Hennessy Nerstone Mid Fund Market Value
| HFMDX Fund | USD 27.56 0.30 1.10% |
| 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.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Hennessy Nerstone on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Hennessy Nerstone Mid or generate 0.0% return on investment in Hennessy Nerstone over 30 days. Hennessy Nerstone is related to or competes with Hennessy Focus, Small-company Stock, Large Cap, Eventide Gilead, and Boston Partners. The fund normally invests at least 80 percent of its net assets in mid-cap growth-oriented common stocks by utilizing a ... 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 Mid upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.15 | |||
| Information Ratio | 0.0148 | |||
| Maximum Drawdown | 6.45 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 2.13 |
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 | 0.0835 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0157 | |||
| Treynor Ratio | 0.0944 |
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 Mid Backtested Returns
At this stage we consider Hennessy Mutual Fund to be very steady. Hennessy Nerstone Mid holds Efficiency (Sharpe) Ratio of 0.0975, which attests that the entity had a 0.0975% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Hennessy Nerstone Mid, which you can use to evaluate the volatility of the entity. Please check out Hennessy Nerstone's Market Risk Adjusted Performance of 0.1044, risk adjusted performance of 0.0835, and Downside Deviation of 1.15 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 1.24, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Hennessy Nerstone will likely underperform.
Auto-correlation | -0.28 |
Weak reverse predictability
Hennessy Nerstone Mid has weak reverse predictability. Overlapping area represents the amount of predictability between Hennessy Nerstone time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd of November 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 Mid price movement. The serial correlation of -0.28 indicates that nearly 28.0% of current Hennessy Nerstone price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.28 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Hennessy Nerstone Mid 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 Mid.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Hennessy Mutual Fund
Hennessy Nerstone 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 Nerstone security.
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