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.
|15 days auto-correlation|| 0.52 |
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