Chevron Risk Analysis And Volatility

CVX -- USA Stock  

Quarterly Earning Report: November 1, 2019  

Macroaxis considers Chevron to be very steady. Chevron secures Sharpe Ratio (or Efficiency) of -0.069 which signifies that the organization had -0.069% of return per unit of standard deviation over the last 3 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 0.8965 and Risk Adjusted Performance of (0.07) to double-check risk estimate we provide.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

90 Days Economic Sensitivity

Almost mirrors market
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.
3 Months Beta |Analyze Chevron Demand Trend
Check current 30 days Chevron correlation with market (DOW)
β = 0.9217

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 sixty-one. Chevron Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Chevron moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Chevron Projected Return Density Against Market

Considering 30-days investment horizon, Chevron has beta of 0.9217 . This suggests Chevron Corporation market returns are sensitive to returns on the market. As the market goes up or down, Chevron is expected to follow. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Chevron is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Chevron is -1449.99. The daily returns are destributed with a variance of 1.56 and standard deviation of 1.25. The mean deviation of Chevron Corporation is currently at 0.91. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
α
Alpha over DOW
=0.08
β
Beta against DOW=0.92
σ
Overall volatility
=1.25
Ir
Information ratio =0.07

Chevron Return Volatility

the company has volatility of 1.2509% on return distribution over 30 days investment horizon. the entity inherits 0.9935% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Chevron Investment Opportunity

Chevron Corporation has a volatility of 1.25 and is 1.26 times more volatile than DOW. 11  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 11 () of all global equities and portfolios over the last 30 days. Use Chevron Corporation to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Chevron to be traded at $114.99 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 Current Risk Indicators

Chevron Suggested Diversification Pairs

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