The Home Depot Backtested Returns
We consider Home Depot not too risky. The Home Depot
holds Efficiency (Sharpe) Ratio of 0.1748 which attests that The Home Depot
had 0.1748% 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-eight technical indicators
for The Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Market Risk Adjusted Performance
of (0.2), Risk Adjusted Performance of 0.0745 and Downside Deviation of 0.9429 to validate if risk estimate we provide are consistent with the epected return of 0.1592%. Home Depot has performance score of 11 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -0.7349 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 extremely important to respect The Home Depot current price history, it is better to be realistic regarding the information on 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 0.1592% will be sustainable into the future. The Home Depot right now retains a risk of 0.9109%. Please check out Home Depot Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Total Risk Alpha and Downside Variance to decide if Home Depot will be following its current trending patterns.
|15 days auto-correlation||(0.74) |
Almost perfect reverse predictability
The Home Depot Inc has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Home Depot time series from October 24, 2017 to November 8, 2017 and November 8, 2017 to November 23, 2017. 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 -0.74 indicates that around 74.0% of current Home Depot price fluctuation can be explain by its past prices. Given that The Home Depot Inc 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|| -0.74|
|Spearman Rank Test|| -0.84|
|Price Variance|| 10.72|
|Lagged Price Variance|| 2.0|
Home Depot Lagged Returns