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   
Benchmark  Embed   Timeline 
Considering 30-days investment horizon, Big Lots Inc is expected to generate 2.22 times more return on investment than WalMart. However, Big Lots is 2.22 times more volatile than WalMart Stores Inc. It trades about 0.16 of its potential returns per unit of risk. WalMart Stores Inc is currently generating about -0.27 per unit of risk. If you would invest  4,299  in Big Lots Inc on July 30, 2015 and sell it today you would earn a total of  559  from holding Big Lots Inc or generate 13.0% return on investment over 30 days.

Correlation Coefficient

0.01

Parameters

Time Period1 Month [change]
DirectionPositive WMT Moved Up vs BIG
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Significant 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

Historical Performance Chart

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 10 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Big Lots

  

WalMart Stores

  

Risk-adjusted Performance

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

Pair trading matchups for WalMart