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 Inc is expected to generate 0.87 times more return on investment than Deere. However, Caterpillar Inc is 1.15 times less risky than Deere. It trades about 0.38 of its potential returns per unit of risk. Deere Company is currently generating about 0.3 per unit of risk. If you would invest  12,474  in Caterpillar Inc on September 19, 2017 and sell it today you would earn a total of  559  from holding Caterpillar Inc or generate 4.48% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Caterpillar and Deere
0.73

Parameters

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

Diversification

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

  
25 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar Inc are ranked lower than 25 (%) of all global equities and portfolios over the last 30 days.

Deere Company

  
20 

Risk-Adjusted Performance

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