United Parcel Backtesting

UPS -- USA Stock  

USD 98.66  2.12  2.10%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

United Parcel 'What if' Analysis

October 15, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 14, 2018
0.00
If you would invest  0.00  in United Parcel on October 15, 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 60 days. United Parcel is related to or competes with Ryder System, Werner Enterprises, AMERCO, Seaspan, United Continental, and Union Pacific. United Parcel Service, Inc. provides letter and package delivery, specialized transportation, logistics, and financial s...

United Parcel Upside/Downside Indicators

Information Ratio(0.14)
Maximum Drawdown9.66
Value At Risk(2.78)
Potential Upside1.83
  

United Parcel Market Premium Indicators

Risk Adjusted Performance(0.19)
Jensen Alpha(0.25)
Total Risk Alpha(0.24)
Treynor Ratio(0.27)

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 -0.1783 which indicates United Parcel Service had -0.1783% of return per unit of risk over the last 2 months. 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-eight 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 (654.90) and Risk Adjusted Performance of (0.19) 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 1.1385 which indicates United Parcel returns are very sensitive to returns on the market. as market goes up or down, United Parcel is expected to follow.. 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-eight different technical indicators which can help you to evaluate its performance. United Parcel Service has expected return of -0.3494%. Please be advised to validate United Parcel Maximum Drawdown as well as the relationship between Skewness and Day Typical Price 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(0.05) 
correlation synergy

Very weak reverse predictability

United Parcel Service has very weak reverse predictability. Overlapping area represents the amount of predictability between United Parcel time series from October 15, 2018 to November 14, 2018 and November 14, 2018 to December 14, 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 -0.05 indicates that only as little as 5.0% 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-0.05
Spearman Rank Test-0.05
Residual Average0.0
Price Variance20.59

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 

Current Sentiment - UPS

United Parcel Service Investor Sentiment

Predominant part of Macroaxis users are at this time bullish on United Parcel Service. What is your outlook on investing in United Parcel Service? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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