Correlation Analysis Between Caterpillar and Cummins

This module allows you to analyze existing cross correlation between Caterpillar and Cummins. You can compare the effects of market volatilities on Caterpillar and Cummins 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 Cummins. See also your portfolio center. Please also check ongoing floating volatility patterns of Caterpillar and Cummins.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Caterpillar Inc  vs.  Cummins Inc

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Caterpillar is expected to under-perform the Cummins. In addition to that, Caterpillar is 1.24 times more volatile than Cummins. It trades about -0.13 of its total potential returns per unit of risk. Cummins is currently generating about 0.06 per unit of volatility. If you would invest  13,588  in Cummins on July 17, 2018 and sell it today you would earn a total of  216.00  from holding Cummins or generate 1.59% return on investment over 30 days.

Pair Corralation between Caterpillar and Cummins

0.26
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Caterpillar Inc and Cummins Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Cummins 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 Cummins. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cummins has no effect on the direction of Caterpillar i.e. Caterpillar and Cummins 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.
Cummins  
3 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Cummins are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days.

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