Home Depot Risk Analysis And Volatility Evaluation

HD -- USA Stock  

USD 212.25  4.52  2.18%

We consider Home Depot not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of 0.1899 which attests that The Home Depot had 0.1899% 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 stock 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 2.90, Risk Adjusted Performance of 0.1013 and Downside Deviation of 0.5779 to validate if risk estimate we provide are consistent with the epected return of 0.1711%.
Horizon     30 Days    Login   to change

Home Depot Market Sensitivity

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.
One Month Beta |Analyze The Home Depot Demand Trend
Check current 30 days Home Depot correlation with market (DOW)
β = -0.0734
Home Depot Almost negative betaThe Home Depot Beta Legend

The Home Depot Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. The Home Depot Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Home Depot Projected Return Density Against Market

Allowing for the 30-days total investment horizon, The Home Depot has beta of -0.0734 . This indicates as returns on benchmark increase, returns on holding Home Depot are expected to decrease at a much smaller rate. During bear market, however, The Home Depot is likely to outperform the market. Moreover, The Home Depot has an alpha of 0.2207 implying that it can potentially generate 0.2207% 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 526.68. The daily returns are destributed with a variance of 0.81 and standard deviation of 0.9. The mean deviation of The Home Depot is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.22
β
Beta against DOW=0.07
σ
Overall volatility
=0.90
Ir
Information ratio =0.13

Home Depot Return Volatility

The Home Depot accepts 0.9013% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Home Depot Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

Home Depot Investment Opportunity

The Home Depot has a volatility of 0.9 and is 2.31 times more volatile than DOW. 8% of all equities and portfolios are less risky than Home Depot. Compared to the overall equity markets, volatility of historical daily returns of The Home Depot is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use The Home Depot to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Home Depot to be traded at $254.7 in 30 days. 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.

Home Depot correlation with market

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

Home Depot Volatility Indicators

The Home Depot Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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