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 TrendCheck current 30 days Chevron correlation with market (DOW)|
β = 0.3962
Chevron Technical Analysis
Projected Return Density Against MarketConsidering 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).
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