Pair Correlation Between Big Lots and Wal Mart

This module allows you to analyze existing cross correlation between Big Lots Inc and Wal Mart Stores Inc. You can compare the effects of market volatilities on Big Lots and Wal Mart and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Big Lots with a short position of Wal Mart. See also your portfolio center. Please also check ongoing floating volatility patterns of Big Lots and Wal Mart.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Big Lots Inc  vs   Wal Mart Stores Inc
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Big Lots Inc is expected to generate 1.21 times more return on investment than Wal Mart. However, Big Lots is 1.21 times more volatile than Wal Mart Stores Inc. It trades about 0.24 of its potential returns per unit of risk. Wal Mart Stores Inc is currently generating about 0.28 per unit of risk. If you would invest  4,902  in Big Lots Inc on September 20, 2017 and sell it today you would earn a total of  396  from holding Big Lots Inc or generate 8.08% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Big Lots and Wal Mart
0.05

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding Big Lots Inc and Wal Mart Stores Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Wal Mart Stores and Big Lots is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Big Lots Inc are associated (or correlated) with Wal Mart. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wal Mart Stores has no effect on the direction of Big Lots i.e. Big Lots and Wal Mart go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Big Lots Inc

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Big Lots Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.

Wal Mart Stores

  
19 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Wal Mart Stores Inc are ranked lower than 19 (%) of all global equities and portfolios over the last 30 days.