Pair Correlation Between Caterpillar and AGCO

This module allows you to analyze existing cross correlation between Caterpillar and AGCO Corporation. You can compare the effects of market volatilities on Caterpillar and AGCO and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Caterpillar with a short position of AGCO. See also your portfolio center. Please also check ongoing floating volatility patterns of Caterpillar and AGCO.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Caterpillar Inc  vs.  AGCO Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Caterpillar is expected to under-perform the AGCO. In addition to that, Caterpillar is 1.37 times more volatile than AGCO Corporation. It trades about -0.1 of its total potential returns per unit of risk. AGCO Corporation is currently generating about -0.1 per unit of volatility. If you would invest  6,798  in AGCO Corporation on March 27, 2018 and sell it today you would lose (515.00)  from holding AGCO Corporation or give up 7.58% of portfolio value over 30 days.

Pair Corralation between Caterpillar and AGCO

0.86
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Caterpillar Inc and AGCO Corp. in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AGCO and Caterpillar is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Caterpillar are associated (or correlated) with AGCO. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGCO has no effect on the direction of Caterpillar i.e. Caterpillar and AGCO go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Caterpillar  
0 

Risk-Adjusted Performance

Over the last 30 days Caterpillar has generated negative risk-adjusted returns adding no value to investors with long positions.
AGCO  
0 

Risk-Adjusted Performance

Over the last 30 days AGCO Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.

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