We consider Walmart not too risky. Walmart
shows Sharpe Ratio of 0.0495 which attests that Walmart
had 0.0495% 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 stock specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for Walmart which you can use to evaluate future volatility of the organization. Please check out Walmart Market Risk Adjusted Performance
of 0.003498, Mean Deviation of 0.5918 and Downside Deviation of 0.5521 to validate if risk estimate we provide are consistent with the epected return of 0.0369%. Walmart has performance score of 3 on a scale of 0 to 100. The firm maintains market beta of -0.2679 which attests that as returns on market increase, returns on owning Walmart are expected to decrease at a much smaller rate. During bear market, Walmart is likely to outperform the market.. Although it is extremely important to respect Walmart historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining Walmart technical indicators you can presently evaluate if the expected return of 0.0369% will be sustainable into the future. Walmart right now maintains a risk of 0.7452%. Please check out Walmart Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to decide if Walmart will be following its historical returns.
|15 days auto-correlation||(0.45) |
Modest reverse predictability
Walmart has modest reverse predictability. Overlapping area represents the amount of predictability between Walmart time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Walmart price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Walmart price fluctuation can be explain by its past prices. Given that Walmart has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Walmart for similar time interval.
|Spearman Rank Test||-0.36|