Caterpillar Risk Analysis

Caterpillar Inc -- USA Stock  

USD 131.36  0.32  0.24%

Macroaxis considers Caterpillar not too risky given 1 month investment horizon. Caterpillar Inc secures Sharpe Ratio (or Efficiency) of 0.5823 which signifies that Caterpillar Inc had 0.5823% 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 technical indicators for Caterpillar Inc which you can use to evaluate future volatility of the firm. Please makes use of Caterpillar Inc Coefficient Of Variation of 180.81, Risk Adjusted Performance of 0.1542 and Mean Deviation of 0.378 to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Caterpillar Market Sensitivity

As returns on market increase, Caterpillar returns are expected to increase less than the market. However during bear market, the loss on holding Caterpillar will be expected to be smaller as well.
One Month Beta |Analyze Caterpillar Inc Demand Trend
Check current 30 days Caterpillar correlation with market (DOW)
β = 0.1986
Caterpillar Small BetaCaterpillar Inc Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, Caterpillar has beta of 0.1986 . This suggests as returns on market go up, Caterpillar average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Caterpillar Inc will be expected to be much smaller as well. Moreover, Caterpillar Inc has an alpha of 0.2124 implying that it can potentially generate 0.2124% 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 171.75. The daily returns are destributed with a variance of 0.22 and standard deviation of 0.47. The mean deviation of Caterpillar Inc is currently at 0.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=0.21
βBeta against DOW=0.2
σ
Overall volatility
=0.47
 IrInformation ratio =0.14

Actual Return Volatility

Caterpillar Inc has volatility of 0.4728% on return distribution over 30 days investment horizon. DOW inherits 0.2576% 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

30 Days Economic Sensitivity

Barely shadows market

Total Debt

Caterpillar Inc Total Debt History

Total Debt

Largest Trends

Caterpillar Largest Period Trend
 125.35 
  
 124.71 
0.64  0.51%
Lowest period price (30 days)
 131.95 
  
 131.68 
0.27  0.2%
Highest period price (30 days)

Investment Outlook

Caterpillar Investment Opportunity
Caterpillar Inc has a volatility of 0.47 and is 1.81 times more volatile than DOW. 4% of all equities and portfolios are less risky than Caterpillar. Compared to the overall equity markets, volatility of historical daily returns of Caterpillar Inc is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Caterpillar Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Caterpillar to be traded at $130.05 in 30 days. As returns on market increase, Caterpillar returns are expected to increase less than the market. However during bear market, the loss on holding Caterpillar will be expected to be smaller as well.

Caterpillar correlation with market

Average 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.

Volatility Indicators

Caterpillar Current Risk Indicators