Pair Correlation Between Big Lots and WalMart Stores |
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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 |
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 Period | 1 Month [change] |
| Direction | Negative  |
| Strength | Very Weak |
| Accuracy | 95.0% |
| Values | Daily 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
| MeanDeviation | JensenAlpha | SortinoRatio | TreynorRatio | SemiDeviation | InformationRatio | ExpectedShortfall | PotentialUpside | ValueAt Risk | MaximumDrawdown | ||
| 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
Big Lots Inc |
Risk-adjusted PerformanceOver the last 30 days Big Lots Inc has generated negative risk-adjusted returns adding no value to investors with long positions.
Big Lots Inc
Pair trading matchups for Big Lots
WalMart Stores |
Risk-adjusted PerformanceCompared 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.
WalMart Stores Inc
Pair trading matchups for WalMart Stores