Home Depot Risk Analysis And Volatility Evaluation

HD -- USA Stock  

USD 171.69  2.57  1.47%

Macroaxis considers Home Depot to be not too risky. Home Depot holds Efficiency (Sharpe) Ratio of -0.1194 which attests that Home Depot had -0.1194% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Home Depot exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Home Depot Market Risk Adjusted Performance of (0.38) and Risk Adjusted Performance of (0.25) to validate risk estimate we provide.
Interest Expense
Horizon     30 Days    Login   to change

Home Depot Market Sensitivity

As returns on market increase, Home Depot returns are expected to increase less than the market. However during bear market, the loss on holding Home Depot will be expected to be smaller as well.
2 Months Beta |Analyze Home Depot Demand Trend
Check current 30 days Home Depot correlation with market (DOW)
β = 0.8236

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 thirty-nine. 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, Home Depot has beta of 0.8236 . This indicates as returns on market go up, Home Depot average returns are expected to increase less than the benchmark. However during bear market, the loss on holding The Home Depot will be expected to be much smaller as well. Additionally, The Home Depot has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Home Depot is -837.45. The daily returns are destributed with a variance of 3.25 and standard deviation of 1.8. The mean deviation of The Home Depot is currently at 1.35. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.19
β
Beta against DOW=0.82
σ
Overall volatility
=1.80
Ir
Information ratio =0.09

Home Depot Return Volatility

The Home Depot accepts 1.803% volatility on return distribution over the 30 days horizon. DOW inherits 1.3105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Home Depot Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

Home Depot Investment Opportunity

The Home Depot has a volatility of 1.8 and is 1.37 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days. Use The Home Depot to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Home Depot to be traded at $166.54 in 30 days. As returns on market increase, Home Depot returns are expected to increase less than the market. However during bear market, the loss on holding Home Depot will be expected to be smaller as well.

Home Depot correlation with market

correlation synergy
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.

Home Depot Volatility Indicators

The Home Depot Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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