Macroaxis considers Home Depot to be not too risky. Home Depot holds Efficiency (Sharpe) Ratio of -0.0981 which attests that Home Depot had -0.0981% 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
(0.24) and Risk Adjusted Performance of (0.18) to validate risk estimate we provide.
|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.2 Months Beta |Analyze Home Depot Demand TrendCheck current 30 days Home Depot correlation with market (DOW)|
β = 0.9835
Home Depot Central Daily Price Deviation
Home Depot Technical Analysis
Home Depot Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Home Depot has beta of 0.9835 . This indicates The Home Depot market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Home Depot is expected to follow. 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
Allowing for the 30-days total investment horizon, the coefficient of variation of Home Depot is -1018.92. The daily returns are destributed with a variance of 2.61 and standard deviation of 1.62. The mean deviation of The Home Depot is currently at 1.18. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.13|
|Beta against DOW||=||0.98|
Home Depot Return VolatilityThe Home Depot accepts 1.6168% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
The Home Depot has a volatility of 1.62 and is 1.26 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use The Home Depot to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Home Depot to be traded at $191.26 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