Chevron Backtesting

CVX -- USA Stock  

USD 109.74  2.71  2.41%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Chevron 'What if' Analysis

October 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
December 19, 2018
0.00
If you would invest  0.00  in Chevron on October 20, 2018 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 60 days. Chevron is related to or competes with Eni SPA, Adams Resources, BP plc, Ecopetrol, EQT GP, Equinor ASA, and Cenovus Energy. Chevron Corporation, through its subsidiaries, engages in integrated energy, chemicals, and petroleum operations worldwi...

Chevron Upside/Downside Indicators

Information Ratio0.0231
Maximum Drawdown7.05
Value At Risk(2.84)
Potential Upside2.54
  

Chevron Market Premium Indicators

Risk Adjusted Performance(0.11)
Jensen Alpha0.0052
Total Risk Alpha0.0931
Treynor Ratio(0.18)

Chevron Backtested Returns

Macroaxis considers Chevron to be not too risky. Chevron secures Sharpe Ratio (or Efficiency) of -0.0856 which signifies that Chevron had -0.0856% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in foreseeing 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. Chevron Corporation exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chevron Mean Deviation of 1.29 and Risk Adjusted Performance of (0.11) to double-check risk estimate we provide. Macroaxis gives Chevron performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.8248 which signifies that as returns on market increase, Chevron returns are expected to increase less than the market. However during bear market, the loss on holding Chevron will be expected to be smaller as well.. Even though it is essential to pay attention to Chevron historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing 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. Chevron Corporation exposes twenty-eight different technical indicators which can help you to evaluate its performance. Chevron has expected return of -0.1496%. Please be advised to confirm Chevron Potential Upside, and the relationship between Jensen Alpha and Accumulation Distribution to decide if Chevron past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.38) 
correlation synergy

Poor reverse predictability

Chevron Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between Chevron time series from October 20, 2018 to November 19, 2018 and November 19, 2018 to December 19, 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 -0.38 indicates that just about 38.0% 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-0.38
Spearman Rank Test-0.39
Residual Average0.0
Price Variance7.71

Chevron lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Chevron regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Chevron Lagged Returns

 Regressed Prices 
      Timeline 

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Chevron Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Chevron and Eni S p. 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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Check also Chevron Hype Analysis, Chevron Correlation, Chevron Valuation, Chevron Volatility as well as analyze Chevron Alpha and Beta and Chevron Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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