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Benchmark  United States  NYSE  11,029   12.935 Index Moved Up 0.12%  


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Correlation analysis between Big Lots and WalMart

   
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Investment horizon:  
  30 Days    Login   to change
  
Run Correlation
 
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 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. Please also check ongoing floating volatility patterns of Big Lots and WalMart.
 

Unable to calculate performance of either BIG or WMT at this time. Please try again latter.

Historical Performance Chart

Directional Movement
Moving Averages
Balance Of Power
Bollinger Bands
Commodity Channel
Price Ceiling
Money Flow Index
Pattern Detection
Tangent Of Price Move
On Balance Volume
Price Depth
Rate of Change
Mean
Deviation		Jensen
Alpha		Sortino
Ratio		Treynor
Ratio		Semi
Deviation		Information
Ratio		Expected
Shortfall		Potential
Upside		Value
At Risk		Maximum
Drawdown
BIG
 1.09 (0.18)(0.14)(0.13) 1.35 (0.13)(1.22) 1.64 (1.57) 6.30 
Backtest
WMT
 0.39  0.04  0.11  0.55  0.35  0.11 (0.42) 0.73 (0.46) 1.18 
Backtest

Comparative Volatility

Predicted Return Density
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Returns:   
WMT   BIG   

Big Lots Inc

Premiums
 
Correlation
 
Profile
Over the last 30 days Big Lots Inc has generated negative risk-adjusted returns adding no value to investors with long positions.
Check Performance
Backtest
Predict Price

Pair trading matchups for Big Lots

WalMart Stores Inc vs. Big Lots Inc
Costco Wholesale Corporation vs. Big Lots Inc
Target Corp vs. Big Lots Inc
Dollar Tree Inc vs. Big Lots Inc
Family Dollar Stores Inc vs. Big Lots Inc
zulily Inc vs. Big Lots Inc
  

WalMart Stores

Premiums
 
Correlation
 
Profile
Compared with the overall equity markets, risk-adjusted returns on investments in WalMart Stores Inc are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.
Check Performance
Backtest
Predict Price

Pair trading matchups for WalMart

Costco Wholesale Corporation vs. WalMart Stores Inc
Target Corp vs. WalMart Stores Inc
Dollar Tree Inc vs. WalMart Stores Inc
Family Dollar Stores Inc vs. WalMart Stores Inc
zulily Inc vs. WalMart Stores Inc
Big Lots Inc vs. WalMart Stores Inc


 
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