Caterpillar (Germany) Market Value
| CAT1 Stock | 312.00 3.00 0.97% |
| Symbol | Caterpillar |
Caterpillar 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Caterpillar's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Caterpillar.
| 12/14/2024 |
| 03/14/2025 |
If you would invest 0.00 in Caterpillar on December 14, 2024 and sell it all today you would earn a total of 0.00 from holding Caterpillar or generate 0.0% return on investment in Caterpillar over 90 days. Caterpillar is related to or competes with FORTRESS BIOTECHPRFA, Uber Technologies, GRENKELEASING, BioNTech, WILLIS LEASE, ASPEN TECHINC, and Sixt Leasing. More
Caterpillar Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Caterpillar's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Caterpillar upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 8.47 | |||
| Value At Risk | (3.11) | |||
| Potential Upside | 2.36 |
Caterpillar Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Caterpillar's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Caterpillar's standard deviation. In reality, there are many statistical measures that can use Caterpillar historical prices to predict the future Caterpillar's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | 0.0089 | |||
| Treynor Ratio | (0.59) |
Caterpillar Backtested Returns
Caterpillar secures Sharpe Ratio (or Efficiency) of -0.12, which signifies that the company had a -0.12 % return per unit of risk over the last 3 months. Caterpillar exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Caterpillar's Risk Adjusted Performance of (0.13), mean deviation of 1.29, and Standard Deviation of 1.76 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.49, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Caterpillar's returns are expected to increase less than the market. However, during the bear market, the loss of holding Caterpillar is expected to be smaller as well. At this point, Caterpillar has a negative expected return of -0.23%. Please make sure to confirm Caterpillar's maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to decide if Caterpillar performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.57 |
Good reverse predictability
Caterpillar has good reverse predictability. Overlapping area represents the amount of predictability between Caterpillar time series from 14th of December 2024 to 28th of January 2025 and 28th of January 2025 to 14th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Caterpillar price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Caterpillar price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 291.7 |
Caterpillar lagged returns against current returns
Autocorrelation, which is Caterpillar stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Caterpillar's stock expected returns. We can calculate the autocorrelation of Caterpillar returns to help us make a trade decision. For example, suppose you find that Caterpillar has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Caterpillar regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Caterpillar stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Caterpillar stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Caterpillar stock over time.
Current vs Lagged Prices |
| Timeline |
Caterpillar Lagged Returns
When evaluating Caterpillar's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Caterpillar stock have on its future price. Caterpillar autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Caterpillar autocorrelation shows the relationship between Caterpillar stock current value and its past values and can show if there is a momentum factor associated with investing in Caterpillar.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Information and Resources on Investing in Caterpillar Stock
When determining whether Caterpillar is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Caterpillar Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Caterpillar Stock. Highlighted below are key reports to facilitate an investment decision about Caterpillar Stock:Check out Caterpillar Correlation, Caterpillar Volatility and Caterpillar Alpha and Beta module to complement your research on Caterpillar. For information on how to trade Caterpillar Stock refer to our How to Trade Caterpillar Stock guide.You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Caterpillar technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.