Chevron Risk Analysis

Chevron Corporation -- USA Stock  

USD 118.32  0.12  0.1%

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 Trend
Check current 30 days Chevron correlation with market (DOW)
β = -0.5896
Chevron Almost negative betaChevron Beta Legend

Projected Return Density Against Market

Considering 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.14 
βBeta against DOW=(0.59) 
σ
Overall volatility
= 0.62 
 IrInformation ratio =(0.0955) 

Actual Return Volatility

Chevron Corporation has volatility of 0.6244% on return distribution over 30 days investment horizon. DOW inherits 0.2355% 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

Slightly opposite to market

Total Debt

Chevron Total Debt History

Total Debt

Largest Trends

Chevron Largest Period Trend
 117.95 
  
 117.03 
0.92  0.78%
Lowest period price (30 days)
 120.23 
  
 120.22 
0.01  0.008317%
Highest period price (30 days)

Investment Outlook

Chevron Investment Opportunity
Chevron Corporation has a volatility of 0.62 and is 2.58 times more volatile than DOW. 5% 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 5 (%) 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 $124.24 in 30 days. 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.

Chevron correlation with market

Very good 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.

Volatility Indicators

Chevron Current Risk Indicators