Home Depot Risk Analysis And Volatility

HD -- USA Stock  

Fiscal Quarter End: October 31, 2019  

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%.
Interest Expense

90 Days Market Risk

Very steady

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 Trend
Check current 30 days Home Depot correlation with market (DOW)
β = 0.9943

Home Depot Central Daily Price Deviation

Home Depot Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Home Depot Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Home Depot moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Home Depot Projected Return Density Against Market

Allowing 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 
      Returns 
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
α
Alpha over DOW
=0.15
β
Beta against DOW=0.99
σ
Overall volatility
=1.30
Ir
Information ratio =0.12

Home Depot Return Volatility

the 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.
 Performance (%) 
      Timeline 

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

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Home Depot Inc and equity matching DJI index in the same portfolio.

Home Depot Current Risk Indicators

Home Depot Suggested Diversification Pairs

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