Chevron Risk Analysis And Volatility Evaluation

CVX -- USA Stock  

USD 129.46  1.60  1.25%

Macroaxis considers Chevron not too risky given 1 month investment horizon. Chevron secures Sharpe Ratio (or Efficiency) of 0.2387 which signifies that Chevron had 0.2387% 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 technical indicators for Chevron Corporation which you can use to evaluate future volatility of the firm. Please makes use of Chevron Mean Deviation of 0.7222 and Risk Adjusted Performance of 0.01 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Chevron Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. 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.
Considering 30-days investment horizon, the coefficient of variation of Chevron is 419.0. The daily returns are destributed with a variance of 0.74 and standard deviation of 0.86. The mean deviation of Chevron Corporation is currently at 0.68. 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
=0.86
Ir
Information ratio =0.00

Actual Return Volatility

Chevron Corporation has volatility of 0.8608% on return distribution over 30 days investment horizon. DOW inherits 0.0% 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 0.86 and is 9.223372036854776E16 times more volatile than DOW. 7% 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 7 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Chevron Total Debt History

Total Debt

Volatility Indicators

Chevron Current Risk Indicators
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