We consider Exxon relatively not risky. Exxon Mobil
secures Sharpe Ratio (or Efficiency) of 0.17 which denotes Exxon Mobil
had 0.17% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-seven 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 586.28, Mean Deviation
of 0.4511 and Downside Deviation
of 0.5501 to check if risk estimate we provide are consistent with the epected return of 0.12%.
Projected Return Density against Market
Considering 30-days investment horizon, Exxon has beta of 0.3 . This means as returns on market go up, Exxon avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding Exxon Mobil Corporation will be expected to be much smaller as well. Moreover, Exxon Mobil Corporation has alpha of 0.0811 implying that it can potentially generate 0.0811% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of Exxon is 586.28. The daily returns are destributed with a variance of 0.47 and standard deviation of 0.69. The mean deviation of Exxon Mobil Corporation is currently at 0.45. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.45
Actual Return Volatility
Exxon Mobil Corporation has volatility of 0.69%
on return distribution over 30 days investment horizon. S&P 500 shows 0.45% volatility of returns over 30 trading days.