Chevron Backtesting

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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Backtest

Chevron 'What if' Analysis

April 24, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
May 24, 2017
 0.00 
If you would invest  0.00  in Chevron on April 24, 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 Corp, 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 0.019 which signifies that Chevron had 0.019% 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-eight technical indicators for Chevron Corporation which you can use to evaluate future volatility of the firm. Please confirm Chevron Mean Deviation of 0.8374 and Risk Adjusted Performance of 0.0147 to double-check if risk estimate we provide are consistent with the epected return of 0.0197%. Chevron has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.2337 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Chevron will likely underperform.. Although it is extremely important to respect Chevron historical returns, it is beter to be realistic about what you can do with the information about equity current trading 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 0.0197% will be sustainable into the future. Chevron right now shows risk of 1.0374%. Please confirm Chevron Potential Upside, and the relationship between Jensen Alpha and Accumulation Distribution to decide if Chevron will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 

Insignificant predictability

Chevron Corporation has insignificant predictability. Overlapping area represents the amount of predictability between Chevron time series from April 24, 2017 to May 9, 2017 and May 9, 2017 to May 24, 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 0.1 indicates that less than 10.0% of current Chevron price fluctuation can be explain by its past prices.
Correlation Coefficient 0.1
Spearman Rank Test -0.53
Price Variance 0.51
Lagged Price Variance 0.41

Chevron Lagged Returns

 Regressed Prices 
      Timeline 

Chevron Performance vs NYSE

The median price of Chevron for the period between Mon, Apr 24, 2017 and Wed, May 24, 2017 is 106.12 with a coefficient of variation of 0.66. The daily time series for the period is distributed with a sample standard deviation of 0.7, arithmetic mean of 106.04, and mean deviation of 0.56. The Stock received some media coverage during the period.
May 17, 2017Chevron Dividend Paid
Price Growth (%)  
      Timeline 
1
Analyst Recommendations Roundup Chevron Corporation05/23/2017