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VSCAX vs. HFMDX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VSCAXHFMDX
YTD Return30.53%42.53%
1Y Return47.09%46.31%
3Y Return (Ann)5.92%11.10%
5Y Return (Ann)13.61%18.07%
10Y Return (Ann)1.94%4.18%
Sharpe Ratio2.192.05
Sortino Ratio2.812.51
Omega Ratio1.391.36
Calmar Ratio1.952.54
Martin Ratio11.8511.17
Ulcer Index3.86%4.07%
Daily Std Dev20.84%22.15%
Max Drawdown-72.32%-71.75%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between VSCAX and HFMDX is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VSCAX vs. HFMDX - Performance Comparison

In the year-to-date period, VSCAX achieves a 30.53% return, which is significantly lower than HFMDX's 42.53% return. Over the past 10 years, VSCAX has underperformed HFMDX with an annualized return of 1.94%, while HFMDX has yielded a comparatively higher 4.18% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.98%
18.18%
VSCAX
HFMDX

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VSCAX vs. HFMDX - Expense Ratio Comparison

VSCAX has a 1.12% expense ratio, which is lower than HFMDX's 1.36% expense ratio.


HFMDX
Hennessy Cornerstone Mid Cap 30 Fund
Expense ratio chart for HFMDX: current value at 1.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.36%
Expense ratio chart for VSCAX: current value at 1.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.12%

Risk-Adjusted Performance

VSCAX vs. HFMDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Small Cap Value Fund (VSCAX) and Hennessy Cornerstone Mid Cap 30 Fund (HFMDX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


VSCAX
Sharpe ratio
The chart of Sharpe ratio for VSCAX, currently valued at 2.19, compared to the broader market0.002.004.002.19
Sortino ratio
The chart of Sortino ratio for VSCAX, currently valued at 2.81, compared to the broader market0.005.0010.002.81
Omega ratio
The chart of Omega ratio for VSCAX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for VSCAX, currently valued at 1.95, compared to the broader market0.005.0010.0015.0020.0025.001.95
Martin ratio
The chart of Martin ratio for VSCAX, currently valued at 11.85, compared to the broader market0.0020.0040.0060.0080.00100.0011.85
HFMDX
Sharpe ratio
The chart of Sharpe ratio for HFMDX, currently valued at 2.05, compared to the broader market0.002.004.002.05
Sortino ratio
The chart of Sortino ratio for HFMDX, currently valued at 2.51, compared to the broader market0.005.0010.002.51
Omega ratio
The chart of Omega ratio for HFMDX, currently valued at 1.36, compared to the broader market1.002.003.004.001.36
Calmar ratio
The chart of Calmar ratio for HFMDX, currently valued at 2.54, compared to the broader market0.005.0010.0015.0020.0025.002.54
Martin ratio
The chart of Martin ratio for HFMDX, currently valued at 11.17, compared to the broader market0.0020.0040.0060.0080.00100.0011.17

VSCAX vs. HFMDX - Sharpe Ratio Comparison

The current VSCAX Sharpe Ratio is 2.19, which is comparable to the HFMDX Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of VSCAX and HFMDX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.19
2.05
VSCAX
HFMDX

Dividends

VSCAX vs. HFMDX - Dividend Comparison

VSCAX's dividend yield for the trailing twelve months is around 0.43%, while HFMDX has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VSCAX
Invesco Small Cap Value Fund
0.43%0.56%0.35%0.04%0.30%0.00%0.00%0.00%0.18%0.06%0.00%0.00%
HFMDX
Hennessy Cornerstone Mid Cap 30 Fund
0.00%0.00%0.00%1.73%0.00%0.00%0.00%0.00%0.00%0.14%0.00%0.11%

Drawdowns

VSCAX vs. HFMDX - Drawdown Comparison

The maximum VSCAX drawdown since its inception was -72.32%, roughly equal to the maximum HFMDX drawdown of -71.75%. Use the drawdown chart below to compare losses from any high point for VSCAX and HFMDX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VSCAX
HFMDX

Volatility

VSCAX vs. HFMDX - Volatility Comparison

Invesco Small Cap Value Fund (VSCAX) has a higher volatility of 6.98% compared to Hennessy Cornerstone Mid Cap 30 Fund (HFMDX) at 5.18%. This indicates that VSCAX's price experiences larger fluctuations and is considered to be riskier than HFMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%10.00%JuneJulyAugustSeptemberOctoberNovember
6.98%
5.18%
VSCAX
HFMDX