Hennessy Small Correlations

HSFNX Fund  USD 31.69  0.14  0.44%   
The current 90-days correlation between Hennessy Small Cap and Hennessy Large Cap is 0.93 (i.e., Almost no diversification). The correlation of Hennessy Small 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 Small Correlation With Market

Poor diversification

The correlation between Hennessy Small Cap and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Small 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 Small 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 board of governors.

Moving together with Hennessy Mutual Fund

  0.91HICGX Hennessy Nerstone GrowthPairCorr
  0.74HICVX Hennessy Nerstone ValuePairCorr
  0.83HIMDX Hennessy Nerstone Mid Steady GrowthPairCorr
  0.97HILFX Hennessy Large CapPairCorr
  0.66HILGX Hennessy Nerstone LargePairCorr
  1.0HISFX Hennessy Small CapPairCorr
  0.97HLFNX Hennessy Large CapPairCorr
  0.9HMSFX Hennessy Bp MidstreamPairCorr
  0.9HMSIX Hennessy Bp MidstreamPairCorr
  0.74HNRGX Hennessy Bp EnergyPairCorr
  0.77HNRIX Hennessy Bp EnergyPairCorr
  0.83HTECX Hennessy TechnologyPairCorr
  0.84HTCIX Hennessy TechnologyPairCorr
  0.95HEIFX Hennessy Equity AndPairCorr
  0.95HEIIX Hennessy Equity AndPairCorr
  0.87GASFX Hennessy Gas UtilityPairCorr
  0.68HFCVX Hennessy Nerstone ValuePairCorr
  0.91HFCGX Hennessy Nerstone GrowthPairCorr
  0.65HFLGX Hennessy Nerstone LargePairCorr
  0.83HFMDX Hennessy Nerstone Mid Steady GrowthPairCorr
  0.87HGASX Hennessy Gas UtilityPairCorr
  0.96VFAIX Vanguard Financials IndexPairCorr
  0.95FRBCX Regional BankPairCorr
  1.0JRGRX Regional BankPairCorr
  0.95PRISX T Rowe PricePairCorr
  0.96FIDCX Financial IndustriesPairCorr
  0.96JFDRX Financial IndustriesPairCorr
  0.95TFIFX T Rowe PricePairCorr
  0.95DVFYX Davis FinancialPairCorr
  0.95RPFGX Davis FinancialPairCorr
  0.95DFFCX Davis FinancialPairCorr

Moving against Hennessy Mutual Fund

  0.44HJPIX Hennessy JapanPairCorr
  0.44HJPNX Hennessy JapanPairCorr
  0.79KF Korea ClosedPairCorr
  0.48BRUFX Bruce Fund BrucePairCorr

Related Correlations Analysis

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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   
RRTLXMSTSX
OSHDFVIASP
VIASPHLFNX
SITKFMSTSX
OSHDFHLFNX
RRTLXLBHIX
  
High negative correlations   
SITKFVIASP
SITKFOSHDF
VIASPMSTSX
SITKFAQUI
70082LAB3AQUI
OSHDFAQUI

Risk-Adjusted Indicators

There is a big difference between Hennessy Mutual Fund performing well and Hennessy Small 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 Small'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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
HLFNX  1.10  0.09  0.18  0.16  0.72 
 2.63 
 13.73 
HFCSX  0.91 (0.09)(0.07) 0.03  1.07 
 1.51 
 5.25 
AQUI  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 
 1.21 
 2.80 
LBHIX  0.12  0.01 (0.39) 0.51  0.00 
 0.24 
 0.96 
VIASP  0.75  0.08 (0.03)(1.87) 1.12 
 2.28 
 7.18 
RRTLX  0.23  0.01 (0.29) 0.46  0.25 
 0.48 
 1.36 
OSHDF  39.65  22.52  0.00 (0.97) 0.00 
 0.00 
 1,329 
70082LAB3  1.00  0.06 (0.04)(0.11) 2.21 
 1.75 
 24.27 
SITKF  5.51  1.00  0.13  5.71  5.07 
 14.29 
 32.64