Home Depot Correlations

HD Stock

USD 400.00 6.80 1.67%

The current 90-days correlation between Home Depot and Macys Inc is 0.06 (i.e., Significant diversification). The correlation of Home Depot is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Home Depot Correlation With Market

Average diversification

The correlation between Home Depot and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Home Depot and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Home Depot. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

For information on how to trade Home Stock refer to our How to Trade Home Stock guide.

Moving together with Home Stock

0.84	BQ	Boqii Holding Limited	Pair Corr
0.86	JD	JD Inc Adr Sell-off Trend	Pair Corr
0.7	LE	Lands End	Pair Corr
0.84	RH	RH	Pair Corr
0.68	FNKO	Funko Inc	Pair Corr
0.97	LOW	Lowes Companies	Pair Corr
0.65	GLBE	Global E Online Upward Rally	Pair Corr
0.67	KIRK	Kirklands Earnings Call This Week	Pair Corr
0.72	PLCE	Childrens Place	Pair Corr
0.74	POOL	Pool	Pair Corr

Moving against Home Stock

0.8	BGI	Birks Group	Pair Corr
0.72	FL	Foot Locker Earnings Call This Week	Pair Corr
0.57	DIBS	1StdibsCom	Pair Corr
0.36	HVT	Haverty Furniture	Pair Corr
0.32	DIT	AMCON Distributing Downward Rally	Pair Corr
0.75	ZUMZ	Zumiez Inc	Pair Corr
0.66	NEGG	Newegg Commerce	Pair Corr
0.64	JILL	JJill Inc	Pair Corr
0.58	ROST	Ross Stores	Pair Corr
0.49	ARHS	Arhaus Inc Buyout Trend	Pair Corr
0.45	BURL	Burlington Stores	Pair Corr
0.31	SCVL	Shoe Carnival	Pair Corr

Related Correlations Analysis

	M	W	DIBS	AN	BQ	FL	JD	JL	LB
M		0.11	-0.16	0.17	0.35	0.06	0.39	0.09	0.28	M
W	0.11		0.33	0.32	0.3	-0.12	0.38	-0.19	-0.38	W
DIBS	-0.16	0.33		0.42	-0.49	0.57	-0.51	-0.09	-0.85	DIBS
AN	0.17	0.32	0.42		-0.31	0.71	-0.32	-0.35	-0.43	AN
BQ	0.35	0.3	-0.49	-0.31		-0.7	0.77	-0.02	0.62	BQ
FL	0.06	-0.12	0.57	0.71	-0.7		-0.72	-0.24	-0.59	FL
JD	0.39	0.38	-0.51	-0.32	0.77	-0.72		0.24	0.54	JD
JL	0.09	-0.19	-0.09	-0.35	-0.02	-0.24	0.24		0.15	JL
LB	0.28	-0.38	-0.85	-0.43	0.62	-0.59	0.54	0.15		LB
	M	W	DIBS	AN	BQ	FL	JD	JL	LB

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

JD	+ 0.77	BQ
FL	+ 0.71	AN
LB	+ 0.62	BQ
FL	+ 0.57	DIBS
LB	+ 0.54	JD
AN	+ 0.42	DIBS

High negative correlations

LB	- 0.85	DIBS
JD	- 0.72	FL
FL	- 0.7	BQ
LB	- 0.59	FL
JD	- 0.51	DIBS
BQ	- 0.49	DIBS

Risk-Adjusted Indicators

There is a big difference between Home Stock performing well and Home Depot Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Home Depot's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
M	1.62	(0.36)	0.00	(0.21)	0.00	0.00	3.32	(2.84)	12.89
W	2.78	0.00	(0.01)	0.09	3.62	(2.77)	5.74	(5.23)	18.38
DIBS	1.56	(0.28)	0.00	(0.16)	0.00	0.00	3.28	(3.99)	12.87
AN	1.54	(0.22)	0.00	(0.04)	0.00	0.00	3.73	(3.00)	8.95
BQ	6.50	0.99	0.13	1.82	6.25	(9.63)	17.39	(14.08)	50.04
FL	2.16	(0.64)	0.00	(0.43)	0.00	0.00	3.83	(4.66)	13.15
JD	2.78	0.34	0.09	0.53	3.20	(3.10)	6.76	(6.99)	23.41
JL	7.31	0.11	0.01	0.21	8.35	(9.85)	12.82	(16.67)	95.21
LB	3.21	0.86	0.21	0.84	3.60	(3.62)	7.78	(7.11)	23.83

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC