Q: What happens to Exxon-Mobil (XOM) when Crude futures close down after a OPEC meeting in the first quarter?
A: We found 11 occurrences of this type of action. 60 days out, XOM has been higher 9 of 11 occurrences with an average gain of 7.2%. Looking at Crude futures (CL) over the same time frame, we see that contract up in 9 of 11 occurrences. However, the average decline is 17.3%. Also of note in CL is that results are very mixed during the month after the OPEC meeting indicating that any path higher is bumpy to say the least.
Bottom Line: While CL may be dicey, we think stocks like XOM are solid long play for the second quarter.
Let variable values:
theSec = GII.XOM.NYSE
theEvent = IF
Date is in "opec_meet.date"
AND
1 value percent_move of CL is less than 0
AND
Date is first quarter
AND
theSec is DEFINED
THEN 1
ENDIF
Date Day t+10 t+20 t+40 t+60
01/28/1985 Mon 3.3 4.4 10.4 13.4
03/19/1986 Wed 1.1 4.8 5.4 9.3
03/11/1991 Mon 6.5 2.7 3.8 4.3
02/12/1992 Wed -2.6 -3.8 -2.6 0.2
03/30/1998 Mon -1.1 8.0 3.6 6.6
03/23/1999 Tue 0.6 7.8 8.2 11.7
03/27/2000 Mon 2.3 5.9 8.5 9.7
01/17/2001 Wed 4.9 4.6 3.4 2.2
03/15/2002 Fri 0.5 -4.6 -8.3 -10.5
01/10/2003 Fri -9.7 -4.6 -1.9 -1.9
03/11/2003 Tue 3.2 0.0 2.4 7.5
03/31/2004 Wed NaN NaN NaN NaN
Avg 0.8 2.3 3.0 4.8
AvgPos 2.8 4.8 5.7 7.2
AvgNeg -4.5 -4.4 -4.2 -6.2
PctPos 72.7 72.7 72.7 81.8
PctNeg 27.3 27.3 27.3 18.2
Maximum 6.5 8.0 10.4 13.4
Minimum -9.7 -4.6 -8.3 -10.5
StdDev 4.3 4.8 5.5 6.9
ZStat 0.2 0.5 0.5 0.7
Variance 18.9 23.0 30.0 48.3
12 Occurrences
Let variable values:
theSec = CL
theEvent = IF
Date is in "opec_meet.date"
AND
1 value percent_move of CL is less than 0
AND
Date is first quarter
AND
theSec is DEFINED
THEN 1
ENDIF
Date Day t+10 t+20 t+40 t+60
01/28/1985 Mon 11.1 7.8 18.4 21.5
03/19/1986 Wed -13.3 -12.7 20.8 10.7
03/11/1991 Mon 5.1 8.4 17.2 12.9
02/12/1992 Wed -3.7 -3.3 3.4 5.2
03/30/1998 Mon -6.7 -6.2 -23.4 -27.2
03/23/1999 Tue 3.4 17.5 10.8 19.0
03/27/2000 Mon -14.2 -3.3 8.7 26.7
01/17/2001 Wed 4.9 8.4 -3.0 2.2
03/15/2002 Fri 9.5 0.0 15.1 1.3
01/10/2003 Fri 6.4 13.3 26.9 0.9
03/11/2003 Tue -22.5 -22.4 -22.0 -7.4
03/31/2004 Wed NaN NaN NaN NaN
Avg -1.8 0.7 6.6 6.0
AvgPos 6.7 9.3 15.1 11.2
AvgNeg -12.1 -9.6 -16.2 -17.3
PctPos 54.5 54.5 72.7 81.8
PctNeg 45.5 45.5 27.3 18.2
Maximum 11.1 17.5 26.9 26.7
Minimum -22.5 -22.4 -23.4 -27.2
StdDev 11.1 11.9 16.7 15.0
ZStat -0.2 0.1 0.4 0.4
Variance 122.2 140.5 277.9 224.8
12 Occurrences
A: We found 11 occurrences of this type of action. 60 days out, XOM has been higher 9 of 11 occurrences with an average gain of 7.2%. Looking at Crude futures (CL) over the same time frame, we see that contract up in 9 of 11 occurrences. However, the average decline is 17.3%. Also of note in CL is that results are very mixed during the month after the OPEC meeting indicating that any path higher is bumpy to say the least.
