Caterpillar Risk Analysis And Volatility Evaluation

CAT -- USA Stock  

USD 139.34  3.08  2.26%

We consider Caterpillar not too risky. Caterpillar secures Sharpe Ratio (or Efficiency) of 0.067 which signifies that Caterpillar had 0.067% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Caterpillar which you can use to evaluate future volatility of the firm. Please confirm Caterpillar Downside Deviation of 1.75, Risk Adjusted Performance of 0.0109 and Mean Deviation of 1.45 to double-check if risk estimate we provide are consistent with the epected return of 0.1215%.
 Time Horizon     30 Days    Login   to change

Caterpillar Market Sensitivity

As returns on market increase, returns on owning Caterpillar are expected to decrease at a much smaller rate. During bear market, Caterpillar is likely to outperform the market.
One Month Beta |Analyze Caterpillar Demand Trend
Check current 30 days Caterpillar correlation with market (DOW)
β = -0.4805
Caterpillar Almost negative betaCaterpillar Beta Legend

Caterpillar Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Caterpillar Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, Caterpillar has beta of -0.4805 . This suggests as returns on benchmark increase, returns on holding Caterpillar are expected to decrease at a much smaller rate. During bear market, however, Caterpillar is likely to outperform the market. Moreover, Caterpillar has an alpha of 0.0177 implying that it can potentially generate 0.0177% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Caterpillar is 1493.18. The daily returns are destributed with a variance of 3.29 and standard deviation of 1.81. The mean deviation of Caterpillar is currently at 1.43. For similar time horizon, the selected benchmark (DOW) has volatility of 0.52
α
Alpha over DOW
=0.0177
β
Beta against DOW=0.48
σ
Overall volatility
=1.81
Ir
Information ratio =0.01

Actual Return Volatility

Caterpillar has volatility of 1.8136% on return distribution over 30 days investment horizon. DOW inherits 0.5639% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Caterpillar Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Caterpillar Investment Opportunity
Caterpillar has a volatility of 1.81 and is 3.23 times more volatile than DOW. 16% of all equities and portfolios are less risky than Caterpillar. Compared to the overall equity markets, volatility of historical daily returns of Caterpillar is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Caterpillar to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Caterpillar to be traded at $167.21 in 30 days. As returns on market increase, returns on owning Caterpillar are expected to decrease at a much smaller rate. During bear market, Caterpillar is likely to outperform the market.

Caterpillar correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Caterpillar Inc and equity matching DJI index in the same portfolio.
Check also Trending Equities. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.