Diamond Hill Risk Analysis

Diamond Hill Investment Group Inc -- USA Stock  

USD 212.61  0.05  0.02%

Macroaxis considers Diamond Hill not too risky given 1 month investment horizon. Diamond Hill Investment secures Sharpe Ratio (or Efficiency) of 0.3548 which denotes Diamond Hill Investment had 0.3548% 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 technical indicators for Diamond Hill Investment Group Inc which you can use to evaluate future volatility of the firm. Please utilize Diamond Hill Investment Downside Deviation of 0.7051, Mean Deviation of 0.6208 and Coefficient Of Variation of 332.25 to check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Diamond Hill Market Sensitivity

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.
One Month Beta |Analyze Diamond Hill Investment Demand Trend
Check current 30 days Diamond Hill correlation with market (DOW)
β = 0.3288
Diamond Hill Small BetaDiamond Hill Investment Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Diamond Hill has beta of 0.3288 suggesting as returns on market go up, Diamond Hill average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Diamond Hill Investment Group Inc will be expected to be much smaller as well. Moreover, Diamond Hill Investment Group Inc has an alpha of 0.1907 implying that it can potentially generate 0.1907% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Diamond Hill is 281.81. The daily returns are destributed with a variance of 0.64 and standard deviation of 0.8. The mean deviation of Diamond Hill Investment Group Inc is currently at 0.61. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.19 
βBeta against DOW= 0.33 
σ
Overall volatility
= 0.8 
 IrInformation ratio = 0.13 

Actual Return Volatility

Diamond Hill Investment Group Inc inherits 0.8025% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2342% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Diamond Hill Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Total Liabilities

Diamond Hill Investment Total Liabilities History

Total Liabilities

Largest Trends

Diamond Hill Largest Period Trend

Investment Outlook

Diamond Hill Investment Opportunity
Diamond Hill Investment Group Inc has a volatility of 0.8 and is 3.48 times more volatile than DOW. 7% of all equities and portfolios are less risky than Diamond Hill. Compared to the overall equity markets, volatility of historical daily returns of Diamond Hill Investment Group Inc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Diamond Hill Investment Group Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Diamond Hill to be traded at $210.48 in 30 days. 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.

Diamond Hill correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Diamond Hill Investment Group and equity matching DJI index in the same portfolio.

Volatility Indicators

Diamond Hill Current Risk Indicators