Walmart Backtesting

WMT -- USA Stock  

Fiscal Quarter End: January 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Walmart and determine expected loss or profit from investing in Walmart over given investment horizon. See also Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance.
Horizon     30 Days    Login   to change

Walmart 'What if' Analysis

August 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 18, 2019
If you would invest  0.00  in Walmart on August 20, 2019 and sell it all today you would earn a total of 0.00 from holding Walmart or generate 0.0% return on investment in Walmart over 90 days. Walmart is related to or competes with Vipshop Holdings, Rite Aid, Sally Beauty, Sprouts Farmers, Spectrum Brands, Sysco, and Target. Walmart Inc. engages in the retail and wholesale operations in various formats worldwide

Walmart Upside/Downside Indicators

Downside Deviation0.7861
Information Ratio(0.034749)
Maximum Drawdown3.33
Value At Risk(1.48)
Potential Upside1.21

Walmart Market Premium Indicators

Risk Adjusted Performance0.0932
Jensen Alpha0.0308
Total Risk Alpha(0.031766)
Sortino Ratio(0.033492)
Treynor Ratio0.1754

Walmart Backtested Returns

We consider Walmart very steady. Walmart shows Sharpe Ratio of 0.1535 which attests that the company had 0.1535% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Walmart which you can use to evaluate future volatility of the organization. Please check out Walmart Mean Deviation of 0.5796, Downside Deviation of 0.7861 and Market Risk Adjusted Performance of 0.1854 to validate if risk estimate we provide are consistent with the epected return of 0.1131%. Walmart has performance score of 10 on a scale of 0 to 100. The firm maintains market beta of 0.4973 which attests that as returns on market increase, Walmart returns are expected to increase less than the market. However during bear market, the loss on holding Walmart will be expected to be smaller as well. Although it is extremely important to respect Walmart historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining Walmart technical indicators you can presently evaluate if the expected return of 0.1131% will be sustainable into the future. Walmart right now maintains a risk of 0.7368%. Please check out Walmart Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to decide if Walmart will be following its historical returns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.19 
correlation synergy

Very weak predictability

Walmart has very weak predictability. Overlapping area represents the amount of predictability between Walmart time series from August 20, 2019 to October 4, 2019 and October 4, 2019 to November 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Walmart price movement. The serial correlation of 0.19 indicates that over 19.0% of current Walmart price fluctuation can be explain by its past prices.
Correlation Coefficient0.19
Spearman Rank Test0.16
Residual Average0.0
Price Variance0.98

Walmart lagged returns against current returns

 Current and Lagged Values 

Walmart regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Walmart Lagged Returns

 Regressed Prices 

Current Sentiment - WMT

Walmart Investor Sentiment

Predominant part of Macroaxis users are at this time bullish on Walmart. What is your outlook on investing in Walmart? Are you bullish or bearish?
98% Bullish
2% Bearish

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Traded for 36.89
See also Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.