Pair Correlation Between Caterpillar and Cummins

This module allows you to analyze existing cross correlation between Caterpillar Inc and Cummins Inc. 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Caterpillar Inc  vs   Cummins Inc
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Caterpillar Inc is expected to generate 1.16 times more return on investment than Cummins. However, Caterpillar is 1.16 times more volatile than Cummins Inc. It trades about 0.54 of its potential returns per unit of risk. Cummins Inc is currently generating about 0.61 per unit of risk. If you would invest  12,443  in Caterpillar Inc on September 22, 2017 and sell it today you would earn a total of  693  from holding Caterpillar Inc or generate 5.57% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Caterpillar and Cummins
0.92

Parameters

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

Diversification

Almost no 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 Inc 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 Inc 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 Inc 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 Inc

  
36 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar Inc are ranked lower than 36 (%) of all global equities and portfolios over the last 30 days.

Cummins Inc

  
41 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Cummins Inc are ranked lower than 41 (%) of all global equities and portfolios over the last 30 days.