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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 generate 1.8 times more return on investment than WalMart. However, Big Lots is 1.8 times more volatile than WalMart Stores Inc. It trades about 0.46 of its potential returns per unit of risk. WalMart Stores Inc is currently generating about 0.1 per unit of risk. If you would invest 3,909 in Big Lots Inc on December 28, 2014 and sell it today you would earn a total of 836 from holding Big Lots Inc or generate 21.39% return on investment over 30 days.

Correlation Coefficient

0.39

Parameters

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

Compare Fundamentals Suggest

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

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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	1.65	0.98	0.00	1.74	0.00	0.46	0.00	5.12	(1.82)	9.00	Backtest
WMT	0.77	0.12	0.00	0.22	0.00	0.13	0.00	2.11	(1.24)	5.68	Backtest

Comparative Volatility

Predicted Return Density

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Returns

Big Lots Inc

Premiums

Correlation

Profile

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

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Backtest

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