETGLX	0.77	(0.02)	(0.01)	0.10	0.95	(0.86)	1.72	(1.69)	4.81
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
MSTSX	0.49	(0.04)	(0.13)	0.05	0.51	(0.62)	1.21	(1.02)	2.80
LBHIX	0.12	0.01	(0.39)	0.51	0.00	(0.28)	0.24	(0.24)	0.96
VIASP	0.75	0.08	(0.03)	(1.87)	1.12	(0.82)	2.28	(1.20)	7.18
RRTLX	0.23	0.01	(0.29)	0.46	0.25	(0.25)	0.48	(0.56)	1.36
OSHDF	39.65	22.52	0.00	(0.97)	0.00	0.00	0.00	0.00	1,329
70082LAB3	1.00	0.06	(0.04)	(0.11)	2.21	(1.10)	1.75	(1.69)	24.27
SITKF	5.51	1.00	0.13	5.71	5.07	(8.03)	14.29	(9.09)	32.64

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