Description of Chevron

Chevron Corporation Common Stock

Statistics of Chevron (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (68.6%) in the period of the last 5 years, the total return of 25.7% of Chevron is lower, thus worse.
  • Looking at total return in of 23.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (51%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 4.7% in the last 5 years of Chevron, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 7.2%, which is smaller, thus worse than the value of 14.8% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Using this definition on our asset we see for example:
  • Looking at the volatility of 22.5% in the last 5 years of Chevron, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.5%)
  • Looking at volatility in of 19.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside deviation of 22.7% of Chevron is greater, thus worse.
  • Looking at downside risk in of 20.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14.7%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 0.1 in the last 5 years of Chevron, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.63)
  • During the last 3 years, the risk / return profile (Sharpe) is 0.25, which is smaller, thus worse than the value of 0.96 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:
  • Looking at the downside risk / excess return profile of 0.1 in the last 5 years of Chevron, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
  • Compared with SPY (0.83) in the period of the last 3 years, the excess return divided by the downside deviation of 0.23 is smaller, thus worse.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of Chevron is 12 , which is higher, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • During the last 3 years, the Ulcer Ratio is 7.49 , which is greater, thus worse than the value of 4.1 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of Chevron is -39 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -21.5 days is smaller, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Which means for our asset as example:
  • Looking at the maximum days below previous high of 501 days in the last 5 years of Chevron, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 382 days is greater, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:
  • The average time in days below previous high water mark over 5 years of Chevron is 180 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Looking at average days under water in of 131 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

Performance of Chevron (YTD)

Historical returns have been extended using synthetic data.

Allocations of Chevron
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Allocations

Returns of Chevron (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Chevron are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.