Chevron Backtested Returns
Macroaxis considers Chevron to be not too risky. Chevron
secures Sharpe Ratio (or Efficiency) of -0.412 which signifies that Chevron
had -0.412% of return per unit of standard deviation over the last 1 month. 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 1.42 and Risk Adjusted Performance
of 0.73 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 1.0016 which signifies that Chevron returns are very sensitive to returns on the market. as market goes up or down, Chevron is expected to follow.. 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 -0.8493%. 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.
|15 days auto-correlation|| 0.88 |
Very good predictability
Chevron Corporation has very good predictability. Overlapping area represents the amount of predictability between Chevron time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 22, 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 0.88 indicates that approximately 88.0% of current Chevron price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.88|
|Spearman Rank Test|| 0.75|
|Price Variance|| 2.72|
|Lagged Price Variance|| 37.74|
Chevron Lagged Returns