Walmart Backtesting

WMT -- USA Stock  

USD 90.64  0.13  0.14%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Walmart and determine expected loss or profit from investing in Walmart over given investment horizon. See also Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Walmart 'What if' Analysis

October 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 18, 2018
0.00
If you would invest  0.00  in Walmart on October 19, 2018 and sell it all today you would earn a total of 0.00 from holding Walmart or generate 0.0% return on investment in Walmart over 60 days. Walmart is related to or competes with Vipshop Holdings, Rite Aid, Sally Beauty, Sprouts Farmers, Spectrum Brands, SUPERVALU, and Sysco. Walmart Inc. engages in the retail and wholesale operations in various formats worldwide

Walmart Upside/Downside Indicators

Information Ratio0.0674
Maximum Drawdown5.6
Value At Risk(2.09)
Potential Upside2.12
  

Walmart Market Premium Indicators

Risk Adjusted Performance(0.07)
Jensen Alpha0.0228
Total Risk Alpha0.0823
Treynor Ratio(0.13)

Walmart Backtested Returns

Macroaxis considers Walmart to be not too risky. Walmart shows Sharpe Ratio of -0.1275 which attests that Walmart had -0.1275% of return per unit of risk over the last 2 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. Walmart exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Walmart Market Risk Adjusted Performance of (0.12) and Mean Deviation of 0.9904 to validate risk estimate we provide. Macroaxis gives Walmart performance score of 0 on a scale of 0 to 100. The firm maintains market beta of 0.6098 which attests that as returns on market increase, Walmart returns are expected to increase less than the market. However during bear market, the loss on holding Walmart will be expected to be smaller as well.. Even though it is essential to pay attention to Walmart historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Walmart exposes twenty-eight different technical indicators which can help you to evaluate its performance. Walmart has expected return of -0.1612%. Please be advised to check out Walmart Value At Risk as well as the relationship between Kurtosis and Market Facilitation Index to decide if Walmart past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.30) 
correlation synergy

Weak reverse predictability

Walmart has weak reverse predictability. Overlapping area represents the amount of predictability between Walmart time series from October 19, 2018 to November 18, 2018 and November 18, 2018 to December 18, 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 -0.3 indicates that nearly 30.0% 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.
Correlation Coefficient-0.3
Spearman Rank Test-0.51
Residual Average0.0
Price Variance4.5

Walmart lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Walmart regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Walmart Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - WMT

Walmart Investor Sentiment

Predominant part of Macroaxis users are at this time bullish on Walmart. What is your outlook on investing in Walmart? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
Skip

Also Currentnly Active

Purchased over 90 shares of
few hours ago
Traded for 24.8
Purchased over 90 shares of
few hours ago
Traded for 31.58
Purchased over 90 shares of
few hours ago
Traded for 29.8
See also Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Search macroaxis.com