Caterpillar Backtesting

CAT -- USA Stock  

USD 156.38  0.38  0.24%

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

Caterpillar 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in Caterpillar on August 23, 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, 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

Downside Deviation0.7671
Information Ratio0.3184
Maximum Drawdown4.05
Value At Risk0.73
Potential Upside2.86

Caterpillar Market Premium Indicators

Risk Adjusted Performance0.209
Jensen Alpha0.5885
Total Risk Alpha0.1006
Sortino Ratio0.5778
Treynor Ratio4.85

Caterpillar Backtested Returns

Macroaxis considers Caterpillar not too risky given 1 month investment horizon. Caterpillar secures Sharpe Ratio (or Efficiency) of 0.4337 which signifies that Caterpillar had 0.4337% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By analyzing Caterpillar technical indicators you can presently evaluate if the expected return of 0.5924% is justified by implied risk. Please makes use of Caterpillar Coefficient Of Variation of 224.74, Risk Adjusted Performance of 0.209 and Mean Deviation of 1.06 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Caterpillar holds performance score of 28. The firm shows Beta (market volatility) of 0.1256 which signifies that as returns on market increase, Caterpillar returns are expected to increase less than the market. However during bear market, the loss on holding Caterpillar will be expected to be smaller as well.. Although it is vital to follow to Caterpillar historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty technical indicators for Caterpillar which you can use to evaluate performance of the firm. Please makes use of Caterpillar Information Ratio, Potential Upside as well as the relationship between Potential Upside and Kurtosis to make a quick decision on weather Caterpillar price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.04 

Virtually no predictability

Caterpillar has virtually no predictability. Overlapping area represents the amount of predictability between Caterpillar time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 0.04 indicates that only as little as 4.0% of current Caterpillar price fluctuation can be explain by its past prices.
Correlation Coefficient0.04
Spearman Rank Test-0.09
Residual Average0.0
Price Variance31.53

Caterpillar lagged returns against current returns

 Current and Lagged Values 

Caterpillar regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Caterpillar Lagged Returns

 Regressed Prices 

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?
98% Bullish
2% Bearish

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
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.