Hennessy Nerstone Large Fund Market Value
| HILGX Fund | USD 11.86 0.04 0.34% |
| Symbol | Hennessy |
Hennessy Nerstone 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Hennessy Nerstone's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Hennessy Nerstone.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Hennessy Nerstone on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Hennessy Nerstone Large or generate 0.0% return on investment in Hennessy Nerstone over 30 days. Hennessy Nerstone is related to or competes with Dodge Cox, American Funds, American Funds, American Mutual, and Vanguard Value. The fund invests in growth-oriented common stocks of larger companies by utilizing a quantitative formula known as the C... More
Hennessy Nerstone Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Hennessy Nerstone's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Hennessy Nerstone Large upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7806 | |||
| Information Ratio | 0.063 | |||
| Maximum Drawdown | 3.18 | |||
| Value At Risk | (1.21) | |||
| Potential Upside | 1.31 |
Hennessy Nerstone Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hennessy Nerstone's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hennessy Nerstone's standard deviation. In reality, there are many statistical measures that can use Hennessy Nerstone historical prices to predict the future Hennessy Nerstone's volatility.| Risk Adjusted Performance | 0.0888 | |||
| Jensen Alpha | 0.0936 | |||
| Total Risk Alpha | 0.0388 | |||
| Sortino Ratio | 0.0592 | |||
| Treynor Ratio | (2.19) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Hennessy Nerstone's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Hennessy Nerstone Large Backtested Returns
We consider Hennessy Nerstone very steady. Hennessy Nerstone Large holds Efficiency (Sharpe) Ratio of 0.17, which attests that the entity had a 0.17% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Hennessy Nerstone Large, which you can use to evaluate the volatility of the entity. Please check out Hennessy Nerstone's Risk Adjusted Performance of 0.0888, downside deviation of 0.7806, and Market Risk Adjusted Performance of (2.18) to validate if the risk estimate we provide is consistent with the expected return of 0.12%. The fund retains a Market Volatility (i.e., Beta) of -0.0419, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Hennessy Nerstone are expected to decrease at a much lower rate. During the bear market, Hennessy Nerstone is likely to outperform the market.
Auto-correlation | -0.7 |
Very good reverse predictability
Hennessy Nerstone Large has very good reverse predictability. Overlapping area represents the amount of predictability between Hennessy Nerstone time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Hennessy Nerstone Large price movement. The serial correlation of -0.7 indicates that around 70.0% of current Hennessy Nerstone price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.7 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Hennessy Nerstone Large lagged returns against current returns
Autocorrelation, which is Hennessy Nerstone mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Hennessy Nerstone's mutual fund expected returns. We can calculate the autocorrelation of Hennessy Nerstone returns to help us make a trade decision. For example, suppose you find that Hennessy Nerstone has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Hennessy Nerstone regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Hennessy Nerstone mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hennessy Nerstone mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hennessy Nerstone mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Hennessy Nerstone Lagged Returns
When evaluating Hennessy Nerstone's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hennessy Nerstone mutual fund have on its future price. Hennessy Nerstone autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Hennessy Nerstone autocorrelation shows the relationship between Hennessy Nerstone mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Hennessy Nerstone Large.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Hennessy Nerstone in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Hennessy Nerstone's short interest history, or implied volatility extrapolated from Hennessy Nerstone options trading.
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Try AI Portfolio ArchitectCheck out Hennessy Nerstone Correlation, Hennessy Nerstone Volatility and Hennessy Nerstone Alpha and Beta module to complement your research on Hennessy Nerstone. Note that the Hennessy Nerstone Large information on this page should be used as a complementary analysis to other Hennessy Nerstone's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Hennessy Nerstone technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.