Eni SPA Backtesting

E -- USA Stock  

Earnings Report: February 21, 2020  

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

Eni SPA 'What if' Analysis

August 21, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 19, 2019
If you would invest  0.00  in Eni SPA on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding ENI SpA or generate 0.0% return on investment in Eni SPA over 90 days. Eni SPA is related to or competes with Adams Resources, BP Plc, Ecopetrol, Equinor ASA, Cenovus Energy, and Chevron. Eni S.p.A. engages in the oil and gas, electricity generation and sale, and petrochemicals businesses

Eni SPA Upside/Downside Indicators

Downside Deviation1.06
Information Ratio(0.001463)
Maximum Drawdown4.0
Value At Risk(1.77)
Potential Upside1.39

Eni SPA Market Premium Indicators

Risk Adjusted Performance0.0919
Jensen Alpha0.0262
Total Risk Alpha(0.043263)
Sortino Ratio(0.001359)
Treynor Ratio0.1482

ENI SpA Backtested Returns

We consider Eni SPA very steady. ENI SpA secures Sharpe Ratio (or Efficiency) of 0.101 which denotes the organization had 0.101% of return per unit of return volatility over the last 3 months. Our approach to 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 ENI SpA which you can use to evaluate future volatility of the firm. Please confirm ENI SpA Mean Deviation of 0.7931 and Downside Deviation of 1.06 to check if risk estimate we provide are consistent with the epected return of 0.1006%. Eni SPA has performance score of 6 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7563 which denotes to the fact that as returns on market increase, Eni SPA returns are expected to increase less than the market. However during bear market, the loss on holding Eni SPA will be expected to be smaller as well. Although it is extremely important to respect ENI SpA historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach to 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 examining ENI SpA technical indicators you can today evaluate if the expected return of 0.1006% will be sustainable into the future. ENI SpA now shows a risk of 0.9959%. Please confirm ENI SpA Standard Deviation, Value At Risk, Kurtosis, as well as the relationship between Jensen Alpha and Semi Variance to decide if ENI SpA will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.50 
correlation synergy

Modest predictability

ENI SpA has modest predictability. Overlapping area represents the amount of predictability between Eni SPA time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 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 ENI SpA price movement. The serial correlation of 0.5 indicates that about 50.0% of current Eni SPA price fluctuation can be explain by its past prices.
Correlation Coefficient0.5
Spearman Rank Test0.51
Residual Average0.0
Price Variance0.32

ENI SpA lagged returns against current returns

 Current and Lagged Values 

Eni SPA regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Eni SPA Lagged Returns

 Regressed Prices 

Current Sentiment - E

ENI SpA Investor Sentiment

More than half of Macroaxis users are currently bullish on ENI SpA. What is your opinion about investing in ENI SpA? Are you bullish or bearish?
98% Bullish
2% Bearish

Eni SPA Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Eni SPA and Adams Resources Energy. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Additionally see Eni SPA Hype Analysis, Eni SPA Correlation, Eni SPA Valuation, Eni SPA Volatility as well as analyze Eni SPA Alpha and Beta and Eni SPA Performance. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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