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 TrendCheck current 30 days Diamond Hill correlation with market (DOW)|
β = -1.2261
Projected Return Density Against MarketGiven 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).
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