Chevron Risk Analysis And Volatility Evaluation

CVX -- USA Stock  

USD 109.74  2.71  2.41%

Macroaxis considers Chevron to be not too risky. Chevron secures Sharpe Ratio (or Efficiency) of -0.0956 which signifies that Chevron had -0.0956% 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-one 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.
Interest Expense
Horizon     30 Days    Login   to change

Chevron Market Sensitivity

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.
2 Months Beta |Analyze Chevron Demand Trend
Check current 30 days Chevron correlation with market (DOW)
β = 0.8248

Chevron Central Daily Price Deviation

Chevron Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Chevron Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Chevron Projected Return Density Against Market

Considering 30-days investment horizon, Chevron has beta of 0.8248 . This suggests as returns on market go up, Chevron average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Chevron Corporation will be expected to be much smaller as well. Moreover, Chevron Corporation has an alpha of 0.0052 implying that it can potentially generate 0.0052% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Chevron is -1046.15. The daily returns are destributed with a variance of 2.98 and standard deviation of 1.73. The mean deviation of Chevron Corporation is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.0052
β
Beta against DOW=0.82
σ
Overall volatility
=1.73
Ir
Information ratio =0.0231

Chevron Return Volatility

Chevron Corporation has volatility of 1.7276% on return distribution over 30 days investment horizon. DOW inherits 1.3328% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chevron Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

Chevron Investment Opportunity

Chevron Corporation has a volatility of 1.73 and is 1.3 times more volatile than DOW. 15% of all equities and portfolios are less risky than Chevron. Compared to the overall equity markets, volatility of historical daily returns of Chevron Corporation is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Chevron Corporation to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Chevron to be traded at $105.35 in 30 days. 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.

Chevron correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Chevron Corp. and equity matching DJI index in the same portfolio.

Chevron Volatility Indicators

Chevron Corporation Current Risk Indicators

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