Chevron Risk Analysis

Chevron Corporation -- USA Stock  

USD 112.14  0.39  0.35%

Macroaxis considers Chevron to be not too risky. Chevron secures Sharpe Ratio (or Efficiency) of -0.3752 which signifies that Chevron had -0.3752% 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 1.44 and Risk Adjusted Performance of 0.59 to double-check risk estimate we provide.
 Time 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 = 1.019
Chevron llmost one BetaChevron Beta Legend

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, the stock has beta coefficient of 1.019 . 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. Additionally, Chevron Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Chevron is -266.53. The daily returns are destributed with a variance of 4.24 and standard deviation of 2.06. The mean deviation of Chevron Corporation is currently at 1.46. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.57
β
Beta against DOW=1.02
σ
Overall volatility
=2.06
Ir
Information ratio =0.28

Actual Return Volatility

Chevron Corporation has volatility of 2.0601% on return distribution over 30 days investment horizon. DOW inherits 1.7402% 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

Below average

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

Chevron Total Debt History

Total Debt

Largest Trends

Chevron Largest Period Trend
 112.35 
  
 112.14 
0.21  0.19%
Lowest period price (30 days)
 130.71 
  
 131.19 
0.48  0.37%
Highest period price (30 days)

Investment Outlook

Chevron Investment Opportunity
Chevron Corporation has a volatility of 2.06 and is 1.18 times more volatile than DOW. 19% 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 19 (%) of all global equities and portfolios over the last 30 days. Use Chevron Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Chevron to be traded at $111.02 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

Very 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.