Pair Correlation Between Big Lots and WalMart Stores

  
Investment Horizon     30 Days    Login   to change
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. Please also check ongoing floating volatility patterns of Big Lots and WalMart Stores.
 Big Lots Inc.  vs   WalMart Stores Inc.
Daily Returns (%)
WMT   BIG   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Big Lots Inc is expected to generate 1.47 times more return on investment than WalMart Stores. However, Big Lots is 1.47 times more volatile than WalMart Stores Inc. It trades about 0.15 of its potential returns per unit of risk. WalMart Stores Inc is currently generating about 0.11 per unit of risk. If you would invest  4,586  in Big Lots Inc on April 29, 2016 and sell it today you would earn a total of  509.00  from holding Big Lots Inc or generate 11.1% return on investment over 30 days.

Correlation Coefficient

0.35

Parameters

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

Diversification

Weak 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
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 2.39  0.45  0.18  0.27  2.29  0.12 (3.06) 3.22 (3.78) 7.40 
 1.55  0.15  0.07  0.16  1.98  0.06 (1.56) 1.66 (3.00) 10.10 

Comparative Volatility

Predicted Return Density  
Benchmark  Embed   Returns 

Big Lots Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Big Lots Inc are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Big Lots

  

WalMart Stores

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in WalMart Stores Inc are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for WalMart Stores