Home Depot Risk Analysis And Volatility Evaluation

HD -- USA Stock  

USD 199.21  1.48  0.74%

Macroaxis considers Home Depot not too risky given 1 month investment horizon. The Home Depot holds Efficiency (Sharpe) Ratio of 0.2756 which attests that The Home Depot had 0.2756% 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-eight technical indicators for The Home Depot which you can use to evaluate future volatility of the corporation. Please utilize Home Depot Risk Adjusted Performance of 0.01 and Downside Deviation of 0.7893 to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

The Home Depot Technical Analysis

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, Home Depot has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Home Depot are completely uncorrelated. Furthermore, The Home DepotIt does not look like Home Depot alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Allowing for the 30-days total investment horizon, the coefficient of variation of Home Depot is 362.86. The daily returns are destributed with a variance of 0.72 and standard deviation of 0.85. The mean deviation of The Home Depot is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.33

Actual Return Volatility

The Home Depot accepts 0.8504% volatility on return distribution over the 30 days horizon. DOW inherits 1.3896% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Home Depot Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Home Depot Investment Opportunity
DOW has a standard deviation of returns of 1.39 and is 1.64 times more volatile than The Home Depot. 7% 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 7 (%) of all global equities and portfolios over the last 30 days.

Total Debt

The Home Depot Total Debt History

Total Debt

Volatility Indicators

Home Depot Current Risk Indicators
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