United Parcel Backtesting

United Parcel Service Inc -- USA Stock  

USD 110.91  1.19  1.08%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United Parcel Service Inc 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

United Parcel 'What if' Analysis

February 17, 2018
No Change 0.00  0.0%
In 30 days
March 19, 2018
If you would invest  0.00  in United Parcel on February 17, 2018 and sell it all today you would earn a total of 0.00 from holding United Parcel Service Inc or generate 0.0% return on investment in United Parcel over 30 days. United Parcel is related to or competes with Werner Enterprises, Expeditors International, Brinks, CSX, and FedEx. United Parcel Service, Inc. provides letter and package delivery, specialized transportation, logistics, and financial s...

United Parcel Upside/Downside Indicators


United Parcel Market Premium Indicators

United Parcel Service lagged returns against current returns

 Current and Lagged Values 

United Parcel regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United Parcel Service Backtested Returns

Macroaxis considers United Parcel not too risky given 1 month investment horizon. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2152 which indicates United Parcel Service had 0.2152% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for United Parcel Service Inc which you can use to evaluate future volatility of the company. Please operate United Parcel Semi Deviation of 1.15, Coefficient Of Variation of 771.16 and Risk Adjusted Performance of 0.1475 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 United Parcel holds performance score of 14. The entity has beta of -0.7309 which indicates as returns on market increase, returns on owning United Parcel are expected to decrease at a much smaller rate. During bear market, United Parcel is likely to outperform the market.. Although it is vital to follow to United Parcel Service current price movements, it is good to be conservative about what you can actually do with the information regarding equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting United Parcel Service technical indicators you can presently evaluate if the expected return of 0.297% will be sustainable into the future. Please operates United Parcel Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to make a quick decision on weather United Parcel Service existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 

Below average predictability

United Parcel Service Inc has below average predictability. Overlapping area represents the amount of predictability between United Parcel time series from February 17, 2018 to March 4, 2018 and March 4, 2018 to March 19, 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 0.39 indicates that just about 39.0% of current United Parcel price fluctuation can be explain by its past prices.
Correlation Coefficient 0.39
Spearman Rank Test -0.47
Price Variance 1.69
Lagged Price Variance 1.02

United Parcel Lagged Returns

 Regressed Prices 

United Parcel Performance vs DOW

The median price of United Parcel for the period between Sat, Feb 17, 2018 and Mon, Mar 19, 2018 is 108.07 with a coefficient of variation of 1.94. The daily time series for the period is distributed with a sample standard deviation of 2.08, arithmetic mean of 107.41, and mean deviation of 1.88. The Stock did not receive any noticable media coverage during the period.
 Price Growth (%)