Exxon Backtesting

XOM -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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

Exxon 'What if' Analysis

August 14, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 12, 2019
If you would invest  0.00  in Exxon on August 14, 2019 and sell it all today you would earn a total of 0.00 from holding Exxon Mobil Corporation or generate 0.0% return on investment in Exxon over 90 days. Exxon is related to or competes with Western Midstream, Pioneer Natural, Southwestern Energy, Range Resources, QEP Resources, Whiting Petroleum, and SM Energy. Exxon Mobil Corporation explores for and produces crude oil and natural gas in the United States, CanadaOther Americas, ...

Exxon Upside/Downside Indicators

Downside Deviation1.59
Information Ratio(0.032844)
Maximum Drawdown6.07
Value At Risk(2.61)
Potential Upside1.98

Exxon Market Premium Indicators

Risk Adjusted Performance0.0263
Jensen Alpha(0.05)
Total Risk Alpha(0.09)
Sortino Ratio(0.028987)
Treynor Ratio0.024

Exxon Mobil Backtested Returns

We consider Exxon very steady. Exxon Mobil secures Sharpe Ratio (or Efficiency) of 0.0531 which denotes the organization had 0.0531% of return per unit of risk over the last 3 months. Our philosophy towards predicting 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 Exxon Mobil Corporation which you can use to evaluate future volatility of the firm. Please confirm Exxon Mobil Coefficient Of Variation of 3855.45, Mean Deviation of 1.1 and Downside Deviation of 1.59 to check if risk estimate we provide are consistent with the epected return of 0.0706%. Exxon has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.1042 which denotes to the fact that Exxon returns are very sensitive to returns on the market. as market goes up or down, Exxon is expected to follow. Although it is extremely important to respect Exxon Mobil historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards predicting 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 reviewing Exxon Mobil technical indicators you can presently evaluate if the expected return of 0.0706% will be sustainable into the future. Exxon Mobil right now shows a risk of 1.3307%. Please confirm Exxon Mobil Market Risk Adjusted Performance, Variance as well as the relationship between Variance and Potential Upside to decide if Exxon Mobil will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.30 
correlation synergy

Below average predictability

Exxon Mobil Corporation has below average predictability. Overlapping area represents the amount of predictability between Exxon time series from August 14, 2019 to September 28, 2019 and September 28, 2019 to November 12, 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 Exxon Mobil price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Exxon price fluctuation can be explain by its past prices.
Correlation Coefficient0.3
Spearman Rank Test0.4
Residual Average0.0
Price Variance2.43

Exxon Mobil lagged returns against current returns

 Current and Lagged Values 

Exxon regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Exxon Lagged Returns

 Regressed Prices 

Current Sentiment - XOM

Exxon Mobil Investor Sentiment

Predominant part of Macroaxis users are at this time bullish on Exxon Mobil Corporation. What is your opinion about investing in Exxon Mobil Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

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See also Exxon Hype Analysis, Exxon Correlation, Exxon Valuation, Exxon Volatility as well as analyze Exxon Alpha and Beta and Exxon Performance. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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