Chevron Backtesting

CVX -- USA Stock  

USD 119.42  0.09  0.08%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Chevron Corporation and determine expected loss or profit from investing in Chevron over given investment horizon. Check also Chevron Hype Analysis, Chevron Correlation, Chevron Valuation, Chevron Volatility as well as analyze Chevron Alpha and Beta and Chevron Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Chevron 'What if' Analysis

August 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 20, 2018
0.00
If you would invest  0.00  in Chevron on August 21, 2018 and sell it all today you would earn a total of 0.00 from holding Chevron Corporation or generate 0.0% return on investment in Chevron over 30 days. Chevron is related to or competes with Eni SPA, Adams Resources, BP plc, EQT GP, Aegean Marine, Cenovus Energy, and Chevron. Chevron Corporation, through its subsidiaries, engages in integrated energy, chemicals, and petroleum operations worldwi...

Chevron Upside/Downside Indicators

Downside Deviation1.28
Information Ratio0.08
Maximum Drawdown4.57
Value At Risk1.17
Potential Upside1.5
  

Chevron Market Premium Indicators

Risk Adjusted Performance0.0154
Jensen Alpha0.05
Total Risk Alpha0.23
Sortino Ratio0.06
Treynor Ratio0.0193

Chevron Backtested Returns

We consider Chevron not too risky. Chevron secures Sharpe Ratio (or Efficiency) of 0.0584 which signifies that Chevron had 0.0584% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Chevron Corporation which you can use to evaluate future volatility of the firm. Please confirm Chevron Mean Deviation of 0.7075 and Risk Adjusted Performance of 0.0154 to double-check if risk estimate we provide are consistent with the epected return of 0.0592%. Chevron has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7296 which signifies that as returns on market increase, Chevron returns are expected to increase less than the market. However during bear market, the loss on holding Chevron will be expected to be smaller as well.. Although it is extremely important to respect Chevron historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Chevron technical indicators you can presently evaluate if the expected return of 0.0592% will be sustainable into the future. Chevron right now shows a risk of 1.0138%. Please confirm Chevron Market Risk Adjusted Performance, Variance as well as the relationship between Variance and Potential Upside to decide if Chevron will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.29) 

Weak reverse predictability

Chevron Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Chevron time series from August 21, 2018 to September 5, 2018 and September 5, 2018 to September 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Chevron price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current Chevron price fluctuation can be explain by its past prices. Given that Chevron Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Chevron for similar time interval.
Correlation Coefficient-0.29
Spearman Rank Test-0.15
Residual Average0.0
Price Variance3.08

Chevron lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Chevron regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Chevron Lagged Returns

 Regressed Prices 
      Timeline 

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Chevron Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Chevron and Eni S p. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also Chevron Hype Analysis, Chevron Correlation, Chevron Valuation, Chevron Volatility as well as analyze Chevron Alpha and Beta and Chevron Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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