Pair Correlation Between Deere and Caterpillar

This module allows you to analyze existing cross correlation between Deere Company and Caterpillar Inc. 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.
Investment 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 Company is expected to generate 1.12 times more return on investment than Caterpillar. However, Deere is 1.12 times more volatile than Caterpillar Inc. It trades about 0.59 of its potential returns per unit of risk. Caterpillar Inc is currently generating about 0.26 per unit of risk. If you would invest  13,223  in Deere Company on November 10, 2017 and sell it today you would earn a total of  1,935  from holding Deere Company or generate 14.63% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Deere and Caterpillar
0.83

Parameters

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

Diversification

Very poor 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 Inc 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 Inc 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

  
38 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Deere Company are ranked lower than 38 (%) of all global equities and portfolios over the last 30 days.

Caterpillar Inc

  
16 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Caterpillar Inc are ranked lower than 16 (%) of all global equities and portfolios over the last 30 days.