Walmart Backtesting

WMT -- USA Stock  

USD 95.90  0.15  0.16%

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

Walmart 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in Walmart on August 23, 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 30 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

Downside Deviation0.5521
Information Ratio0.22
Maximum Drawdown2.74
Value At Risk0.82
Potential Upside1.62

Walmart Market Premium Indicators

Risk Adjusted Performance0.0122
Jensen Alpha0.0481
Total Risk Alpha0.27
Sortino Ratio0.29
Treynor Ratio0.013498

Walmart Backtested Returns

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.
Advice Volatility Trend Exposure Correlations
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.
Correlation Coefficient-0.45
Spearman Rank Test-0.36
Residual Average0.0
Price Variance0.46

Walmart lagged returns against current returns

 Current and Lagged Values 

Walmart regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Walmart Lagged Returns

 Regressed Prices 

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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 ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.