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 TrendCheck current 30 days Caterpillar correlation with market (DOW)|
β = 0.1986
Projected Return Density Against MarketConsidering 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).
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