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.
|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|