Diamond Hill Risk Analysis

Diamond Hill Investment Group Inc -- USA Stock  

USD 209.78  1.72  0.81%

We consider Diamond Hill not too risky. Diamond Hill Investment secures Sharpe Ratio (or Efficiency) of 0.2102 which denotes Diamond Hill Investment had 0.2102% 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 0.3176, Mean Deviation of 0.6391 and Downside Deviation of 0.662 to check if risk estimate we provide are consistent with the epected return of 0.1704%.
Investment Horizon     30 Days    Login   to change

Diamond Hill Market Sensitivity

As returns on market increase, returns on owning Diamond Hill are expected to decrease by larger amounts. On the other hand, during market turmoil, Diamond Hill is expected to significantly outperform it.
One Month Beta |Analyze Diamond Hill Investment Demand Trend
Check current 30 days Diamond Hill correlation with market (DOW)
β = -1.2261
Diamond Hill Large Negative BetaDiamond Hill Investment Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Diamond Hill Investment Group Inc has beta of -1.2261 suggesting as returns on its benchmark rise, returns on holding Diamond Hill Investment Group Inc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Diamond Hill is expected to outperform its benchmark. Moreover, Diamond Hill Investment Group Inc has an alpha of 0.3201 implying that it can potentially generate 0.3201% 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 475.64. The daily returns are destributed with a variance of 0.66 and standard deviation of 0.81. The mean deviation of Diamond Hill Investment Group Inc is currently at 0.62. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.32 
βBeta against DOW=(1.23) 
σ
Overall volatility
= 0.81 
 IrInformation ratio = 0.0533 

Actual Return Volatility

Diamond Hill Investment Group Inc inherits 0.8104% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2355% 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

Totally opposite to 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 0.81 and is 3.38 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 moderate downward daily trend and can be a good diversifier. Check odds of Diamond Hill to be traded at $205.58 in 30 days. As returns on market increase, returns on owning Diamond Hill are expected to decrease by larger amounts. On the other hand, during market turmoil, Diamond Hill is expected to significantly outperform it.

Diamond Hill correlation with market

Very good 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