Pair Correlation Between Big Lots and Walmart

This module allows you to analyze existing cross correlation between Big Lots and Walmart. 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. See also your portfolio center. Please also check ongoing floating volatility patterns of Big Lots and Walmart.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Big Lots Inc  vs.  Walmart Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Big Lots is expected to under-perform the Walmart. In addition to that, Big Lots is 1.66 times more volatile than Walmart. It trades about -0.27 of its total potential returns per unit of risk. Walmart is currently generating about -0.12 per unit of volatility. If you would invest  9,411  in Walmart on March 21, 2018 and sell it today you would lose (655.00)  from holding Walmart or give up 6.96% of portfolio value over 30 days.

Pair Corralation between Big Lots and Walmart

0.69
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
Big Lots  
0 

Risk-Adjusted Performance

Over the last 30 days Big Lots has generated negative risk-adjusted returns adding no value to investors with long positions.
Walmart  
0 

Risk-Adjusted Performance

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

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WEN - USA Stock
The Wendys Company
Fama & French Restaurants Hotels Motels
Restaurants Hotels Motels
Fama & French Classification
RegionNorth America
ExchangeNASDAQ
$17.15

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