Diamond Hill Backtesting

Diamond Hill Investment Group Inc -- USA Stock  

USD 209.78  1.21  0.57%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Diamond Hill Investment Group Inc and determine expected loss or profit from investing in Diamond Hill over given investment horizon. Additionally see Diamond Hill Hype Analysis, Diamond Hill Correlation, Diamond Hill Valuation, Diamond Hill Volatility as well as analyze Diamond Hill Alpha and Beta and Diamond Hill Performance
Investment Horizon     30 Days    Login   to change
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Backtest

Diamond Hill 'What if' Analysis

September 22, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 22, 2017
 0.00 
If you would invest  0.00  in Diamond Hill on September 22, 2017 and sell it all today you would earn a total of 0.00 from holding Diamond Hill Investment Group Inc or generate 0.0% return on investment in Diamond Hill over 30 days. Diamond Hill is related to or competes with Realty Income, AllianceBernstein, Associated Capital, Arlington Asset, and Blackstone Group. Diamond Hill Investment Group Inc sponsors distributes and offers investment advisory and related services to a range of...

Diamond Hill Upside/Downside Indicators

  

Diamond Hill Market Premium Indicators

Diamond Hill Investment lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Diamond Hill regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Diamond Hill Investment Backtested Returns

We consider Diamond Hill not too risky. Diamond Hill Investment secures Sharpe Ratio (or Efficiency) of 0.1965 which denotes Diamond Hill Investment had 0.1965% of return per unit of standard deviation over the last 1 month. Our philosophy in predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Diamond Hill Investment Group Inc which you can use to evaluate future volatility of the firm. Please confirm Diamond Hill Investment Semi Deviation of 0.3203, Mean Deviation of 0.6571 and Downside Deviation of 0.662 to check if risk estimate we provide are consistent with the epected return of 0.1616%. Diamond Hill has performance score of 13 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4059 which denotes to the fact that as returns on market increase, Diamond Hill returns are expected to increase less than the market. However during bear market, the loss on holding Diamond Hill will be expected to be smaller as well.. Although it is extremely important to respect Diamond Hill Investment historical returns, it is better to be realistic regarding the information on equity current trending patternss. The philosophy in predicting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By reviewing Diamond Hill Investment technical indicators you can presently evaluate if the expected return of 0.1616% will be sustainable into the future. Diamond Hill Investment right now shows a risk of 0.8225%. Please confirm Diamond Hill Investment Information Ratio, and the relationship between Downside Deviation and Value At Risk to decide if Diamond Hill Investment will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 

Almost perfect reverse predictability

Diamond Hill Investment Group Inc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Diamond Hill time series from September 22, 2017 to October 7, 2017 and October 7, 2017 to October 22, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Diamond Hill Investment price movement. The serial correlation of -0.74 indicates that around 74.0% of current Diamond Hill price fluctuation can be explain by its past prices. Given that Diamond Hill Investment Group Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Diamond Hill for similar time interval.
Correlation Coefficient -0.74
Spearman Rank Test -0.55
Price Variance 1.85
Lagged Price Variance 13.02

Diamond Hill Lagged Returns

 Regressed Prices 
      Timeline 

Diamond Hill Performance vs DOW

The median price of Diamond Hill for the period between Fri, Sep 22, 2017 and Sun, Oct 22, 2017 is 212.59 with a coefficient of variation of 1.65. The daily time series for the period is distributed with a sample standard deviation of 3.5, arithmetic mean of 211.3, and mean deviation of 2.5. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Sale by James Laird of 9 shares of Diamond Hill10/20/2017