Chevron Stock Volatility

CVX
 Stock
  

USD 146.51  1.73  1.19%   

Chevron Corp secures Sharpe Ratio (or Efficiency) of -0.0612, which signifies that the company had -0.0612% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in foreseeing the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Chevron Corp exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chevron Corp risk adjusted performance of (0.08), and Mean Deviation of 1.81 to double-check the risk estimate we provide.
  
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Chevron Corp Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Chevron daily returns, and it is calculated using variance and standard deviation. We also use Chevron's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Chevron Corp volatility.

720 Days Market Risk

Very steady

Chance of Distress

720 Days Economic Sensitivity

Almost mirrors the market

ESG Sustainability

While most ESG disclosures are voluntary, Chevron Corp's sustainability indicators can be used to identify a proper investment strutegies using environmental, social, and governance scores that are crucial to Chevron Corp's managers and investors.
Environment Score
Governance Score
Social Score
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Chevron Corp can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Chevron Corp at lower prices. For example, an investor can purchase Chevron stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Chevron Corp's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with Chevron Corp

0.92BPBP Plc ADRPairCorr
0.94EEni SPA ADRPairCorr
0.63ECEcopetrol SA ADRPairCorr
0.62EQNREquinor ASA ADRPairCorr
0.82IMOImperial OilPairCorr

Chevron Corp Market Sensitivity And Downside Risk

Chevron Corp's beta coefficient measures the volatility of Chevron stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Chevron stock's returns against your selected market. In other words, Chevron Corp's beta of 0.91 provides an investor with an approximation of how much risk Chevron Corp stock can potentially add to one of your existing portfolios.
Let's try to break down what Chevron's beta means in this case. Chevron Corp returns are very sensitive to returns on the market. As the market goes up or down, Chevron Corp is expected to follow.
3 Months Beta |Analyze Chevron Corp Demand Trend
Check current 90 days Chevron Corp correlation with market (DOW)

Chevron Beta

    
  0.91  
Chevron standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  2.33  
It is essential to understand the difference between upside risk (as represented by Chevron Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Chevron Corp stock's daily returns or price. Since the actual investment returns on holding a position in Chevron Corp stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Chevron Corp.

Chevron Corp Implied Volatility

    
  37.78  
Chevron Corp's implied volatility exposes the market's sentiment of Chevron Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Chevron Corp's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Chevron Corp stock will not fluctuate a lot when Chevron Corp's options are near their expiration.

Chevron Corp Stock Volatility Analysis

Volatility refers to the frequency at which Chevron Corp stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Chevron Corp's price changes. Investors will then calculate the volatility of Chevron Corp's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Chevron Corp's volatility:

Historical Volatility

This type of stock volatility measures Chevron Corp's fluctuations based on previous trends. It's commonly used to predict Chevron Corp's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Chevron Corp's current market price. This means that the stock will return to its initially predicted market price.
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 Corp 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 Corp closing price as input.
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Chevron Corp Projected Return Density Against Market

Considering the 90-day investment horizon Chevron Corp has a beta of 0.9081 suggesting Chevron Corp market returns are sensitive to returns on the market. As the market goes up or down, Chevron Corp is expected to follow.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Chevron Corp or Energy sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Chevron Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Chevron stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.0288, implying that it can generate a 0.0288 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Chevron Corp's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Chevron Corp stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Chevron Corp Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Chevron Corp or Energy sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Chevron Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Chevron stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Considering the 90-day investment horizon the coefficient of variation of Chevron Corp is -1633.66. The daily returns are distributed with a variance of 5.41 and standard deviation of 2.33. The mean deviation of Chevron Corp is currently at 1.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
0.0288
β
Beta against DOW0.91
σ
Overall volatility
2.33
Ir
Information ratio 0.0203

Chevron Corp Stock Return Volatility

Chevron Corp historical daily return volatility represents how much Chevron Corp stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company has volatility of 2.327% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.4395% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Chevron Corp Volatility

Volatility is a rate at which the price of Chevron Corp or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Chevron Corp may increase or decrease. In other words, similar to Chevron's beta indicator, it measures the risk of Chevron Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of Chevron Corp fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2022
Market Capitalization226.2 B208 B
Chevron Corporation, through its subsidiaries, engages in integrated energy and chemicals operations worldwide. Chevron Corporation was founded in 1879 and is based in San Ramon, California. Chevron Corp operates under Oil Gas Integrated classification in the United States and is traded on New York Stock Exchange. It employs 42595 people.

Chevron Corp Investment Opportunity

Chevron Corp has a volatility of 2.33 and is 1.62 times more volatile than DOW. 20  of all equities and portfolios are less risky than Chevron Corp. Compared to the overall equity markets, volatility of historical daily returns of Chevron Corp is lower than 20 () of all global equities and portfolios over the last 90 days. Use Chevron Corp to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of Chevron Corp to be traded at $161.16 in 90 days. . Let's try to break down what Chevron's beta means in this case. Chevron Corp returns are very sensitive to returns on the market. As the market goes up or down, Chevron Corp is expected to follow.

Very weak diversification

The correlation between Chevron Corp and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Chevron Corp and DJI in the same portfolio, assuming nothing else is changed.

Chevron Corp Additional Risk Indicators

The analysis of Chevron Corp's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Chevron Corp's investment and either accepting that risk or mitigating it. Along with some common measures of Chevron Corp stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.08)
Market Risk Adjusted Performance(0.15)
Mean Deviation1.81
Coefficient Of Variation(1,691)
Standard Deviation2.29
Variance5.22
Information Ratio0.0203
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Chevron Corp Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Chevron Corp as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Chevron Corp's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Chevron Corp's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Chevron Corp.
Continue to Trending Equities. Note that the Chevron Corp information on this page should be used as a complementary analysis to other Chevron Corp's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.

Complementary Tools for Chevron Stock analysis

When running Chevron Corp price analysis, check to measure Chevron Corp's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Chevron Corp is operating at the current time. Most of Chevron Corp's value examination focuses on studying past and present price action to predict the probability of Chevron Corp's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Chevron Corp's price. Additionally, you may evaluate how the addition of Chevron Corp to your portfolios can decrease your overall portfolio volatility.
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Is Chevron Corp's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Chevron Corp. If investors know Chevron will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Chevron Corp listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth YOY
3.47
Market Capitalization
287.9 B
Quarterly Revenue Growth YOY
0.68
Return On Assets
0.0551
Return On Equity
0.15
The market value of Chevron Corp is measured differently than its book value, which is the value of Chevron that is recorded on the company's balance sheet. Investors also form their own opinion of Chevron Corp's value that differs from its market value or its book value, called intrinsic value, which is Chevron Corp's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Chevron Corp's market value can be influenced by many factors that don't directly affect Chevron Corp's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Chevron Corp's value and its price as these two are different measures arrived at by different means. Investors typically determine Chevron Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Chevron Corp's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.