Wal Mart Backtesting

Wal Mart Stores Inc -- USA Stock  

USD 97.48  1.07  1.11%

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

Wal Mart 'What if' Analysis

October 24, 2017
No Change 0.00  0.0%
In 30 days
November 23, 2017
If you would invest  0.00  in Wal Mart on October 24, 2017 and sell it all today you would earn a total of 0.00 from holding Wal Mart Stores Inc or generate 0.0% return on investment in Wal Mart over 30 days. Wal Mart is related to or competes with Macys, Dollar General, Home Depot, Dollar Tree, Vipshop Holdings, and Aarons. It operates through three segments Walmart U.S., Walmart International, and Sams Club

Wal Mart Upside/Downside Indicators


Wal Mart Market Premium Indicators

Wal Mart Stores lagged returns against current returns

 Current and Lagged Values 

Wal Mart regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Wal Mart Stores Backtested Returns

Macroaxis considers Wal Mart not too risky given 1 month investment horizon. Wal Mart Stores shows Sharpe Ratio of 0.1781 which attests that Wal Mart Stores had 0.1781% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Wal Mart Stores which you can use to evaluate future volatility of the organization. Please utilize Wal Mart Stores Market Risk Adjusted Performance of (0.14), Mean Deviation of 1.2 and Downside Deviation of 1.35 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Wal Mart holds performance score of 11. The firm maintains market beta of -2.8298 which attests that as returns on market increase, returns on owning Wal Mart are expected to decrease by larger amounts. On the other hand, during market turmoil, Wal Mart is expected to significantly outperform it.. Although it is vital to follow to Wal Mart Stores historical price patterns, it is good to be conservative about what you can actually do with the information regarding 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 Wal Mart Stores technical indicators you can presently evaluate if the expected return of 0.4449% will be sustainable into the future. Please utilizes Wal Mart Stores Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to make a quick decision on weather Wal Mart Stores Inc historical returns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.52 

Modest predictability

Wal Mart Stores Inc has modest predictability. Overlapping area represents the amount of predictability between Wal Mart time series from October 24, 2017 to November 8, 2017 and November 8, 2017 to November 23, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Wal Mart Stores price movement. The serial correlation of 0.52 indicates that about 52.0% of current Wal Mart price fluctuation can be explain by its past prices.
Correlation Coefficient 0.52
Spearman Rank Test 0.38
Price Variance 12.65
Lagged Price Variance 0.54

Wal Mart Lagged Returns

 Regressed Prices 

Wal Mart Performance vs DOW

The median price of Wal Mart for the period between Tue, Oct 24, 2017 and Thu, Nov 23, 2017 is 89.83 with a coefficient of variation of 4.18. The daily time series for the period is distributed with a sample standard deviation of 3.81, arithmetic mean of 91.02, and mean deviation of 2.95. The Stock received some media coverage during the period.
Price Growth (%)  
Walmart store to open Wednesday in Delta Shores complex10/31/2017
Wal Mart exotic insider transaction detected11/21/2017