Correlation Between Caterpillar and AMGEN
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By analyzing existing cross correlation between Caterpillar and AMGEN INC, you can compare the effects of market volatilities on Caterpillar and AMGEN 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 Caterpillar with a short position of AMGEN. Check out your portfolio center. Please also check ongoing floating volatility patterns of Caterpillar and AMGEN.
Diversification Opportunities for Caterpillar and AMGEN
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Caterpillar and AMGEN is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Caterpillar and AMGEN INC in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AMGEN INC and Caterpillar 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 Caterpillar are associated (or correlated) with AMGEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AMGEN INC has no effect on the direction of Caterpillar i.e., Caterpillar and AMGEN go up and down completely randomly.
Pair Corralation between Caterpillar and AMGEN
Considering the 90-day investment horizon Caterpillar is expected to generate 2.44 times more return on investment than AMGEN. However, Caterpillar is 2.44 times more volatile than AMGEN INC. It trades about 0.16 of its potential returns per unit of risk. AMGEN INC is currently generating about -0.18 per unit of risk. If you would invest 37,620 in Caterpillar on September 1, 2024 and sell it today you would earn a total of 2,991 from holding Caterpillar or generate 7.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 61.9% |
| Values | Daily Returns |
Caterpillar vs. AMGEN INC
Performance |
| Timeline |
| Caterpillar |
| AMGEN INC |
Caterpillar and AMGEN Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Caterpillar and AMGEN
The main advantage of trading using opposite Caterpillar and AMGEN positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Caterpillar position performs unexpectedly, AMGEN can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in AMGEN will offset losses from the drop in AMGEN's long position.| Caterpillar vs. AGCO Corporation | Caterpillar vs. Nikola Corp | Caterpillar vs. PACCAR Inc | Caterpillar vs. Deere Company |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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