Chevron Corporation (CVX)

New York Stock Exchange
USD
US1667641005
2 January 1970  –  14 January 2022

Performance

Annualized Return
7.15%
Sharpe Ratio
0.4
Maximum Drawdown
-79.12%

Metrics

Metric Chevron Corporation
Initial Balance $10,000
Final Balance $364,971
Returns
Month-To-Date 9.89%
Year-To-Date 9.89%
3M 21.03%
6M 29.71%
Annual Return (1Y) 45.62%
Annual Return (3Y) 10.14%
Annual Return (5Y) 6.74%
Annual Return (10Y) 6.25%
Annual Return (All) 7.15%
Enh Ann Return 10.38%
Best Year 76.48%
Worst Year -56.9%
Risk
Annual Volatility 28.35%
Max Drawdown -79.12%
Sharpe Ratio 0.4
Sortino Ratio 0.54
Adjusted Sortino (S/√2) 0.38
Ulcer Index 0.36
Gain to Pain Ratio 0.08

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on January 1970.
  • Final balance: The amount of capital we've accrued over time as of January 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 52 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Chart

Table

Year Chevron Corporation
1970 4.31%
1971 5.28%
1972 38.76%
1973 -56.04%
1974 -36.43%
1975 32.04%
1976 39.55%
1977 -5.17%
1978 20.58%
1979 20.26%
1980 76.48%
1981 -56.9%
1982 -25.37%
1983 8.22%
1984 -9.76%
1985 22.02%
1986 19.01%
1987 -11.45%
1988 21.93%
1989 55.72%
1990 11.76%
1991 -0.67%
1992 5.73%
1993 30.59%
1994 6.83%
1995 22.21%
1996 28.48%
1997 22.14%
1998 11.01%
1999 7.37%
2000 0.51%
2001 9.28%
2002 -23.12%
2003 35.41%
2004 25.57%
2005 11.51%
2006 33.75%
2007 30.56%
2008 -18.31%
2009 8.1%
2010 22.95%
2011 20.28%
2012 5.08%
2013 19.32%
2014 -6.98%
2015 -16.21%
2016 36.64%
2017 10.62%
2018 -9.78%
2019 15.28%
2020 -25.97%
2021 46.32%
2022 9.89%

