Pair Correlation Between Caterpillar and Deere

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

Pair Volatility

Considering 30-days investment horizon, Caterpillar is expected to generate 2.73 times less return on investment than Deere. But when comparing it to its historical volatility, Caterpillar Inc is 1.13 times less risky than Deere. It trades about 0.23 of its potential returns per unit of risk. Deere Company is currently generating about 0.55 of returns per unit of risk over similar time horizon. If you would invest  13,191  in Deere Company on November 13, 2017 and sell it today you would earn a total of  1,916  from holding Deere Company or generate 14.53% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Caterpillar and Deere
0.82

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Caterpillar Inc

  
14 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar Inc are ranked lower than 14 (%) of all global equities and portfolios over the last 30 days.

Deere Company

  
35 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Deere Company are ranked lower than 35 (%) of all global equities and portfolios over the last 30 days.