We consider Home Depot not too risky. The Home Depot holds Efficiency (Sharpe) Ratio of 0.417 which attests that The Home Depot had 0.417% 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 6.77, Risk Adjusted Performance of 0.0992 and Coefficient Of Variation of 243.07 to validate if risk estimate we provide are consistent with the epected return of 0.1731%.
|Investment 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.One Month Beta |Analyze The Home Depot Demand TrendCheck current 30 days Home Depot correlation with market (DOW)|
β = 0.0229
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Home Depot has beta of 0.0229 . 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 Inc will be expected to be much smaller as well. Moreover, The Home Depot Inc has an alpha of 0.152 implying that it can potentially generate 0.152% 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 239.83. The daily returns are destributed with a variance of 0.17 and standard deviation of 0.42. The mean deviation of The Home Depot Inc is currently at 0.35. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23