Chevron Jensen Alpha 
CVX  USA Stock  Fiscal Quarter End: December 31, 2019 
Symbol 
 =  (0.06) 
ER[a]  =  Expected return on investing in Chevron 
ER[b]  =  Expected return on market index or selected benchmark 
BETA  =  Beta coefficient between Chevron and the market 
RFR  =  Risk Free Rate of return. Typically TBill Rate 
Jensen Alpha Comparison
Chevron Corporation is rated below average in jensen alpha category among related companies. It is rated fifth in maximum drawdown category among related companies .
Jensen alpha is the difference between the return of the portfolio, and what the portfolio should theoretically have earned. Any portfolio can be expected to earn the risk free rate (RF), plus the market risk premium (which is given by [Beta x (Market Portfolio Return  Risk Free Rate)]. Anything remaining over and above is alpha.Jensen Alpha 

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Risk Adjusted Performance  0.0115  
Market Risk Adjusted Performance  0.0133  
Mean Deviation  0.9168  
Semi Deviation  1.26  
Downside Deviation  1.3  
Coefficient Of Variation  9914.0  
Standard Deviation  1.32  
Variance  1.74  
Information Ratio  (0.045284)  
Jensen Alpha  (0.06)  
Total Risk Alpha  (0.13)  
Sortino Ratio  (0.045915)  
Treynor Ratio  0.0033  
Maximum Drawdown  7.96  
Value At Risk  (2.18)  
Potential Upside  2.06  
Downside Variance  1.69  
Semi Variance  1.58  
Expected Short fall  (0.96)  
Skewness  0.3412  
Kurtosis  2.4 
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