Caterpillar Backtesting

CAT -- USA Stock  

USD 126.55  2.08  1.67%

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.
Horizon     30 Days    Login   to change
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Caterpillar 'What if' Analysis

October 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 18, 2018
0.00
If you would invest  0.00  in Caterpillar on October 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 60 days. Caterpillar is related to or competes with Deere, Alamo, ASV Holdings, Lindsay, Manitowoc, and Gencor Industries. Caterpillar Inc. manufactures and sells construction and mining equipment, diesel and natural gas engines, industrial ga...

Caterpillar Upside/Downside Indicators

Information Ratio(0.03315)
Maximum Drawdown11.88
Value At Risk(5.58)
Potential Upside4.18
  

Caterpillar Market Premium Indicators

Risk Adjusted Performance(0.11)
Jensen Alpha0.026
Total Risk Alpha0.106
Treynor Ratio(0.15)

Caterpillar Backtested Returns

Macroaxis considers Caterpillar to be not too risky. Caterpillar secures Sharpe Ratio (or Efficiency) of -0.0167 which signifies that Caterpillar had -0.0167% of return per unit of risk over the last 2 months. 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 (0.11) and Mean Deviation of 2.35 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 1.761 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Caterpillar will likely underperform.. 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 -0.0498%. 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(0.15) 
correlation synergy

Insignificant reverse predictability

Caterpillar has insignificant reverse predictability. Overlapping area represents the amount of predictability between Caterpillar time series from October 19, 2018 to November 18, 2018 and November 18, 2018 to December 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 -0.15 indicates that less than 15.0% of current Caterpillar price fluctuation can be explain by its past prices. Given that Caterpillar has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Caterpillar for similar time interval.
Correlation Coefficient-0.15
Spearman Rank Test0.11
Residual Average0.0
Price Variance18.23

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 

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Analyst Recommendations

Analyst recommendations and target price estimates broken down by several categories
All  Next Launch Analyst Recommendations

Caterpillar 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
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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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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