Diamond Hill Risk Analysis And Volatility Evaluation

DHIL -- USA Stock  

USD 193.51  0.12  0.06%

Macroaxis considers Diamond Hill to be not too risky. Diamond Hill Investment secures Sharpe Ratio (or Efficiency) of -0.1229 which denotes Diamond Hill Investment had -0.1229% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Diamond Hill Investment Group exposes twenty-six different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Diamond Hill Investment Mean Deviation of 0.8435 to check risk estimate we provide.
 Time 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 = 0.1176
Diamond Hill Small BetaDiamond Hill Investment Beta Legend

Diamond Hill Investment Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Diamond Hill Investment Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, Diamond Hill has beta of 0.1176 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 will be expected to be much smaller as well. Additionally, Diamond Hill Investment Group has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Diamond Hill is -813.63. The daily returns are destributed with a variance of 1.17 and standard deviation of 1.08. The mean deviation of Diamond Hill Investment Group is currently at 0.83. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.18
β
Beta against DOW=0.12
σ
Overall volatility
=1.08
Ir
Information ratio =0.25

Actual Return Volatility

Diamond Hill Investment Group inherits 1.0826% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5886% 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

Close to average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Diamond Hill Investment Opportunity
Diamond Hill Investment Group has a volatility of 1.08 and is 1.83 times more volatile than DOW. 9% 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 is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Diamond Hill Investment Group to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Diamond Hill to be traded at $191.57 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.
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