Diamond Hill Correlations

DHLRX Fund

USD 36.91 0.43 1.15%

The current 90-days correlation between Diamond Hill Large and Federated Mdt Large is -0.02 (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

Good diversification

The correlation between Diamond Hill Large and DJI is -0.11 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Diamond Hill Large 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 Large. 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 metropolitan statistical area.

Moving together with Diamond Mutual Fund

0.99	DHFAX	Diamond Hill Large	Pair Corr
0.64	DHEYX	Diamond Hill Short	Pair Corr
0.65	DHEIX	Diamond Hill Short	Pair Corr
0.66	DHEAX	Diamond Hill Short	Pair Corr
0.99	DHFYX	Diamond Hill Large	Pair Corr
0.99	DHFIX	Diamond Hill Large	Pair Corr
0.91	DHLAX	Diamond Hill Large	Pair Corr
0.84	DHMIX	Diamond Hill Small	Pair Corr
0.83	DHMAX	Diamond Hill Small	Pair Corr
0.91	DHLYX	Diamond Hill Large	Pair Corr
0.92	DHLTX	Diamond Hill All	Pair Corr
0.84	DHMYX	Diamond Hill Small	Pair Corr
0.85	DHPIX	Diamond Hill Mid	Pair Corr
0.84	DHPAX	Diamond Hill Mid	Pair Corr
0.85	DHPYX	Diamond Hill Mid	Pair Corr
0.88	DHSYX	Diamond Hill Small	Pair Corr
0.88	DHSIX	Diamond Hill Small	Pair Corr
0.96	DHSCX	Diamond Hill Small	Pair Corr
0.8	DHTYX	Diamond Hill All	Pair Corr
0.79	DHTAX	Diamond Hill Select	Pair Corr
0.91	VVIAX	Vanguard Value Index	Pair Corr
0.97	DOXGX	Dodge Cox Stock	Pair Corr
0.75	AFMFX	American Mutual	Pair Corr
0.82	FFMMX	American Funds American	Pair Corr
0.82	FFFMX	American Funds American	Pair Corr
0.74	AMRMX	American Mutual	Pair Corr
0.82	AMFFX	American Mutual	Pair Corr
0.82	AMFCX	American Mutual	Pair Corr
0.91	DODGX	Dodge Stock Fund	Pair Corr
0.84	VIVAX	Vanguard Value Index	Pair Corr

Moving against Diamond Mutual Fund

0.68	DHRIX	Diamond Hill E	Pair Corr
0.68	DHRAX	Diamond Hill E	Pair Corr
0.67	DHRYX	Diamond Hill E	Pair Corr
0.5	DHIAX	Diamond Hill Interna	Pair Corr
0.49	DHIYX	Diamond Hill Interna	Pair Corr
0.49	DHIIX	Diamond Hill Interna	Pair Corr

Related Correlations Analysis

	FSTRX	NWJFX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP
FSTRX		0.72	-0.77	0.0	-0.26	0.72	0.07	0.7	-0.46	0.48	FSTRX
NWJFX	0.72		-0.55	0.0	-0.33	0.78	0.12	0.48	-0.12	0.09	NWJFX
444859BR2	-0.77	-0.55		0.0	0.21	-0.63	-0.02	-0.58	0.24	-0.31	444859BR2
AQUI	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	0.0	AQUI
BRRAY	-0.26	-0.33	0.21	0.0		-0.51	-0.43	-0.41	-0.02	0.09	BRRAY
MSTSX	0.72	0.78	-0.63	0.0	-0.51		0.33	0.69	0.02	-0.12	MSTSX
ABHYX	0.07	0.12	-0.02	0.0	-0.43	0.33		0.56	-0.02	-0.22	ABHYX
LBHIX	0.7	0.48	-0.58	0.0	-0.41	0.69	0.56		-0.21	0.13	LBHIX
SCAXF	-0.46	-0.12	0.24	0.0	-0.02	0.02	-0.02	-0.21		-0.75	SCAXF
VIASP	0.48	0.09	-0.31	0.0	0.09	-0.12	-0.22	0.13	-0.75		VIASP
	FSTRX	NWJFX	444859BR2	AQUI	BRRAY	MSTSX	ABHYX	LBHIX	SCAXF	VIASP

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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

MSTSX	+ 0.78	NWJFX
NWJFX	+ 0.72	FSTRX
MSTSX	+ 0.72	FSTRX
LBHIX	+ 0.7	FSTRX
LBHIX	+ 0.69	MSTSX
LBHIX	+ 0.56	ABHYX

High negative correlations

444859BR2	- 0.77	FSTRX
VIASP	- 0.75	SCAXF
MSTSX	- 0.63	444859BR2
LBHIX	- 0.58	444859BR2
444859BR2	- 0.55	NWJFX
MSTSX	- 0.51	BRRAY

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
FSTRX	0.52	0.06	0.07	0.17	0.32	(0.62)	1.17	(0.86)	3.58
NWJFX	0.79	0.01	(0.08)	0.01	1.15	(0.78)	1.62	(1.93)	5.14
444859BR2	1.31	(0.03)	0.00	0.36	0.00	0.00	5.93	(4.50)	16.62
AQUI	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BRRAY	1.27	(0.11)	0.00	0.01	0.00	0.00	0.00	(2.98)	34.02
MSTSX	0.49	0.04	(0.11)	(0.30)	0.52	(0.59)	1.21	(1.02)	2.80
ABHYX	0.16	0.00	(0.20)	0.08	0.26	(0.24)	0.34	(0.33)	1.91
LBHIX	0.11	0.01	(0.32)	0.44	0.00	(0.29)	0.24	(0.24)	0.96
SCAXF	0.70	(0.40)	0.00	(1.01)	0.00	0.00	0.00	0.00	23.47
VIASP	0.74	0.11	0.01	(3.65)	1.04	(0.83)	2.28	(1.15)	7.18

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