HOME DEPOT (Germany) Market Value
| HDI Stock | 395.95 2.40 0.60% |
| Symbol | HOME |
HOME DEPOT 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to HOME DEPOT's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of HOME DEPOT.
| 12/03/2024 |
| 02/01/2025 |
If you would invest 0.00 in HOME DEPOT on December 3, 2024 and sell it all today you would earn a total of 0.00 from holding HOME DEPOT or generate 0.0% return on investment in HOME DEPOT over 60 days. HOME DEPOT is related to or competes with MEDICAL FACILITIES, Avanos Medical, Silicon Motion, Sanyo Chemical, Siamgas, AIR PRODCHEMICALS, and ONWARD MEDICAL. More
HOME DEPOT Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure HOME DEPOT's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess HOME DEPOT upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.06 | |||
| Information Ratio | 0.0322 | |||
| Maximum Drawdown | 5.66 | |||
| Value At Risk | (1.66) | |||
| Potential Upside | 2.44 |
HOME DEPOT Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for HOME DEPOT's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as HOME DEPOT's standard deviation. In reality, there are many statistical measures that can use HOME DEPOT historical prices to predict the future HOME DEPOT's volatility.| Risk Adjusted Performance | 0.0836 | |||
| Jensen Alpha | 0.1067 | |||
| Total Risk Alpha | 0.0072 | |||
| Sortino Ratio | 0.0377 | |||
| Treynor Ratio | 3.88 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of HOME DEPOT's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
HOME DEPOT Backtested Returns
Currently, HOME DEPOT is very steady. HOME DEPOT holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had a 0.13 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for HOME DEPOT, which you can use to evaluate the volatility of the firm. Please check out HOME DEPOT's Semi Deviation of 0.9324, risk adjusted performance of 0.0836, and Market Risk Adjusted Performance of 3.89 to validate if the risk estimate we provide is consistent with the expected return of 0.16%. HOME DEPOT has a performance score of 10 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of 0.028, which attests to not very significant fluctuations relative to the market. As returns on the market increase, HOME DEPOT's returns are expected to increase less than the market. However, during the bear market, the loss of holding HOME DEPOT is expected to be smaller as well. HOME DEPOT currently retains a risk of 1.26%. Please check out HOME DEPOT total risk alpha, downside variance, daily balance of power, as well as the relationship between the maximum drawdown and skewness , to decide if HOME DEPOT will be following its current trending patterns.
Auto-correlation | -0.91 |
Near perfect reversele predictability
HOME DEPOT has near perfect reversele predictability. Overlapping area represents the amount of predictability between HOME DEPOT time series from 3rd of December 2024 to 2nd of January 2025 and 2nd of January 2025 to 1st of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of HOME DEPOT price movement. The serial correlation of -0.91 indicates that approximately 91.0% of current HOME DEPOT price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.91 | |
| Spearman Rank Test | -0.85 | |
| Residual Average | 0.0 | |
| Price Variance | 112.39 |
HOME DEPOT lagged returns against current returns
Autocorrelation, which is HOME DEPOT stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting HOME DEPOT's stock expected returns. We can calculate the autocorrelation of HOME DEPOT returns to help us make a trade decision. For example, suppose you find that HOME DEPOT has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
HOME DEPOT regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If HOME DEPOT stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if HOME DEPOT stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in HOME DEPOT stock over time.
Current vs Lagged Prices |
| Timeline |
HOME DEPOT Lagged Returns
When evaluating HOME DEPOT's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of HOME DEPOT stock have on its future price. HOME DEPOT autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, HOME DEPOT autocorrelation shows the relationship between HOME DEPOT stock current value and its past values and can show if there is a momentum factor associated with investing in HOME DEPOT.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for HOME Stock Analysis
When running HOME DEPOT's price analysis, check to measure HOME DEPOT's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy HOME DEPOT is operating at the current time. Most of HOME DEPOT's value examination focuses on studying past and present price action to predict the probability of HOME DEPOT's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move HOME DEPOT's price. Additionally, you may evaluate how the addition of HOME DEPOT to your portfolios can decrease your overall portfolio volatility.