Chevron Risk Analysis

Chevron Corporation -- USA Stock  

USD 119.53  0.2  0.17%

Macroaxis considers Chevron not too risky given 1 month investment horizon. Chevron secures Sharpe Ratio (or Efficiency) of 0.3655 which signifies that Chevron had 0.3655% 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 makes use of Chevron Mean Deviation of 0.501 and Risk Adjusted Performance of 0.0923 to double-check if our risk estimates are consistent with your expectations.
Investment 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.
One Month Beta |Analyze Chevron Demand Trend
Check current 30 days Chevron correlation with market (DOW)
β = 0.3962
Chevron Small BetaChevron Beta Legend

Chevron Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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.

Projected Return Density Against Market

Considering 30-days investment horizon, Chevron has beta of 0.3962 . 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 0.0182 implying that it can potentially generate 0.0182% 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 273.6. The daily returns are destributed with a variance of 0.35 and standard deviation of 0.59. The mean deviation of Chevron Corporation is currently at 0.45. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.0182
βBeta against DOW=0.4
σ
Overall volatility
=0.59
 IrInformation ratio =0.2

Actual Return Volatility

Chevron Corporation has volatility of 0.5911% on return distribution over 30 days investment horizon. DOW inherits 0.4491% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chevron Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slowly supersedes market

Total Debt

Chevron Total Debt History

Total Debt

Largest Trends

Chevron Largest Period Trend
 115.85 
  
 115.59 
0.26  0.22%
Lowest period price (30 days)
 119.81 
  
 120.84 
1.03  0.86%
Highest period price (30 days)

Investment Outlook

Chevron Investment Opportunity
Chevron Corporation has a volatility of 0.59 and is 1.31 times more volatile than DOW. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use Chevron Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Chevron to be traded at $118.33 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

Modest 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.