Chevron Risk Analysis And Volatility

CVX -- USA Stock  

USD 124.32  0.66  0.53%

We consider Chevron very steady. Chevron secures Sharpe Ratio (or Efficiency) of 0.0133 which signifies that the organization had 0.0133% of return per unit of standard deviation over the last 3 months. 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 Risk Adjusted Performance of 0.034 and Mean Deviation of 0.7416 to double-check if risk estimate we provide are consistent with the epected return of 0.0143%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

90 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

Chevron Market Sensitivity

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.
3 Months Beta |Analyze Chevron Demand Trend
Check current 30 days Chevron correlation with market (DOW)
β = 0.8136

Chevron Central Daily Price Deviation

Chevron Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Chevron high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Chevron closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Chevron Projected Return Density Against Market

Considering 30-days investment horizon, Chevron has beta of 0.8136 . This suggests as returns on market go up, Chevron average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Chevron Corporation will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0137 implying that it can potentially generate 0.0137% 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 7539.95. The daily returns are destributed with a variance of 1.17 and standard deviation of 1.08. The mean deviation of Chevron Corporation is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.0137
β
Beta against DOW=0.81
σ
Overall volatility
=1.08
Ir
Information ratio =0.0096

Chevron Return Volatility

the company has volatility of 1.0795% on return distribution over 30 days investment horizon. the entity inherits 0.9048% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Chevron Investment Opportunity

Chevron Corporation has a volatility of 1.08 and is 1.2 times more volatile than DOW. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use Chevron Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Chevron to be traded at $136.75 in 30 days. . 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.

Chevron correlation with market

correlation synergy
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.

Chevron Current Risk Indicators

Chevron Suggested Diversification Pairs

Check also Trending Equities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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