We consider Home Depot not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of 0.3764 which attests that The Home Depot had 0.3764% 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 check out Home Depot Market Risk Adjusted Performance of
(1.36), Risk Adjusted Performance of 0.0786 and Coefficient Of Variation of 307.56 to validate if risk estimate we provide are consistent with the epected return of 0.1521%.
|Investment 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 TrendCheck current 30 days Home Depot correlation with market (DOW)|
β = -0.0876
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, The Home Depot Inc has beta of -0.0876 . 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 Inc is likely to outperform the market. Moreover, The Home Depot Inc has an alpha of 0.1305 implying that it can potentially generate 0.1305% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Home Depot is 265.7. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.4. The mean deviation of The Home Depot Inc is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23