Macroaxis considers Home Depot to be not too risky. The Home Depot
holds Efficiency (Sharpe) Ratio of -0.1121 which attests that The Home Depot
had -0.1121% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. The Home Depot exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Home Depot Market Risk Adjusted Performance
of 1.18 and Risk Adjusted Performance of 0.11 to validate risk estimate we provide. Macroaxis gives Home Depot performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.0859 which attests that as returns on market increase, Home Depot returns are expected to increase less than the market. However during bear market, the loss on holding Home Depot will be expected to be smaller as well.. Even though it is essential to pay attention to The Home Depot current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. The Home Depot exposes twenty-one different technical indicators which can help you to evaluate its performance. The Home Depot has expected return of -0.1539%. Please be advised to check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to decide if The Home Depot past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.17) |
Insignificant reverse predictability
The Home Depot has insignificant reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 25, 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 -0.17 indicates that over 17.0% of current Home Depot price fluctuation can be explain by its past prices. Given that The Home Depot has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Home Depot for similar time interval.
|Correlation Coefficient|| -0.17|
|Spearman Rank Test|| 0.14|
|Price Variance|| 4.74|
|Lagged Price Variance|| 11.56|