We consider Home Depot very steady. Home Depot holds Efficiency (Sharpe) Ratio of 0.1145 which attests that the entity had 0.1145% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Home Depot which you can use to evaluate future volatility of the corporation. Please check out Home Depot Risk Adjusted Performance of 0.096, Market Risk Adjusted Performance of 0.1249 and Downside Deviation of 1.33 to validate if risk estimate we provide are consistent with the epected return of 0.1492%.
90 Days Market Risk
Chance of Distress in 24 months
90 Days Economic Sensitivity
Almost mirrors market
|Horizon||30 Days Login to change|
Home Depot Market Sensitivity
|Home Depot returns are very sensitive to returns on the market. As market goes up or down, Home Depot is expected to follow. 3 Months Beta |Analyze Home Depot Demand TrendCheck current 30 days Home Depot correlation with market (DOW)|
β = 0.9943
Home Depot Central Daily Price Deviation
Home Depot Technical Analysis
Home Depot Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Home Depot has beta of 0.9943 . This indicates Home Depot market returns are highly-sensitive to returns on the market. As the market goes up or down, Home Depot is expected to follow. Moreover, The company has an alpha of 0.1499 implying that it can potentially generate 0.1499% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Allowing for the 30-days total investment horizon, the coefficient of variation of Home Depot is 873.6. The daily returns are destributed with a variance of 1.7 and standard deviation of 1.3. The mean deviation of Home Depot is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
|Alpha over DOW||=||0.15|
|Beta against DOW||=||0.99|
Home Depot Return Volatilitythe firm accepts 1.3034% volatility on return distribution over the 30 days horizon. the entity inherits 0.9791% risk (volatility on return distribution) over the 30 days horizon.
Home Depot Investment Opportunity
Home Depot has a volatility of 1.3 and is 1.33 times more volatile than DOW. 11 of all equities and portfolios are less risky than Home Depot. Compared to the overall equity markets, volatility of historical daily returns of Home Depot is lower than 11 () of all global equities and portfolios over the last 30 days. Use Home Depot to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Home Depot to be traded at $231.84 in 30 days. . Home Depot returns are very sensitive to returns on the market. As market goes up or down, Home Depot is expected to follow.
Home Depot correlation with market
Home Depot Current Risk Indicators
|Risk Adjusted Performance||0.096|
|Market Risk Adjusted Performance||0.1249|
|Coefficient Of Variation||1031.72|
Home Depot Suggested Diversification Pairs
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