Chevron Corporation had 39 positive years and 14 negative years. That's a positive ratio of 74%.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1970 -11.7% 3% -6.3% -6.2% 4.2% -7.5% 9.3% 8% -4% 5.5% 6% 6.9% 6.4%
1971 -2.3% 3.1% 3% 11.3% -10% 0.5% 0.2% -5.5% 4.2% -1.6% -4.5% 8.8% 6.9%
1972 4.4% -0.8% -6.5% 1.4% 4.9% 2.1% -2.1% 16.5% 0.5% 7.1% 5.1% 2.4% 34.1%
1973 11.8% -14.3% 10.7% 1.6% -12.2% 2.3% -6% -9.9% 6.1% 0% -17% -39.1% -57.5%
1974 -10.7% -8.8% 2.6% -1.7% -7% 0% -3.7% -4.9% -10.2% 13.6% -15.5% 5.4% -39%
1975 16.9% -2.4% -4.5% 2.6% 19.6% 6.7% -3.9% -2.5% -1.2% 1.7% -3.8% 2.2% 31.4%
1976 7.2% -4.8% 13.3% 6.6% 2.4% 2.4% -0.3% -1% 0% -1.7% -1.7% 13.1% 35.3%
1977 4.3% -6.2% -2.5% 3.5% 3.4% -0.3% 3.6% -6.9% 3.7% -7.2% 3.2% -2.8% -3.8%
1978 -5.5% 2.7% 2.3% 12.3% -3.5% -4.8% 5.3% 4.8% 6.5% -7.2% 4.6% 3% 20.6%
1979 0.8% -5.6% 6.7% 3.4% -8.4% 7.5% 6.7% 8% 2.9% -5.2% 3.9% -0.4% 21%
1980 10.4% 27.7% -17.6% 8% 3.3% 4.6% -2.6% -1.5% 3.2% 11.4% 36.3% -13.5% 63.3%
1981 -8.3% 0.4% -55.3% 0.9% -8.8% -0.7% 13.3% -1.5% -8.7% 11.8% 5.3% -4.7% -59.6%
1982 -14.9% -13% -3.6% -2.4% 10.9% -13.2% -12.2% 9.9% 3.1% 5.7% 0.4% 5.4% -22.1%
1983 3.5% 8.7% 6.6% 6.2% -9.5% 6.4% -8.3% 2.4% -3.4% -1.1% -1.8% 0% 12.9%
1984 5.8% 1% 1% 6% -6% -6% -10% 15.1% 0.4% -10% 1.2% -5.7% -7.4%
1985 9.6% 1.1% 0.7% 6.5% -3.7% 4.6% -1.7% 2.4% -1.7% 5.8% -2.2% -0.3% 22.7%
1986 -4.3% 0.7% -0.7% 5.5% 3.9% -4.1% -5.9% 22.5% -0.6% 1.4% 6.2% -4.2% 21.1%
1987 16.8% -6.6% 13.4% 3.3% 0.7% 6.2% -2.4% -3.3% -7.9% -17.6% -16.6% 8.6% -4.5%
1988 13.2% -0.1% 5.1% 3.5% 3.7% -7.9% 6.9% -7% -2% 7.4% -1% -0% 22.9%
1989 10% -2.3% 8.8% 2.8% 3.2% -2.3% 0.9% 4.5% 8.4% 13% 0.5% -1.3% 47.5%
1990 -1.3% 1.4% 0.6% -2.4% 7.4% 0.5% 13.9% -4.4% -2.5% -7.9% 3.7% 3.9% 13.2%
1991 -1.7% 6.6% 2.3% 1.6% -4.5% -4.7% 2.5% 0.6% 2.4% 1.7% -9.7% 3.4% 1%
1992 -7.8% -1.9% 3.7% 9.2% 3.6% -6.1% 6.5% 4.2% 0.8% -4.2% -2% 1.1% 7.3%
1993 4.7% 7.1% 7.9% 3.6% 3.4% -0.4% 0.7% 6.4% 5% -0.8% -9.6% 0.3% 28.5%
1994 7.2% -6.3% -3% 6% -1.2% -3.7% 6% -3.5% -1.8% 8.1% -2% 2.3% 8.3%
1995 0% 7.8% 0.8% -1.3% 4.7% -5.6% 6.5% -1% 0.8% -4.1% 6.7% 6.1% 21.8%
1996 -1% 8.2% 0.9% 3.3% 3.9% -1.3% -1.9% 2.7% 6.4% 5% 2.7% -3% 27.4%
1997 2.1% -2.1% 8% -1.6% 3% 5.7% 6.8% -1.2% 7.3% -0.2% -2.7% -4% 23.2%
1998 -2.9% 9% -0.7% 3% -2.7% 4.8% -1.3% -9.7% 13.5% -3% 3.4% -0.8% 14.8%
1999 -10.2% 4% 15.4% 12.4% -6.7% 2.8% -4% 1.8% -3.9% 2.9% -2.4% -2.2% 11.1%
