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.
|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 TrendCheck current 30 days Chevron correlation with market (DOW)|
β = 0.8248
Chevron Central Daily Price Deviation
Chevron Technical Analysis
Chevron Projected Return Density Against MarketConsidering 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
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
|Alpha over DOW||=||0.0052|
|Beta against DOW||=||0.82|
Chevron Return VolatilityChevron 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.
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