Diamond Hill Correlations

DHSIX Fund

USD 24.30 0.25 1.02%

The current 90-days correlation between Diamond Hill Small and Allianzgi Diversified Income is 0.26 (i.e., Modest 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

Modest diversification

The correlation between Diamond Hill Small and DJI is 0.26 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Diamond Hill Small 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. 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

0.96	DHFAX	Diamond Hill Large	Pair Corr
0.96	DHFYX	Diamond Hill Large	Pair Corr
0.96	DHFIX	Diamond Hill Large	Pair Corr
0.96	DHLAX	Diamond Hill Large	Pair Corr
1.0	DHMIX	Diamond Hill Small	Pair Corr
1.0	DHMAX	Diamond Hill Small	Pair Corr
0.96	DHLYX	Diamond Hill Large	Pair Corr
0.98	DHLTX	Diamond Hill All	Pair Corr
0.83	DHLSX	Diamond Hill Long	Pair Corr
0.91	DHLRX	Diamond Hill Large	Pair Corr
1.0	DHMYX	Diamond Hill Small	Pair Corr
0.99	DHPIX	Diamond Hill Mid	Pair Corr
0.99	DHPAX	Diamond Hill Mid	Pair Corr
0.99	DHPYX	Diamond Hill Mid	Pair Corr
0.62	DHRYX	Diamond Hill E	Pair Corr
0.62	DHRIX	Diamond Hill E	Pair Corr
1.0	DHSYX	Diamond Hill Small	Pair Corr
0.93	DHSCX	Diamond Hill Small	Pair Corr
0.98	DHTYX	Diamond Hill All	Pair Corr
0.98	DHTAX	Diamond Hill Select	Pair Corr
0.84	DIAMX	Diamond Hill Long	Pair Corr
0.84	DIAYX	Diamond Hill Long	Pair Corr
0.87	VSIIX	Vanguard Small Cap	Pair Corr
0.86	VISVX	Vanguard Small Cap	Pair Corr
0.88	DFSVX	Us Small Cap	Pair Corr
0.85	DFFVX	Us Targeted Value	Pair Corr
0.92	UBVCX	Undiscovered Managers	Pair Corr
0.92	UBVAX	Undiscovered Managers	Pair Corr
0.91	UBVSX	Undiscovered Managers	Pair Corr
0.91	AVFIX	American Beacon Small	Pair Corr

Moving against Diamond Mutual Fund

0.64	DHEYX	Diamond Hill Short	Pair Corr
0.64	DHEIX	Diamond Hill Short	Pair Corr
0.64	DHEAX	Diamond Hill Short	Pair Corr
0.57	PRFRX	T Rowe Price	Pair Corr

Related Correlations Analysis

	XACVX	CAARX	FPTPX	WDIAX	GPICX	FARIX	PDAAX
XACVX		0.91	0.82	0.61	0.02	0.79	0.8	XACVX
CAARX	0.91		0.91	0.71	-0.05	0.72	0.87	CAARX
FPTPX	0.82	0.91		0.8	-0.35	0.73	0.64	FPTPX
WDIAX	0.61	0.71	0.8		-0.32	0.73	0.34	WDIAX
GPICX	0.02	-0.05	-0.35	-0.32		-0.32	0.23	GPICX
FARIX	0.79	0.72	0.73	0.73	-0.32		0.54	FARIX
PDAAX	0.8	0.87	0.64	0.34	0.23	0.54		PDAAX
	XACVX	CAARX	FPTPX	WDIAX	GPICX	FARIX	PDAAX

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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

CAARX	+ 0.91	XACVX
FPTPX	+ 0.91	CAARX
PDAAX	+ 0.87	CAARX
FPTPX	+ 0.82	XACVX
PDAAX	+ 0.8	XACVX
WDIAX	+ 0.8	FPTPX

High negative correlations

GPICX	- 0.35	FPTPX
FARIX	- 0.32	GPICX
GPICX	- 0.32	WDIAX
GPICX	- 0.05	CAARX

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
XACVX	0.74	0.04	0.02	0.12	0.95	(0.78)	1.43	(1.36)	5.43
CAARX	0.26	0.01	(0.11)	0.10	0.33	(0.29)	0.61	(0.45)	2.05
FPTPX	0.31	(0.01)	(0.10)	0.03	0.49	(0.32)	0.53	(0.67)	2.16
WDIAX	0.58	(0.01)	(0.05)	0.05	0.68	(0.69)	1.10	(0.96)	5.40
GPICX	0.04	0.00	0.00	0.44	0.00	0.00	0.10	0.00	0.42
FARIX	0.31	0.01	(0.11)	0.14	0.35	(0.36)	0.65	(0.53)	2.12
PDAAX	0.18	0.01	(0.21)	0.24	0.10	(0.27)	0.52	(0.31)	1.35

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