2000 -3.5% -9.9% 23.8% -7.9% 9.3% -8.2% -6.9% 7.8% 0.9% -3.7% 0.5% 3.1% 5.1%
2001 -1.4% 3.6% 2.5% 10% 0.2% -5.8% 1% -0% -6.6% 4.5% -3.2% 5.4% 11.6%
2002 -6.5% 1.6% 6.9% -3.9% 1.4% 1.4% -15.3% 3.1% -9.6% -2.3% 0.1% -0.8% -22.4%
2003 -3.1% 0.7% 0.7% -2.8% 14.1% 1.8% -0.1% 2.1% -1.9% 4% 2.1% 15% 31.7%
2004 -0% 3.2% -0.6% 4.2% -0.4% 4.1% 1.6% 2.8% 10% -1.1% 3.7% -3.8% 24.2%
2005 3.6% 14.9% -6.1% -10.8% 4.3% 4% 3.7% 6.6% 5.4% -11.8% 1.2% -0.9% 13.4%
2006 4.6% -4.1% 2.6% 5.3% -1.2% 3.8% 6% -1.3% 0.7% 3.6% 8.4% 1.7% 31.1%
2007 -0.9% -5.3% 7.9% 5.2% 5.5% 3.4% 1.2% 3.7% 6.6% -2.2% -3.4% 6.3% 29.4%
2008 -10.8% 4.8% -1.5% 12.6% 3.8% -0% -14.7% 2.9% -4.4% -9.6% 6.9% -6.4% -5.1%
2009 -4.7% -13.1% 10.8% -1.7% 1.9% -0.6% 4.9% 1.7% 0.7% 8.7% 2.8% -1.3% 12%
2010 -6.3% 1.2% 4.9% 7.4% -8.5% -8.1% 12.3% -1.9% 9.4% 1.9% -1.1% 12.7% 22.8%
2011 4% 10.1% 3.6% 1.8% -3.4% -2% 1.1% -4.2% -6.3% 13.5% -1.3% 3.5% 22.3%
2012 -3.1% 6.6% -1.8% -0.6% -6.9% 7.3% 3.9% 3.2% 3.9% -5.4% -3.3% 2.3% 6.5%
2013 6.5% 2.5% 1.4% 2.7% 1.4% -3.6% 6.4% -3.5% 0.9% -1.3% 2.9% 2% 18.5%
2014 -10.6% 4.2% 3.1% 5.6% -1.3% 6.3% -1% 1% -7.8% 0.5% -8.4% 3% -5.6%
2015 -8.6% 5.1% -1.6% 5.8% -6.3% -6.3% -8.3% -7.3% -2.6% 15.2% 1.7% -1.5% -14%
2016 -3.9% -2.3% 14.3% 7.1% -0.1% 3.8% -2.2% -0.8% 2.3% 1.8% 7.6% 5.5% 34%
2017 -5.4% 2% -4.6% -0.6% -2% 0.8% 4.7% -0.4% 9.2% -1.4% 3.6% 5.2% 11.1%
2018 0.1% -9.8% 1.9% 9.7% 0.2% 1.7% -0.1% -5.3% 3.2% -8.7% 7.5% -8.5% -7.4%
2019 5.4% 5.4% 3% -2.5% -4.2% 9.3% -1.1% -3.4% 0.7% -2.1% 1.8% 2.9% 15.9%
2020 -11.1% -11.9% -22.4% 27% 1.1% -2.7% -5.9% 1.5% -14.2% -3.5% 27.3% -3.1% -11.2%
2021 0.9% 19% 4.8% -1.6% 2% 0.9% -2.8% -3.6% 4.8% 12.9% -0.3% 4% 41.1%
2022 9.9% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 9.5%
Pos 47.2% 59.6% 67.3% 71.2% 55.8% 53.8% 50% 50% 61.5% 50% 57.7% 56.9% 75.5%
Avg 0% 0.9% 1.3% 3.5% 0.2% -0% 0.2% 1% 0.6% 0.8% 1% 0.7% 11%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Chevron Corporation

start valley end Drawdown days
1980-11-28 1982-08-04 1993-05-12 -79.12% 4548
1973-02-01 1974-10-03 1980-10-14 -77.1% 2812
2019-07-25 2020-03-23 2021-10-20 -55.77% 818
2014-07-25 2015-08-25 2017-09-25 -45.42% 1158
2008-05-21 2009-03-05 2011-01-26 -43.8% 980

The Chevron Corporation took approximately 69 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

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