Pair Correlation Between Caterpillar and China Yuchai

This module allows you to analyze existing cross correlation between Caterpillar Inc and China Yuchai International Limited. You can compare the effects of market volatilities on Caterpillar and China Yuchai 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 China Yuchai. See also your portfolio center. Please also check ongoing floating volatility patterns of Caterpillar and China Yuchai.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Caterpillar Inc  vs   China Yuchai International Lim
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Caterpillar is expected to generate 2.22 times less return on investment than China Yuchai. But when comparing it to its historical volatility, Caterpillar Inc is 3.53 times less risky than China Yuchai. It trades about 0.49 of its potential returns per unit of risk. China Yuchai International Limited is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  2,117  in China Yuchai International Limited on September 21, 2017 and sell it today you would earn a total of  249  from holding China Yuchai International Limited or generate 11.76% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Caterpillar and China Yuchai
0.88

Parameters

Time Period1 Month [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 China Yuchai International Lim in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on China Yuchai Interna 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 China Yuchai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of China Yuchai Interna has no effect on the direction of Caterpillar i.e. Caterpillar and China Yuchai go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Caterpillar Inc

  
33 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar Inc are ranked lower than 33 (%) of all global equities and portfolios over the last 30 days.

China Yuchai Interna

  
20 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in China Yuchai International Limited are ranked lower than 20 (%) of all global equities and portfolios over the last 30 days.