Chevron Risk Analysis And Volatility Evaluation

CVX -- USA Stock  

USD 119.26  0.20  0.17%

We consider Chevron not too risky. Chevron secures Sharpe Ratio (or Efficiency) of 0.0452 which signifies that Chevron had 0.0452% 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 stock 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 1.39 and Risk Adjusted Performance of 0.0541 to double-check if risk estimate we provide are consistent with the epected return of 0.0813%.
Horizon     30 Days    Login   to change

Chevron Market Sensitivity

Chevron returns are very sensitive to returns on the market. As market goes up or down, Chevron is expected to follow.
One Month Beta |Analyze Chevron Demand Trend
Check current 30 days Chevron correlation with market (DOW)
β = 0.9219

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 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.

Chevron Projected Return Density Against Market

Considering 30-days investment horizon, Chevron has beta of 0.9219 . This suggests Chevron Corporation market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Chevron is expected to follow. Moreover, Chevron Corporation has an alpha of 0.0641 implying that it can potentially generate 0.0641% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Chevron is 2211.63. The daily returns are destributed with a variance of 3.23 and standard deviation of 1.8. The mean deviation of Chevron Corporation is currently at 1.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.06
β
Beta against DOW=0.92
σ
Overall volatility
=1.80
Ir
Information ratio =0.0353

Chevron Return Volatility

Chevron Corporation has volatility of 1.7974% on return distribution over 30 days investment horizon. DOW inherits 1.2677% 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

Almost mirrors market

Investment Outlook

Chevron Investment Opportunity

Chevron Corporation has a volatility of 1.8 and is 1.42 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days. Use Chevron Corporation to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Chevron to be traded at $125.22 in 30 days. Chevron returns are very sensitive to returns on the market. As market goes up or down, Chevron is expected to follow.

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 Volatility Indicators

Chevron Corporation Current Risk Indicators

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