Walmart (Germany) Market Value
| WMT Stock | 94.76 0.22 0.23% |
| 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.
| 01/06/2025 |
| 02/05/2025 |
If you would invest 0.00 in Walmart on January 6, 2025 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 30 days. Walmart is related to or competes with Scientific Games, FRACTAL GAMING, GAMES OPERATORS, SBM OFFSHORE, Yokohama Rubber, SIEM OFFSHORE, and CSSC Offshore. 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 | 1.23 | |||
| Information Ratio | 0.195 | |||
| Maximum Drawdown | 8.21 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 2.26 |
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 | 0.2174 | |||
| Jensen Alpha | 0.3126 | |||
| Total Risk Alpha | 0.2175 | |||
| Sortino Ratio | 0.2081 | |||
| Treynor Ratio | 1.78 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Walmart's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Walmart Backtested Returns
Walmart appears to be very steady, given 3 months investment horizon. Walmart shows Sharpe Ratio of 0.26, which attests that the company had a 0.26 % 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 Downside Deviation of 1.23, mean deviation of 0.9858, and Market Risk Adjusted Performance of 1.79 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Walmart holds a performance score of 20. The firm maintains a market beta of 0.18, 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 expected short fall, and the relationship between the maximum drawdown and rate of daily change , to make a quick decision on whether Walmart's historical returns will revert.
Auto-correlation | 0.12 |
Insignificant predictability
Walmart has insignificant predictability. Overlapping area represents the amount of predictability between Walmart time series from 6th of January 2025 to 21st of January 2025 and 21st of January 2025 to 5th of February 2025. 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 0.12 indicates that less than 12.0% of current Walmart price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.12 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 5.39 |
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 |
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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 Tools for Walmart Stock Analysis
When running Walmart's price analysis, check to measure Walmart's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Walmart is operating at the current time. Most of Walmart's value examination focuses on studying past and present price action to predict the probability of Walmart's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Walmart's price. Additionally, you may evaluate how the addition of Walmart to your portfolios can decrease your overall portfolio volatility.