Diamond Hill Long Short Fund Market Value
| DIAYX Fund | USD 29.45 0.06 0.20% |
| Symbol | Diamond |
Diamond Hill 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Diamond Hill's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Diamond Hill.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in Diamond Hill on May 6, 2022 and sell it all today you would earn a total of 0.00 from holding Diamond Hill Long Short or generate 0.0% return on investment in Diamond Hill over 720 days. Diamond Hill is related to or competes with Gateway Fund, Aqr Managed, Boston Partners, Calamos Market, and Neuberger Berman. The fund invests its assets in U.S. equity securities of any size capitalization that the Adviser believes are undervalu... More
Diamond Hill Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Diamond Hill's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Diamond Hill Long Short upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3622 | |||
| Information Ratio | 0.0531 | |||
| Maximum Drawdown | 1.58 | |||
| Value At Risk | (0.64) | |||
| Potential Upside | 0.6791 |
Diamond Hill Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Diamond Hill's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Diamond Hill's standard deviation. In reality, there are many statistical measures that can use Diamond Hill historical prices to predict the future Diamond Hill's volatility.| Risk Adjusted Performance | 0.176 | |||
| Jensen Alpha | 0.0621 | |||
| Total Risk Alpha | 0.0517 | |||
| Sortino Ratio | 0.0536 | |||
| Treynor Ratio | 0.2155 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Diamond Hill's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Diamond Hill Long Backtested Returns
We consider Diamond Hill very steady. Diamond Hill Long secures Sharpe Ratio (or Efficiency) of 0.25, which denotes the fund had a 0.25% return per unit of standard deviation over the last 3 months. We have found twenty-six technical indicators for Diamond Hill Long Short, which you can use to evaluate the volatility of the entity. Please confirm Diamond Hill's Coefficient Of Variation of 340.82, downside deviation of 0.3622, and Mean Deviation of 0.2955 to check if the risk estimate we provide is consistent with the expected return of 0.094%. The fund shows a Beta (market volatility) of 0.45, which means possible diversification benefits within a given portfolio. As returns on the market increase, Diamond Hill's returns are expected to increase less than the market. However, during the bear market, the loss of holding Diamond Hill is expected to be smaller as well.
Auto-correlation | 0.08 |
Virtually no predictability
Diamond Hill Long Short has virtually no predictability. Overlapping area represents the amount of predictability between Diamond Hill time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 to 25th of April 2024. 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 Long price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Diamond Hill price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 2.69 |
Diamond Hill Long lagged returns against current returns
Autocorrelation, which is Diamond Hill mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Diamond Hill's mutual fund expected returns. We can calculate the autocorrelation of Diamond Hill returns to help us make a trade decision. For example, suppose you find that Diamond Hill has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Diamond Hill regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Diamond Hill mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Diamond Hill mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Diamond Hill mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Diamond Hill Lagged Returns
When evaluating Diamond Hill's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Diamond Hill mutual fund have on its future price. Diamond Hill autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Diamond Hill autocorrelation shows the relationship between Diamond Hill mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Diamond Hill Long Short.
Regressed Prices |
| Timeline |
Pair Trading with Diamond Hill
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Diamond Hill position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Diamond Hill will appreciate offsetting losses from the drop in the long position's value.Moving together with Diamond Mutual Fund
| 0.98 | DHFAX | Diamond Hill Large | PairCorr |
| 0.97 | DHEIX | Diamond Hill Short | PairCorr |
| 0.93 | DHIYX | Diamond Hill Interna | PairCorr |
| 0.95 | DHLAX | Diamond Hill Large | PairCorr |
| 0.66 | DHMIX | Diamond Hill Small | PairCorr |
The ability to find closely correlated positions to Diamond Hill could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Diamond Hill when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Diamond Hill - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Diamond Hill Long Short to buy it.
The correlation of Diamond Hill is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Diamond Hill moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Diamond Hill Long moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Diamond Hill can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Diamond Hill Correlation, Diamond Hill Volatility and Diamond Hill Alpha and Beta module to complement your research on Diamond Hill. You can also try the Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
Diamond Hill technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.