United Parcel Backtesting

United Parcel Service Inc -- USA Stock  

USD 118.4  0.4  0.34%

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
Investment Horizon     30 Days    Login   to change

United Parcel 'What if' Analysis

November 16, 2017
No Change 0.00  0.0%
In 30 days
December 16, 2017
If you would invest  0.00  in United Parcel on November 16, 2017 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 Ryder System, Werner Enterprises, Expeditors International, Brinks, CSX, and FedEx. It operates in three segments U.S. Domestic Package, International Package, and Supply Chain Freight

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

We consider United Parcel not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.128 which indicates United Parcel Service had 0.128% 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 validate United Parcel Semi Deviation of 1.08, Coefficient Of Variation of 677.55 and Risk Adjusted Performance of 0.0768 to confirm if risk estimate we provide are consistent with the epected return of 0.187%. United Parcel has performance score of 8 on a scale of 0 to 100. The entity has beta of 1.8051 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United Parcel will likely underperform.. Although it is extremely important to respect United Parcel Service current price movements, it is better to be realistic regarding the information on 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 0.187% will be sustainable into the future. United Parcel Service right now has a risk of 1.4615%. Please validate United Parcel Coefficient Of Variation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Skewness to decide if United Parcel will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.65) 

Very good reverse predictability

United Parcel Service Inc has very good reverse predictability. Overlapping area represents the amount of predictability between United Parcel time series from November 16, 2017 to December 1, 2017 and December 1, 2017 to December 16, 2017. 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 -0.65 indicates that roughly 65.0% of current United Parcel price fluctuation can be explain by its past prices. Given that United Parcel Service Inc 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 -0.65
Spearman Rank Test -0.74
Price Variance 3.12
Lagged Price Variance 8.93

United Parcel Lagged Returns

 Regressed Prices 

United Parcel Performance vs DOW

The median price of United Parcel for the period between Thu, Nov 16, 2017 and Sat, Dec 16, 2017 is 118.05 with a coefficient of variation of 2.74. The daily time series for the period is distributed with a sample standard deviation of 3.2, arithmetic mean of 117.06, and mean deviation of 2.77. The Stock received some media coverage during the period.
Price Growth (%)  
United Parcel Service, Inc. Stake Decreased by Indiana Trust...12/15/2017