Chevron Backtesting

Chevron Corporation -- USA Stock  

USD 132.49  0.48  0.36%

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

Chevron 'What if' Analysis

December 18, 2017
No Change 0.00  0.0%
In 31 days
January 17, 2018
If you would invest  0.00  in Chevron on December 18, 2017 and sell it all today you would earn a total of 0.00 from holding Chevron Corporation or generate 0.0% return on investment in Chevron over 30 days. Chevron is related to or competes with SM Energy, Apache, Anadarko Petroleum, Chesapeake Energy, Cabot Oil, and ConocoPhillips. Chevron Corporation operates in two segments, Upstream and Downstream

Chevron Upside/Downside Indicators


Chevron Market Premium Indicators

Chevron lagged returns against current returns

 Current and Lagged Values 

Chevron regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Chevron Backtested Returns

Macroaxis considers Chevron not too risky given 1 month investment horizon. Chevron secures Sharpe Ratio (or Efficiency) of 0.4438 which signifies that Chevron had 0.4438% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing 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-five technical indicators for Chevron Corporation which you can use to evaluate future volatility of the firm. Please makes use of Chevron Mean Deviation of 0.7756 and Risk Adjusted Performance of 0.1654 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Chevron holds performance score of 29. The firm shows Beta (market volatility) of -1.1899 which signifies that as returns on market increase, returns on owning Chevron are expected to decrease by larger amounts. On the other hand, during market turmoil, Chevron is expected to significantly outperform it.. Although it is vital to follow to Chevron historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy in foreseeing 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 analyzing Chevron technical indicators you can presently evaluate if the expected return of 0.4965% will be sustainable into the future. Please makes use of Chevron Total Risk Alpha as well as the relationship between Downside Variance and Rate Of Daily Change to make a quick decision on weather Chevron price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.5 

Modest predictability

Chevron Corporation has modest predictability. Overlapping area represents the amount of predictability between Chevron time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Chevron price movement. The serial correlation of 0.5 indicates that about 50.0% of current Chevron price fluctuation can be explain by its past prices.
Correlation Coefficient 0.5
Spearman Rank Test 0.68
Price Variance 4.61
Lagged Price Variance 7.02

Chevron Lagged Returns

 Regressed Prices 

Chevron Performance vs DOW

The median price of Chevron for the period between Mon, Dec 18, 2017 and Wed, Jan 17, 2018 is 125.98 with a coefficient of variation of 3.45. The daily time series for the period is distributed with a sample standard deviation of 4.34, arithmetic mean of 125.77, and mean deviation of 3.43. The Stock received some media coverage during the period.
Price Growth (%)  
Disposition of 3232 shares by Blackwell James R of Chevron s...01/16/2018