Bottom Line: While CL may be dicey, we think stocks like XOM are solid long play for the second quarter.
Let variable values:
theSec = GII.XOM.NYSE
theEvent = IF
Date is in "opec_meet.date"
AND
1 value percent_move of CL is less than 0
AND
Date is first quarter
AND
theSec is DEFINED
THEN 1
ENDIF
Date Day t+10 t+20 t+40 t+60
01/28/1985 Mon 3.3 4.4 10.4 13.4
03/19/1986 Wed 1.1 4.8 5.4 9.3
03/11/1991 Mon 6.5 2.7 3.8 4.3
02/12/1992 Wed -2.6 -3.8 -2.6 0.2
03/30/1998 Mon -1.1 8.0 3.6 6.6
03/23/1999 Tue 0.6 7.8 8.2 11.7
03/27/2000 Mon 2.3 5.9 8.5 9.7
01/17/2001 Wed 4.9 4.6 3.4 2.2
03/15/2002 Fri 0.5 -4.6 -8.3 -10.5
01/10/2003 Fri -9.7 -4.6 -1.9 -1.9
03/11/2003 Tue 3.2 0.0 2.4 7.5
03/31/2004 Wed NaN NaN NaN NaN
Avg 0.8 2.3 3.0 4.8
AvgPos 2.8 4.8 5.7 7.2
AvgNeg -4.5 -4.4 -4.2 -6.2
PctPos 72.7 72.7 72.7 81.8
PctNeg 27.3 27.3 27.3 18.2
Maximum 6.5 8.0 10.4 13.4
Minimum -9.7 -4.6 -8.3 -10.5
StdDev 4.3 4.8 5.5 6.9
ZStat 0.2 0.5 0.5 0.7
Variance 18.9 23.0 30.0 48.3
12 Occurrences
Let variable values:
theSec = CL
theEvent = IF
Date is in "opec_meet.date"
AND
1 value percent_move of CL is less than 0
AND
Date is first quarter
AND
theSec is DEFINED
THEN 1
ENDIF
Date Day t+10 t+20 t+40 t+60
01/28/1985 Mon 11.1 7.8 18.4 21.5
03/19/1986 Wed -13.3 -12.7 20.8 10.7
03/11/1991 Mon 5.1 8.4 17.2 12.9
02/12/1992 Wed -3.7 -3.3 3.4 5.2
03/30/1998 Mon -6.7 -6.2 -23.4 -27.2
03/23/1999 Tue 3.4 17.5 10.8 19.0
03/27/2000 Mon -14.2 -3.3 8.7 26.7
01/17/2001 Wed 4.9 8.4 -3.0 2.2
03/15/2002 Fri 9.5 0.0 15.1 1.3
01/10/2003 Fri 6.4 13.3 26.9 0.9
03/11/2003 Tue -22.5 -22.4 -22.0 -7.4
03/31/2004 Wed NaN NaN NaN NaN
Avg -1.8 0.7 6.6 6.0
AvgPos 6.7 9.3 15.1 11.2
AvgNeg -12.1 -9.6 -16.2 -17.3
PctPos 54.5 54.5 72.7 81.8
PctNeg 45.5 45.5 27.3 18.2
Maximum 11.1 17.5 26.9 26.7
Minimum -22.5 -22.4 -23.4 -27.2
StdDev 11.1 11.9 16.7 15.0
ZStat -0.2 0.1 0.4 0.4
Variance 122.2 140.5 277.9 224.8
12 Occurrences