Chevron Risk Analysis And Volatility Evaluation

CVX -- USA Stock  

USD 124.04  2.47  1.95%

Macroaxis considers Chevron to be not too risky. Chevron secures Sharpe Ratio (or Efficiency) of -0.1391 which signifies that Chevron had -0.1391% of return per unit of standard deviation over the last 1 month. 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 1.01 and Risk Adjusted Performance of 0.01 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

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 0.0 . This suggests unless we do not have required data, the returns on DOW and Chevron are completely uncorrelated. Furthermore, Chevron CorporationIt does not look like Chevron alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Chevron is -718.88. The daily returns are destributed with a variance of 2.29 and standard deviation of 1.51. The mean deviation of Chevron Corporation is currently at 1.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.51
Ir
Information ratio =0.13

Actual Return Volatility

Chevron Corporation has volatility of 1.5123% on return distribution over 30 days investment horizon. DOW inherits 0.6066% 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

Market Insensitive

Investment Outlook

Chevron Investment Opportunity
Chevron Corporation has a volatility of 1.51 and is 2.48 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Chevron Total Debt History

Total Debt

Check also Trending Equities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.