Exxon Backtesting

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
Investment Horizon     30 Days    Login   to change

Exxon 'What if' Analysis

September 27, 2016
No Change 0.00  0.0%
In 31 days
October 27, 2016
If you would invest  0.00  in Exxon on September 27, 2016 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 30 days. Exxon is related to or competes with PETROBRAS -PN, ROYAL DUTCH, CHEVRON CORP, PETROCHINA CO, BP PLC, and TOTAL SA. It also manufactures and markets commodity petrochemicals including olefins aromatics polyethylene and polypropylene pla...

Exxon Upside/Downside Indicators


Exxon Market Premium Indicators

Exxon Mobil lagged returns against current returns

 Current and Lagged Values 
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Exxon regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Exxon Mobil Backtested Returns

We consider Exxon not too risky. Exxon Mobil secures Sharpe Ratio (or Efficiency) of 0.1724 which denotes Exxon Mobil had 0.1724% 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-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 20992.05, Mean Deviation of 0.4845 and Downside Deviation of 0.5806 to check if risk estimate we provide are consistent with the epected return of 0.1942%. Exxon has performance score of 11 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0463 which denotes to the fact that as returns on market increase, Exxon returns are expected to increase less than the market. However during bear market, the loss on holding Exxon will be expected to be smaller as well.. Although it is extremely important to respect Exxon Mobil historical returns, it is beter to be realistic about what you can do with the information about equity current trading 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 0.1942% will be sustainable into the future. Exxon Mobil right now shows risk of 1.1264%. 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 
15 days auto-correlation(0.34)

Poor reverse predictability

Exxon Mobil Corporation has poor reverse predictability. Overlapping area represents amount of predictability between Exxon time series from September 27, 2016 to October 12, 2016 and October 12, 2016 to October 27, 2016. 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 -0.34 indicates that nearly 34.0% of current Exxon price fluctuation can be explain by its past prices. Given that Exxon Mobil Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Exxon for similar time interval.
Correlation Coefficient -0.34
Spearman Rank Test 0.4
Price Variance 0.06
Lagged Price Variance 1.43

Exxon Lagged Returns

 Regressed Prices 
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Exxon Performance vs NYSE

The median price of Exxon for the period between Tue, Sep 27, 2016 and Thu, Oct 27, 2016 is 86.92 with a coefficient of variation of 0.54. The daily time series for the period is distributed with a sample standard deviation of 0.47, arithmetic mean of 86.96, and mean deviation of 0.32. The Stock received some media coverage during the period.
Price Growth (%)  
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