We consider Chevron not too risky. Chevron secures Sharpe Ratio (or Efficiency) of 0.1164 which signifies that Chevron had 0.1164% 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-eight technical indicators for Chevron Corporation which you can use to evaluate future volatility of the firm. Please confirm Chevron Mean Deviation of 0.4322 and Risk Adjusted Performance of 0.0325 to double-check if risk estimate we provide are consistent with the epected return of 0.0727%.
|Investment Horizon||30 Days Login to change|
Chevron Market Sensitivity
|As returns on market increase, returns on owning Chevron are expected to decrease at a much smaller rate. During bear market, Chevron is likely to outperform the market.One Month Beta |Analyze Chevron Demand TrendCheck current 30 days Chevron correlation with market (DOW)|
β = -0.5896
Projected Return Density Against MarketConsidering 30-days investment horizon, Chevron Corporation has beta of -0.5896 . This suggests as returns on benchmark increase, returns on holding Chevron are expected to decrease at a much smaller rate. During bear market, however, Chevron Corporation is likely to outperform the market. Moreover, Chevron Corporation has an alpha of 0.136 implying that it can potentially generate 0.136% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of Chevron is 859.18. The daily returns are destributed with a variance of 0.39 and standard deviation of 0.62. The mean deviation of Chevron Corporation is currently at 0.41. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23