When considering stocks and investments, it's often useful to separate what you know to be true and what you think might be true. Among major oil companies, we know that ConocoPhillips (NYSE:COP) is one of the cheapest, if not the cheapest, by most normal metrics. We also know that it has respectable historical returns on equity and good margins.

However, we don't know whether it should be so cheap.

Unfortunately, first-quarter results don't lead to any immediate conclusions. Revenue was up 23%, and income from continuing operations was up almost 13%, but that doesn't automatically explain a discount to ExxonMobil (NYSE:XOM), BP (NYSE:BP), or Chevron (NYSE:CVX).

Same goes for its performance in either the upstream or downstream businesses. Yes, production was up just slightly, and most of the growth came from price increases, but that's an industry phenomenon. And while the downstream performance -- lower income, lower utilization, and unimpressive margin performance -- wasn't quite so industry-specific, it wasn't a major surprise either.

Look deeper, though, and I think you'll find the answers. While my calculations are the rough "back of the envelope" variety, it appears to me that natural gas has a greater impact upon ConocoPhillips' earnings per share than at its peers, and by a meaningful margin. (Exxon and TotalSA (NYSE:TOT) have the least.) Likewise, ConocoPhillips has higher exposure to refining margins. (Again, Total has the least.) Last but not least, it has a meaningful presence in Venezuela and Russia, which we know aren't always the easiest places to operate.

In a nutshell, it seems to me that overall worries about the natural gas marketplace may be feeding ConocoPhillips' comparatively low valuation. It's tough for me to chime in either way here -- I've read convincing arguments that the fundamentals supporting natural gas prices are precarious, and equally convincing arguments that high single-digit prices are likely to persist.

That's a tough nut to crack, fellow Fools. While I think ConocoPhillips is probably more of a bargain than not, sometimes these risks really can rise up and bite you.

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Fool contributor Stephen Simpson has no financial interest in any stocks mentioned (that means he's neither long nor short the shares).