Chevron Risk Analysis And Volatility

CVX -- USA Stock  

USD 123.14  1.04  0.84%

Macroaxis considers Chevron to be very steady. Chevron secures Sharpe Ratio (or Efficiency) of -5.0E-4 which signifies that the organization had -5.0E-4% of return per unit of standard deviation over the last 3 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-six different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chevron Risk Adjusted Performance of 0.0268 and Mean Deviation of 0.7363 to double-check risk estimate we provide.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

90 Days Economic Sensitivity

Follows market closely
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.
3 Months Beta |Analyze Chevron Demand Trend
Check current 30 days Chevron correlation with market (DOW)
β = 0.8254

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 sixty-one. The Median Price line plots median indexes of Chevron price series. View also all equity analysis or get more info about median price price transform indicator.

Chevron Projected Return Density Against Market

Considering 30-days investment horizon, Chevron has beta of 0.8254 . 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. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Chevron is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Chevron is -188219.98. The daily returns are destributed with a variance of 1.21 and standard deviation of 1.1. The mean deviation of Chevron Corporation is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.0043
β
Beta against DOW=0.83
σ
Overall volatility
=1.10
Ir
Information ratio =0.0088

Chevron Return Volatility

the company has volatility of 1.099% on return distribution over 30 days investment horizon. the entity inherits 0.9173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Chevron Investment Opportunity

Chevron Corporation has a volatility of 1.1 and is 1.2 times more volatile than DOW. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Chevron Corporation to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Chevron to be traded at $120.68 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 Current Risk Indicators

Chevron Suggested Diversification Pairs

Check also Trending Equities. Please also try Transaction History module to view history of all your transactions and understand their impact on performance.
Search macroaxis.com