Diamond Hill Correlations

DHPAX Fund

USD 19.19 0.07 0.36%

The current 90-days correlation between Diamond Hill Mid and Diamond Hill Large is -0.05 (i.e., Good diversification). 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Diamond Hill Correlation With Market

Almost no diversification

The correlation between Diamond Hill Mid and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Diamond Hill Mid and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Diamond Hill Mid. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in nation.

Moving together with Diamond Mutual Fund

0.89	DHFAX	Diamond Hill Large	Pair Corr
0.77	DHEYX	Diamond Hill Short	Pair Corr
0.76	DHEIX	Diamond Hill Short	Pair Corr
0.77	DHEAX	Diamond Hill Short	Pair Corr
0.96	DHFYX	Diamond Hill Large	Pair Corr
0.96	DHFIX	Diamond Hill Large	Pair Corr
0.97	DHLAX	Diamond Hill Large	Pair Corr
0.99	DHMIX	Diamond Hill Small	Pair Corr
0.97	DHLYX	Diamond Hill Large	Pair Corr
0.96	DHLTX	Diamond Hill All	Pair Corr
0.89	DHLRX	Diamond Hill Large	Pair Corr
0.99	DHMYX	Diamond Hill Small	Pair Corr
1.0	DHPIX	Diamond Hill Mid	Pair Corr
1.0	DHPYX	Diamond Hill Mid	Pair Corr
0.97	DHSYX	Diamond Hill Small	Pair Corr
0.97	DHSIX	Diamond Hill Small	Pair Corr
0.97	DHSCX	Diamond Hill Small	Pair Corr
0.96	DHTYX	Diamond Hill All	Pair Corr
0.96	DHTAX	Diamond Hill Select	Pair Corr
0.9	FLPKX	Fidelity Low Priced	Pair Corr
0.78	FLPSX	Fidelity Low Priced	Pair Corr
0.96	VMVAX	Vanguard Mid Cap	Pair Corr
0.98	JVMAX	John Hancock Disciplined	Pair Corr
0.98	JVMIX	John Hancock Disciplined	Pair Corr
0.96	VMVIX	Vanguard Mid Cap	Pair Corr
0.97	JMVZX	Jpmorgan Mid Cap	Pair Corr
0.96	JMVRX	Jpmorgan Mid Cap	Pair Corr
0.91	JMVQX	Jpmorgan Mid Cap	Pair Corr
0.96	JMVYX	Jpmorgan Mid Cap	Pair Corr

Moving against Diamond Mutual Fund

0.5	DHRYX	Diamond Hill E	Pair Corr
0.38	DHIAX	Diamond Hill Interna	Pair Corr
0.51	DHRAX	Diamond Hill E	Pair Corr
0.5	DHRIX	Diamond Hill E	Pair Corr
0.98	UIPIX	Ultrashort Mid Cap	Pair Corr
0.86	USPSX	Profunds Ultrashort	Pair Corr
0.86	USPIX	Profunds Ultrashort	Pair Corr

Related Correlations Analysis

	DHFAX	DHEIX	DHEAX	DHFYX	DHFIX	DHIAX	DHIYX	DHIIX	DHLAX	DHMAX
DHFAX		0.74	0.75	0.92	0.92	-0.5	-0.49	-0.49	0.92	0.89	DHFAX
DHEIX	0.74		0.99	0.75	0.75	-0.5	-0.48	-0.49	0.75	0.75	DHEIX
DHEAX	0.75	0.99		0.77	0.77	-0.5	-0.48	-0.49	0.77	0.77	DHEAX
DHFYX	0.92	0.75	0.77		1.0	-0.47	-0.45	-0.45	0.99	0.96	DHFYX
DHFIX	0.92	0.75	0.77	1.0		-0.46	-0.45	-0.45	0.99	0.96	DHFIX
DHIAX	-0.5	-0.5	-0.5	-0.47	-0.46		1.0	1.0	-0.52	-0.45	DHIAX
DHIYX	-0.49	-0.48	-0.48	-0.45	-0.45	1.0		1.0	-0.5	-0.44	DHIYX
DHIIX	-0.49	-0.49	-0.49	-0.45	-0.45	1.0	1.0		-0.51	-0.44	DHIIX
DHLAX	0.92	0.75	0.77	0.99	0.99	-0.52	-0.5	-0.51		0.97	DHLAX
DHMAX	0.89	0.75	0.77	0.96	0.96	-0.45	-0.44	-0.44	0.97		DHMAX
	DHFAX	DHEIX	DHEAX	DHFYX	DHFIX	DHIAX	DHIYX	DHIIX	DHLAX	DHMAX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

DHFIX	+ 1.0	DHFYX
DHIYX	+ 1.0	DHIAX
DHIIX	+ 1.0	DHIAX
DHIIX	+ 1.0	DHIYX
DHEAX	+ 0.99	DHEIX
DHLAX	+ 0.99	DHFYX

High negative correlations

DHLAX	- 0.52	DHIAX
DHLAX	- 0.51	DHIIX
DHLAX	- 0.5	DHIYX
DHIAX	- 0.5	DHEAX
DHIAX	- 0.5	DHEIX
DHIAX	- 0.5	DHFAX

Risk-Adjusted Indicators

There is a big difference between Diamond Mutual Fund performing well and Diamond Hill Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Diamond Hill's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
DHFAX	0.54	0.05	(0.08)	(0.83)	0.60	(0.58)	1.01	(1.06)	3.41
DHEIX	0.07	0.01	(0.50)	5.54	0.00	(0.12)	0.20	(0.10)	0.60
DHEAX	0.07	0.01	(0.55)	1.51	0.00	(0.11)	0.10	(0.10)	0.60
DHFYX	0.53	(0.06)	(0.11)	0.03	0.60	(0.56)	1.01	(1.06)	3.41
DHFIX	0.54	(0.06)	(0.11)	0.03	0.60	(0.59)	1.01	(1.07)	3.41
DHIAX	0.61	(0.11)	0.00	(0.16)	0.00	0.00	1.28	(1.56)	3.56
DHIYX	0.61	(0.11)	0.00	(0.15)	0.00	0.00	1.21	(1.55)	3.54
DHIIX	0.61	(0.11)	0.00	(0.15)	0.00	0.00	1.22	(1.55)	3.55
DHLAX	0.54	(0.05)	(0.11)	0.04	0.56	(0.55)	1.08	(0.94)	3.25
DHMAX	0.72	(0.06)	(0.04)	0.06	0.69	(0.90)	1.57	(1.17)	6.23

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