Diamond Hill Backtesting

DHIL -- USA Stock  

USD 148.38  4.13  2.86%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Diamond Hill Investment Group 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.
Horizon     30 Days    Login   to change

Diamond Hill 'What if' Analysis

August 20, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 18, 2019
If you would invest  0.00  in Diamond Hill on August 20, 2019 and sell it all today you would earn a total of 0.00 from holding Diamond Hill Investment Group or generate 0.0% return on investment in Diamond Hill over 90 days. Diamond Hill is related to or competes with Associated Capital, Goldman Sachs, Moelis, Morgan Stanley, ETRADE Financial, and Evercore. Diamond Hill Investment Group, Inc., together with its subsidiaries, provides investment advisory and fund administratio...

Diamond Hill Upside/Downside Indicators

Downside Deviation0.9091
Information Ratio0.0664
Maximum Drawdown5.85
Value At Risk(1.45)
Potential Upside2.05

Diamond Hill Market Premium Indicators

Risk Adjusted Performance0.1462
Jensen Alpha0.1153
Total Risk Alpha0.0092
Sortino Ratio0.0799
Treynor Ratio0.3018

Diamond Hill Investment Backtested Returns

Macroaxis considers Diamond Hill very steady given 3 months investment horizon. Diamond Hill Investment secures Sharpe Ratio (or Efficiency) of 0.2289 which denotes the organization had 0.2289% of return per unit of standard deviation over the last 3 months. Our philosophy in predicting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Diamond Hill Investment Group which you can use to evaluate future volatility of the firm. Please utilize Diamond Hill Investment Semi Deviation of 0.6225, Downside Deviation of 0.9091 and Mean Deviation of 0.8175 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Diamond Hill holds performance score of 15. The firm shows Beta (market volatility) of 0.6714 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 patterns. 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 0.2469% will be sustainable into the future. Please utilizes Diamond Hill Investment Information Ratio, and the relationship between Downside Deviation and Value At Risk to make a quick decision on weather Diamond Hill price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.44 
correlation synergy

Average predictability

Diamond Hill Investment Group has average predictability. Overlapping area represents the amount of predictability between Diamond Hill time series from August 20, 2019 to October 4, 2019 and October 4, 2019 to November 18, 2019. 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 0.44 indicates that just about 44.0% of current Diamond Hill price fluctuation can be explain by its past prices.
Correlation Coefficient0.44
Spearman Rank Test0.41
Residual Average0.0
Price Variance30.22

Diamond Hill Investment lagged returns against current returns

 Current and Lagged Values 

Diamond Hill regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Diamond Hill Lagged Returns

 Regressed Prices 

Current Sentiment - DHIL

Diamond Hill Investment Investor Sentiment

Most of Macroaxis users are currently bullish on Diamond Hill Investment Group. What is your opinion about investing in Diamond Hill Investment Group? Are you bullish or bearish?
98% Bullish
2% Bearish

Diamond Hill Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Diamond Hill and Associated Capital. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
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. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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