Walmart (Germany) Market Value
| WMT Stock | EUR 86.01 1.91 2.27% |
| Symbol | Walmart |
Walmart 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Walmart's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Walmart.
| 12/06/2022 |
| 11/25/2024 |
If you would invest 0.00 in Walmart on December 6, 2022 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 720 days. Walmart is related to or competes with Air Lease, GEELY AUTOMOBILE, United Rentals, Evolution Mining, GRUPO CARSO-A1, and Grupo Carso. More
Walmart Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Walmart's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Walmart upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.08 | |||
| Information Ratio | 0.204 | |||
| Maximum Drawdown | 5.17 | |||
| Value At Risk | (1.81) | |||
| Potential Upside | 2.08 |
Walmart Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Walmart's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Walmart's standard deviation. In reality, there are many statistical measures that can use Walmart historical prices to predict the future Walmart's volatility.| Risk Adjusted Performance | 0.248 | |||
| Jensen Alpha | 0.319 | |||
| Total Risk Alpha | 0.1737 | |||
| Sortino Ratio | 0.2145 | |||
| Treynor Ratio | 1.26 |
Walmart Backtested Returns
Walmart appears to be very steady, given 3 months investment horizon. Walmart shows Sharpe Ratio of 0.32, which attests that the company had a 0.32% return per unit of risk over the last 3 months. We have found thirty technical indicators for Walmart, which you can use to evaluate the volatility of the company. Please utilize Walmart's Mean Deviation of 0.9054, market risk adjusted performance of 1.27, and Downside Deviation of 1.08 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Walmart holds a performance score of 25. The firm maintains a market beta of 0.28, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Walmart's returns are expected to increase less than the market. However, during the bear market, the loss of holding Walmart is expected to be smaller as well. Please check Walmart's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Walmart's historical returns will revert.
Auto-correlation | 0.84 |
Very good predictability
Walmart has very good predictability. Overlapping area represents the amount of predictability between Walmart time series from 6th of December 2022 to 1st of December 2023 and 1st of December 2023 to 25th of November 2024. 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 0.84 indicates that around 84.0% of current Walmart price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.85 | |
| Residual Average | 0.0 | |
| Price Variance | 95.57 |
Walmart lagged returns against current returns
Autocorrelation, which is Walmart stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Walmart's stock expected returns. We can calculate the autocorrelation of Walmart returns to help us make a trade decision. For example, suppose you find that Walmart has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Walmart regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Walmart stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Walmart stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Walmart stock over time.
Current vs Lagged Prices |
| Timeline |
Walmart Lagged Returns
When evaluating Walmart's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Walmart stock have on its future price. Walmart autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Walmart autocorrelation shows the relationship between Walmart stock current value and its past values and can show if there is a momentum factor associated with investing in Walmart.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Information and Resources on Investing in Walmart Stock
When determining whether Walmart is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Walmart Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Walmart Stock. Highlighted below are key reports to facilitate an investment decision about Walmart Stock:Check out Walmart Correlation, Walmart Volatility and Walmart Alpha and Beta module to complement your research on Walmart. For information on how to trade Walmart Stock refer to our How to Trade Walmart Stock guide.You can also try the Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Walmart technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.