Diamond Hill Correlations

Mutual Funds . USA . 
Fund . Diamond Hill Small Mid
DHMIX Fund  USD 27.30  0.35  1.30%   
The current 90-days correlation between Diamond Hill Small and T Rowe Price is 0.9 (i.e., Almost no 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

Poor diversification

The correlation between Diamond Hill Small Mid and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Diamond Hill Small 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 Small 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 gross domestic product.

Moving together with Diamond Mutual Fund

  0.71DHLAX Diamond Hill LargePairCorr
  1.0DHMAX Diamond Hill SmallPairCorr
  0.72DHLYX Diamond Hill LargePairCorr
  0.92DHLTX Diamond Hill AllPairCorr
  0.71DHLRX Diamond Hill LargePairCorr
  1.0DHMYX Diamond Hill SmallPairCorr
  0.99DHPIX Diamond Hill MidPairCorr
  0.99DHPAX Diamond Hill MidPairCorr
  0.99DHPYX Diamond Hill MidPairCorr
  0.9DHSYX Diamond Hill SmallPairCorr
  0.9DHSIX Diamond Hill SmallPairCorr
  0.9DHSCX Diamond Hill SmallPairCorr
  0.92DHTYX Diamond Hill AllPairCorr
  0.92DHTAX Diamond Hill SelectPairCorr
  0.85VSIIX Vanguard Small CapPairCorr
  0.85VISVX Vanguard Small CapPairCorr
  0.9DFSVX Us Small CapPairCorr
  0.89DFFVX Us Targeted ValuePairCorr
  0.95UBVCX Undiscovered ManagersPairCorr
  0.81UBVAX Undiscovered ManagersPairCorr
  0.95UBVSX Undiscovered ManagersPairCorr
  0.93AVFIX American Beacon SmallPairCorr

Related Correlations Analysis


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 DeviationJensen AlphaSortino RatioTreynor RatioSemi DeviationExpected ShortfallPotential UpsideValue @RiskMaximum Drawdown
TQSMX  0.70  0.00  0.02  0.07  0.71 
(0.80)
 1.74 
(1.08)
 5.58 
HRTVX  0.79  0.01  0.03  0.08  0.85 
(0.82)
 1.78 
(1.32)
 6.68 
APHQX  0.67 (0.08)(0.09) 0.00  0.72 
(0.90)
 2.06 
(1.08)
 4.64 
COVAX  0.83  0.09  0.01 (0.55) 0.81 
(1.00)
 1.99 
(1.43)
 6.48 
HNTVX  0.79  0.01  0.04  0.08  0.86 
(0.81)
 1.78 
(1.32)
 6.67 
DISSX  0.86 (0.01) 0.03  0.06  0.86 
(1.05)
 2.12 
(1.38)
 6.95 
HFDRX  0.64 (0.04)(0.04) 0.03  0.79 
(0.73)
 1.53 
(1.12)
 4.70 
SMDIX  0.65 (0.04)(0.04) 0.03  0.80 
(0.71)
 1.48 
(1.13)
 4.68 
SMDRX  0.64 (0.04)(0.04) 0.03  0.79 
(0.73)
 1.52 
(1.13)
 4.71 
WBSNX  0.92 (0.02) 0.01  0.06  0.99 
(1.02)
 2.07 
(1.51)
 7.00 

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