Caterpillar Backtesting

CAT -- USA Stock  

USD 148.58  1.44  0.96%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Caterpillar and determine expected loss or profit from investing in Caterpillar over given investment horizon. Check also Caterpillar Hype Analysis, Caterpillar Correlation, Caterpillar Valuation, Caterpillar Volatility as well as analyze Caterpillar Alpha and Beta and Caterpillar Performance.
 Time Horizon     30 Days    Login   to change
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Backtest

Caterpillar 'What if' Analysis

May 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 18, 2018
0.00
If you would invest  0.00  in Caterpillar on May 19, 2018 and sell it all today you would earn a total of 0.00 from holding Caterpillar or generate 0.0% return on investment in Caterpillar over 30 days. Caterpillar is related to or competes with Deere, Cummins, China Yuchai, AGCO, Antero Resources, and BOEING CO. Caterpillar Inc. manufactures and sells construction and mining equipment, diesel and natural gas engines, industrial ga...

Caterpillar Upside/Downside Indicators

Information Ratio0.08
Maximum Drawdown4.35
Value At Risk2.04
Potential Upside2.06
  

Caterpillar Market Premium Indicators

Risk Adjusted Performance0.01

Caterpillar Backtested Returns

Macroaxis considers Caterpillar to be not too risky. Caterpillar secures Sharpe Ratio (or Efficiency) of -0.2681 which signifies that Caterpillar had -0.2681% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Caterpillar exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Caterpillar Risk Adjusted Performance of 0.01 and Mean Deviation of 1.07 to double-check risk estimate we provide. Macroaxis gives Caterpillar performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Caterpillar are completely uncorrelated. Even though it is essential to pay attention to Caterpillar historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Caterpillar exposes twenty-eight different technical indicators which can help you to evaluate its performance. Caterpillar has expected return of -0.3281%. Please be advised to confirm Caterpillar Value At Risk as well as the relationship between Skewness and Day Median Price to decide if Caterpillar past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.26 

Poor predictability

Caterpillar has poor predictability. Overlapping area represents the amount of predictability between Caterpillar time series from May 19, 2018 to June 3, 2018 and June 3, 2018 to June 18, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Caterpillar price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current Caterpillar price fluctuation can be explain by its past prices.
Correlation Coefficient 0.26
Spearman Rank Test -0.14
Price Variance 4.83
Lagged Price Variance 5.13

Caterpillar lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Caterpillar regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Caterpillar Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - CAT

Caterpillar Investor Sentiment
Predominant part of Macroaxis users are currently bullish on Caterpillar. What is your opinion about investing in Caterpillar? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Caterpillar and Deere Company. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Caterpillar Hype Analysis, Caterpillar Correlation, Caterpillar Valuation, Caterpillar Volatility as well as analyze Caterpillar Alpha and Beta and Caterpillar Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.