Walmart Backtesting

Walmart Inc -- USA Stock  

USD 92.89  0.12  0.13%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Walmart Inc 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
 Time Horizon     30 Days    Login   to change

Walmart 'What if' Analysis

January 26, 2018
No Change 0.00  0.0%
In 31 days
February 25, 2018
If you would invest  0.00  in Walmart on January 26, 2018 and sell it all today you would earn a total of 0.00 from holding Walmart Inc or generate 0.0% return on investment in Walmart over 30 days. Walmart is related to or competes with Macys, Dollar General, Home Depot, Dollar Tree, Vipshop Holdings, and Aarons. Walmart Inc. operates retail stores in various formats worldwide

Walmart Upside/Downside Indicators


Walmart Market Premium Indicators

Walmart Inc lagged returns against current returns

 Current and Lagged Values 

Walmart regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Walmart Inc Backtested Returns

Macroaxis considers Walmart to be not too volatile. Walmart Inc shows Sharpe Ratio of -0.2564 which attests that Walmart Inc had -0.2564% of return per unit of risk over the last 1 month. 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 Inc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Walmart Inc Market Risk Adjusted Performance of 2.07 and Mean Deviation of 1.84 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 -0.2729 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.. Even though it is essential to pay attention to Walmart Inc 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 Inc exposes twenty-one different technical indicators which can help you to evaluate its performance. Walmart Inc has expected return of -0.6954%. Please be advised to check out Walmart Inc Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to decide if Walmart Inc past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.81 

Very good predictability

Walmart Inc has very good predictability. Overlapping area represents the amount of predictability between Walmart time series from January 26, 2018 to February 10, 2018 and February 10, 2018 to February 25, 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 Inc price movement. The serial correlation of 0.81 indicates that around 81.0% of current Walmart price fluctuation can be explain by its past prices.
Correlation Coefficient 0.81
Spearman Rank Test 0.7
Price Variance 23.19
Lagged Price Variance 11.16

Walmart Lagged Returns

 Regressed Prices 

Walmart Performance vs DOW

The median price of Walmart for the period between Fri, Jan 26, 2018 and Sun, Feb 25, 2018 is 102.85 with a coefficient of variation of 5.15. The daily time series for the period is distributed with a sample standard deviation of 5.25, arithmetic mean of 101.79, and mean deviation of 4.16. The Stock received some media coverage during the period.
Price Growth (%)  
Walmart Inc Has Been Discounted Dramatically Time to Buy02/23/2018