Home Depot Risk Analysis And Volatility

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HD -- USA Stock  

Fiscal Quarter End: January 31, 2020  

Macroaxis considers Home Depot to be very steady. Home Depot holds Efficiency (Sharpe) Ratio of -0.009 which attests that the entity had -0.009% of return per unit of risk over the last 3 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-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Home Depot Risk Adjusted Performance of (0.002827) and Market Risk Adjusted Performance of (0.017673) to validate risk estimate we provide.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

90 Days Economic Sensitivity

Almost mirrors market
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.
3 Months Beta |Analyze Home Depot Demand Trend
Check current 30 days Home Depot correlation with market (DOW)
β = 1.0737

Home Depot Central Daily Price Deviation

Home Depot Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Home Depot high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Home Depot closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Home Depot Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.0737 . This indicates Home Depot market returns are highly-sensitive to returns on the market. As the market goes up or down, Home Depot is expected to follow. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Home Depot is significantly underperforming DOW.
 Predicted Return Density 
Allowing for the 30-days total investment horizon, the coefficient of variation of Home Depot is -11160.96. The daily returns are destributed with a variance of 1.28 and standard deviation of 1.13. The mean deviation of Home Depot is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
Alpha over DOW
Beta against DOW=1.07
Overall volatility
Information ratio =0.13

Home Depot Return Volatility

the firm accepts 1.1309% volatility on return distribution over the 30 days horizon. the entity inherits 0.4749% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Home Depot Investment Opportunity

Home Depot has a volatility of 1.13 and is 2.4 times more volatile than DOW. 10  of all equities and portfolios are less risky than Home Depot. Compared to the overall equity markets, volatility of historical daily returns of Home Depot is lower than 10 () of all global equities and portfolios over the last 30 days. Use Home Depot to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Home Depot to be traded at $256.61 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

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Home Depot Inc and equity matching DJI index in the same portfolio.

Home Depot Current Risk Indicators

Home Depot Suggested Diversification Pairs

Plese check Risk vs Return Analysis. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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