Caterpillar Inc Backtested Returns
Macroaxis considers Caterpillar to be not too risky. Caterpillar Inc
secures Sharpe Ratio (or Efficiency) of -0.1077 which signifies that Caterpillar Inc
had -0.1077% 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 Inc exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Caterpillar Inc Risk Adjusted Performance
of 0.20 and Mean Deviation of 1.74 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 1.0997 which signifies that Caterpillar returns are very sensitive to returns on the market. as market goes up or down, Caterpillar is expected to follow.. Even though it is essential to pay attention to Caterpillar Inc 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 Inc exposes twenty-one different technical indicators which can help you to evaluate its performance. Caterpillar Inc has expected return of -0.2497%. Please be advised to confirm Caterpillar Inc Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if Caterpillar Inc past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.58) |
Good reverse predictability
Caterpillar Inc has good reverse predictability. Overlapping area represents the amount of predictability between Caterpillar time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 Inc price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Caterpillar price fluctuation can be explain by its past prices. Given that Caterpillar Inc 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|| -0.58|
|Spearman Rank Test|| -0.79|
|Price Variance|| 17.21|
|Lagged Price Variance|| 29.49|
Caterpillar Lagged Returns