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Correlation analysis between Big Lots and WalMart

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 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.

Big Lots Inc. vs WalMart Stores Inc.

Daily Returns (%)

WMT

BIG

Change Benchmark

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Timeline

Considering 30-days investment horizon, Big Lots Inc is expected to under-perform the WalMart. In addition to that, Big Lots is 2.0 times more volatile than WalMart Stores Inc. It trades about -0.18 of its total potential returns per unit of risk. WalMart Stores Inc is currently generating about -0.22 per unit of volatility. If you would invest 7,562 in WalMart Stores Inc on July 2, 2014 and sell it today you would lose (204.00) from holding WalMart Stores Inc or give up 2.7% of portfolio value over 30 days.

Diversification

Average 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

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Correlation Coefficient

0.13

Parameters

Time Period	1 Month [change]
Direction	Positive
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

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Historical Performance Chart

Tangent Of Price Move

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
BIG	0.99	(0.08)	0.00	(0.22)	0.00	(0.08)	0.00	1.48	(1.82)	3.46	Backtest
WMT	0.46	(0.05)	0.00	(0.26)	0.00	0.05	0.00	0.73	(0.87)	1.64	Backtest