Pair Correlation Between Big Lots and WalMart Stores

This module allows you to analyze existing cross correlation between Big Lots Inc and WalMart Stores Inc. You can compare the effects of market volatilities on Big Lots and WalMart Stores 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 WalMart Stores. See also your portfolio center.Please also check ongoing floating volatility patterns of Big Lots and WalMart Stores.
Investment Horizon     30 Days    Login   to change
 Big Lots Inc.  vs   WalMart Stores Inc.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Considering 30-days investment horizon, Big Lots Inc is expected to under-perform the WalMart Stores. In addition to that, Big Lots is 1.25 times more volatile than WalMart Stores Inc. It trades about -0.41 of its total potential returns per unit of risk. WalMart Stores Inc is currently generating about 0.02 per unit of volatility. If you would invest  7,140  in WalMart Stores Inc on August 27, 2016 and sell it today you would earn a total of  22.00  from holding WalMart Stores Inc or generate 0.31% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Big Lots and WalMart Stores
-0.41

Parameters

Time Period1 Month [change]
DirectionNegative BIG Moved Down vs WMT
StrengthVery Weak
Accuracy95.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents amount of risk that can be diversified away by holding Big Lots Inc. and WalMart Stores Inc. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on WalMart 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 WalMart Stores. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of WalMart Stores has no effect on the direction of Big Lots i.e. Big Lots and WalMart Stores go up and down completely randomly.

Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.38 (0.82) 0.00  2.44  0.00 (0.45) 0.00  1.29 (4.30) 4.48 
 0.70  0.01  0.06 (0.06) 0.94  0.06 (0.73) 1.96 (1.29) 4.09 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Big Lots Inc

  

Risk-adjusted Performance

Over the last 30 days Big Lots Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

WalMart Stores

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in WalMart Stores Inc are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.