Don't expect easy money from hurricanes

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It's been a while since a major hurricane has struck the Atlantic coast.

Danny—the first hurricane of the 2015 season—dissipated last week, and we haven't seen a hurricane of at least Category 3 make it to the U.S. mainland since 2005, when Hurricane Wilma hit Florida.

As large storms approach, we often start to see suggestions that companies like Home Depot and Lowe's will benefit. As people rush to buy home generators, sandbags and other supplies to prepare for the storm or repair afterward, investors look for a theoretical stock pop.

But you shouldn't expect to make any easy money by investing in home improvement companies. A recent report by data analytics firm Kensho suggests that a number of stocks—including Home Depot—do get a bump immediately after some hurricanes.

But does that hold over the long term for all hurricanes? The Big Crunch looked at Kensho's market data for every hurricane since 1992.

If, using Kensho's methodology and trading since 1992, we bought stock in Lowe's and Home Depot on the day before each hurricane landed—and sold five days afterward, we would have lost an average of 0.4 percent on every Home Depot trade and 0.84 percent on every Lowe's trade. A little under half of those trades would be in the negative. (Those trading days had the highest return for any choice within five days of the event.)

In the five days after the hurricanes landed, the two companies beat the S&P 500 less than 40 percent of the time, with a combined gain of only 3.3 percentage points over the index. The rest of the time, they have a combined average of minus 3.4 percent, 2.4 percentage points worse than the index.

Statistically speaking, for Home Depot there's about a 7 in 10 chance that the hurricanes caused no significant effect at all—the change is just normal variation in the stock's returns. For Lowe's, it's about 13 percent. But what if we invested in just the largest storms, after which both stocks were up relative to he S&P 500 about half the time?

Both Home Depot and Lowe's have positive average returns if we only traded on the largest hurricanes, and about half of all trades would be positive. That single trade—buying Home Depot before a large hurricane—could be worthwhile, according to the data. It provides a decent return—a median of 2.7 percent for each six-day trade—and that average return is actually statistically significant relative to the company's regular performance.

Even if that return were a sure thing—which it certainly is not (36 percent of all such trades since 1992 were still negative, and 20 percent lost to the S&P)—there may not be many opportunities to test it this year. Tropical Storm Erika isn't expected to gather enough strength to become a hurricane before reaching Florida. Landfall is expected early Monday. If it does, it won't be considered a major hurricane, with sustained wind of at least 111 mph.

Read MoreErika's arrival could remind US of hurricanes' costs

Weather conditions put the expected 2015 hurricane season at a 15-year low. According to the National Weather Service, there is a 90 percent chance of a below-normal season. We'll probably only see four hurricanes at most, and there may be none that gain the wind speed necessary for the higher category storms.

It may be a bad short term trade, but Home Depot could be a good bet on its own. With the weak hurricane season and volatile market this year, the company is up about 12 percent this year, even as the S&P 500 languishes.