Correlation Analysis Between Deere and Caterpillar

This module allows you to analyze existing cross correlation between Deere Company and Caterpillar. You can compare the effects of market volatilities on Deere and Caterpillar 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 Deere with a short position of Caterpillar. See also your portfolio center. Please also check ongoing floating volatility patterns of Deere and Caterpillar.
Horizon     30 Days    Login   to change
Symbolsvs

Deere Company  vs.  Caterpillar Inc

 Performance (%) 
      Timeline 

Pair Volatility

Allowing for the 30-days total investment horizon, Deere is expected to generate 2.24 times less return on investment than Caterpillar. But when comparing it to its historical volatility, Deere Company is 1.32 times less risky than Caterpillar. It trades about 0.16 of its potential returns per unit of risk. Caterpillar is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  14,204  in Caterpillar on August 26, 2018 and sell it today you would earn a total of  1,196  from holding Caterpillar or generate 8.42% return on investment over 30 days.

Pair Corralation between Deere and Caterpillar

0.94
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Deere Company and Caterpillar Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Caterpillar and Deere 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 Deere Company are associated (or correlated) with Caterpillar. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Caterpillar has no effect on the direction of Deere i.e. Deere and Caterpillar go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Deere Company  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Deere Company are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.
Caterpillar  
18 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar are ranked lower than 18 (%) of all global equities and portfolios over the last 30 days.

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Alphabet
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ExchangeNASDAQ
$1166.09

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