Home Depot Risk Analysis

The Home Depot Inc -- USA Stock  

USD 182.13  0.45  0.25%

Macroaxis considers Home Depot not too risky given 1 month investment horizon. The Home Depot holds Efficiency (Sharpe) Ratio of 0.4473 which attests that The Home Depot had 0.4473% 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 technical indicators for The Home Depot which you can use to evaluate future volatility of the corporation. Please utilize Home Depot Market Risk Adjusted Performance of 0.3742, Risk Adjusted Performance of 0.2357 and Coefficient Of Variation of 205.73 to validate if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Home Depot Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Home Depot will likely underperform.
One Month Beta |Analyze The Home Depot Demand Trend
Check current 30 days Home Depot correlation with market (DOW)
β = 1.2147
Home Depot Large 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.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.2147 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Home Depot will likely underperform. Moreover, The Home Depot Inc has an alpha of 0.1346 implying that it can potentially generate 0.1346% 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 223.55. The daily returns are destributed with a variance of 0.92 and standard deviation of 0.96. The mean deviation of The Home Depot Inc is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.13
βBeta against DOW=1.21
σ
Overall volatility
=0.96
 IrInformation ratio =0.2

Actual Return Volatility

The Home Depot Inc accepts 0.9593% volatility on return distribution over the 30 days horizon. DOW inherits 0.4491% 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

Very low

30 Days Economic Sensitivity

Totally responsive to market

Total Debt

The Home Depot Total Debt History

Total Debt

Largest Trends

Home Depot Largest Period Trend
 172.89 
  
 172.06 
0.83  0.48%
Lowest period price (30 days)
 183.19 
  
 184.9 
1.71  0.93%
Highest period price (30 days)

Investment Outlook

Home Depot Investment Opportunity
The Home Depot Inc has a volatility of 0.96 and is 2.13 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 Inc is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use The Home Depot Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Home Depot to be traded at $180.31 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Home Depot will likely underperform.

Home Depot correlation with market

Poor 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.

Volatility Indicators

Home Depot Current Risk Indicators