Walmart Backtesting

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WMT -- USA Stock  

Fiscal Quarter End: April 30, 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. Check out Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance.

Walmart 'What if' Analysis

November 27, 2019
No Change 0.00  0.0 
In 2 months and 31 days
February 25, 2020
If you would invest  0.00  in Walmart on November 27, 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

Information Ratio(0.013839)
Maximum Drawdown3.17
Value At Risk(1.17)
Potential Upside1.34

Walmart Market Premium Indicators

Risk Adjusted Performance(0.008134)
Jensen Alpha(0.014741)
Total Risk Alpha(0.010864)
Treynor Ratio0.2356

Walmart Backtested Returns

We consider Walmart very steady. Walmart shows Sharpe Ratio of 3.0E-4 which attests that the company had 3.0E-4% 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 Market Risk Adjusted Performance of 0.2456 and Mean Deviation of 0.5513 to validate if risk estimate we provide are consistent with the epected return of 2.0E-4%. The firm maintains market beta of -0.0614, which attests that as returns on market increase, returns on owning Walmart are expected to decrease at a much smaller rate. During bear market, Walmart is likely to outperform the market. 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 2.0E-4% will be sustainable into the future. Walmart right now maintains a risk of 0.7387%. 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.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.68) 
correlation synergy

Very good reverse predictability

Walmart has very good reverse predictability. Overlapping area represents the amount of predictability between Walmart time series from November 27, 2019 to January 11, 2020 and January 11, 2020 to February 25, 2020. 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 -0.68 indicates that around 68.0% of current Walmart price fluctuation can be explain by its past prices. Given that Walmart has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Walmart for similar time interval.
Correlation Coefficient-0.68
Spearman Rank Test0.06
Residual Average0.0
Price Variance1.81

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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Check out Walmart Hype Analysis, Walmart Correlation, Walmart Valuation, Walmart Volatility as well as analyze Walmart Alpha and Beta and Walmart Performance. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.