The Home Depot Backtested Returns
Macroaxis considers Home Depot not too risky given 1 month investment horizon. The Home Depot
holds Efficiency (Sharpe) Ratio of 0.3937 which attests that The Home Depot
had 0.3937% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-five technical indicators
for The Home Depot which you can use to evaluate future volatility of the corporation. Please utilize Home Depot Market Risk Adjusted Performance
of (1.33), Risk Adjusted Performance of 0.2292 and Coefficient Of Variation of 191.5 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Home Depot holds performance score of 25. The company retains Market Volatility (i.e. Beta) of -0.2754 which attests that as returns on market increase, returns on owning Home Depot are expected to decrease at a much smaller rate. During bear market, Home Depot is likely to outperform the market.. Although it is vital to follow to The Home Depot current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating The Home Depot technical indicators you can presently evaluate if the expected return of 0.2888% will be sustainable into the future. Please utilizes Home Depot Value At Risk, Kurtosis and the relationship between Sortino Ratio and Semi Variance to make a quick decision on weather The Home Depot Inc current trending patterns will revert.
|15 days auto-correlation|| 0.34 |
Below average predictability
The Home Depot Inc has below average predictability. Overlapping area represents the amount of predictability between Home Depot time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of The Home Depot price movement. The serial correlation of 0.34 indicates that nearly 34.0% of current Home Depot price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.34|
|Spearman Rank Test|| 0.5|
|Price Variance|| 8.52|
|Lagged Price Variance|| 1.17|
Home Depot Lagged Returns