United Parcel Backtesting

UPS -- USA Stock  

USD 114.82  1.40  1.23%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United Parcel Service and determine expected loss or profit from investing in United Parcel over given investment horizon. Also please take a look at United Parcel Hype Analysis, United Parcel Correlation, United Parcel Valuation, United Parcel Volatility as well as analyze United Parcel Alpha and Beta and United Parcel Performance.
 Time Horizon     30 Days    Login   to change
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Backtest

United Parcel 'What if' Analysis

May 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 22, 2018
0.00
If you would invest  0.00  in United Parcel on May 23, 2018 and sell it all today you would earn a total of 0.00 from holding United Parcel Service or generate 0.0% return on investment in United Parcel over 30 days. United Parcel is related to or competes with Ryder System, Werner Enterprises, Expeditors International, Brinks, CSX, FedEx, and ALPHA SECURITY. United Parcel Service, Inc. provides letter and package delivery, specialized transportation, logistics, and financial s...

United Parcel Upside/Downside Indicators

Information Ratio0.08
Maximum Drawdown4.18
Value At Risk1.44
Potential Upside1.28
  

United Parcel Market Premium Indicators

Risk Adjusted Performance0.01

United Parcel Service Backtested Returns

Macroaxis considers United Parcel to be not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0804 which indicates United Parcel Service had -0.0804% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. United Parcel Service exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate United Parcel Coefficient Of Variation of 1,217 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide. Macroaxis gives United Parcel performance score of 0 on a scale of 0 to 100. The entity has beta of 0.0 which indicates the returns on MARKET and United Parcel are completely uncorrelated. Even though it is essential to pay attention to United Parcel Service current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. United Parcel Service exposes twenty-one different technical indicators which can help you to evaluate its performance. United Parcel Service has expected return of -0.0735%. Please be advised to validate United Parcel Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to decide if United Parcel Service past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 

Modest reverse predictability

United Parcel Service has modest reverse predictability. Overlapping area represents the amount of predictability between United Parcel time series from May 23, 2018 to June 7, 2018 and June 7, 2018 to June 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of United Parcel Service price movement. The serial correlation of -0.46 indicates that about 46.0% of current United Parcel price fluctuation can be explain by its past prices. Given that United Parcel Service has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of United Parcel for similar time interval.
Correlation Coefficient -0.46
Spearman Rank Test -0.28
Price Variance 2.2
Lagged Price Variance 0.93

United Parcel Service lagged returns against current returns

 Current and Lagged Values 
      Timeline 

United Parcel regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

United Parcel Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at United Parcel Hype Analysis, United Parcel Correlation, United Parcel Valuation, United Parcel Volatility as well as analyze United Parcel Alpha and Beta and United Parcel Performance. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.