Exelon Backtesting

EXC -- USA Stock  

  Potential Future Growth

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

Exelon 'What if' Analysis

August 19, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 17, 2019
0.00
If you would invest  0.00  in Exelon on August 19, 2019 and sell it all today you would earn a total of 0.00 from holding Exelon Corporation or generate 0.0% return on investment in Exelon over 90 days. Exelon is related to or competes with Dominion Energy, Just Energy, Allete, FirstEnergy Corp, Avista, Brookfield Infrastructure, and Companhia Paranaense. Exelon Corporation, a utility services holding company, engages in energy generation and delivery businesses in the Unit...

Exelon Upside/Downside Indicators

Downside Deviation1.46
Information Ratio(0.11)
Maximum Drawdown6.35
Value At Risk(1.85)
Potential Upside1.4

Exelon Market Premium Indicators

Risk Adjusted Performance0.0157
Jensen Alpha(0.03654)
Total Risk Alpha(0.19)
Sortino Ratio(0.08)
Treynor Ratio0.0249

Exelon Backtested Returns

Macroaxis considers Exelon to be very steady. Exelon secures Sharpe Ratio (or Efficiency) of -0.0024 which denotes the organization had -0.0024% of return per unit of risk over the last 3 months. Macroaxis philosophy towards predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Exelon Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Exelon Mean Deviation of 0.8142, Downside Deviation of 1.46 and Coefficient Of Variation of 5964.86 to check risk estimate we provide. The firm shows Beta (market volatility) of 0.3477 which denotes to the fact that as returns on market increase, Exelon returns are expected to increase less than the market. However during bear market, the loss on holding Exelon will be expected to be smaller as well. Even though it is essential to pay attention to Exelon historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Exelon Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Exelon has expected return of -0.0027%. Please be advised to confirm Exelon Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if Exelon past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.89) 
correlation synergy

Excellent reverse predictability

Exelon Corporation has excellent reverse predictability. Overlapping area represents the amount of predictability between Exelon time series from August 19, 2019 to October 3, 2019 and October 3, 2019 to November 17, 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 Exelon price movement. The serial correlation of -0.89 indicates that approximately 89.0% of current Exelon price fluctuation can be explain by its past prices. Given that Exelon Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Exelon for similar time interval.
Correlation Coefficient-0.89
Spearman Rank Test-0.38
Residual Average0.0
Price Variance1.77

Exelon lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Exelon regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Exelon Lagged Returns

 Regressed Prices 
      Timeline 

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Exelon Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Exelon and Dominion 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
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Additionally see Exelon Hype Analysis, Exelon Correlation, Exelon Valuation, Exelon Volatility as well as analyze Exelon Alpha and Beta and Exelon Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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