Chevron Backtesting

Chevron Corporation -- USA Stock  

USD 118.64  0.44  0.37%

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
Investment Horizon     30 Days    Login   to change
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Chevron 'What if' Analysis

September 23, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 23, 2017
 0.00 
If you would invest  0.00  in Chevron on September 23, 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 
      Timeline 

Chevron regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Chevron Backtested Returns

We consider Chevron not too risky. Chevron secures Sharpe Ratio (or Efficiency) of 0.0445 which signifies that Chevron had 0.0445% 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-one technical indicators for Chevron Corporation which you can use to evaluate future volatility of the firm. Please confirm Chevron Mean Deviation of 0.4462 and Risk Adjusted Performance of 0.042 to double-check if risk estimate we provide are consistent with the epected return of 0.0281%. Chevron has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.1769 which signifies that as returns on market increase, returns on owning Chevron are expected to decrease at a much smaller rate. During bear market, Chevron is likely to outperform the market.. Although it is extremely important to respect Chevron historical returns, it is better to be realistic regarding the information on equity current trending patternss. 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 0.0281% will be sustainable into the future. Chevron right now shows a risk of 0.6308%. Please confirm Chevron Market Risk Adjusted Performance, Variance as well as the relationship between Variance and Potential Upside to decide if Chevron will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 

Poor reverse predictability

Chevron Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between Chevron time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 2017. 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 -0.33 indicates that nearly 33.0% of current Chevron price fluctuation can be explain by its past prices. Given that Chevron Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Chevron for similar time interval.
Correlation Coefficient -0.33
Spearman Rank Test -0.56
Price Variance 0.56
Lagged Price Variance 0.14

Chevron Lagged Returns

 Regressed Prices 
      Timeline 

Chevron Performance vs DOW

The median price of Chevron for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 117.99 with a coefficient of variation of 0.83. The daily time series for the period is distributed with a sample standard deviation of 0.98, arithmetic mean of 118.17, and mean deviation of 0.79. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
By How Much Will Chevron Raise Its Dividend Next Week10/20/2017