United Parcel Risk Analysis

United Parcel Service Inc -- USA Stock  

USD 119.42  0.34  0.28%

We consider United Parcel not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1368 which indicates United Parcel Service had 0.1368% 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 0.5188, Coefficient Of Variation of 628.22 and Risk Adjusted Performance of 0.0487 to confirm if risk estimate we provide are consistent with the epected return of 0.0857%.
Investment Horizon     30 Days    Login   to change

United Parcel Market Sensitivity

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.
One Month Beta |Analyze United Parcel Service Demand Trend
Check current 30 days United Parcel correlation with market (DOW)
β = -0.1118
United Parcel Almost negative betaUnited Parcel Service Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, United Parcel Service Inc has beta of -0.1118 . This entails as returns on benchmark increase, returns on holding United Parcel are expected to decrease at a much smaller rate. During bear market, however, United Parcel Service Inc is likely to outperform the market. Moreover, United Parcel Service Inc has an alpha of 0.1082 implying that it can potentially generate 0.1082% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of United Parcel is 730.74. The daily returns are destributed with a variance of 0.39 and standard deviation of 0.63. The mean deviation of United Parcel Service Inc is currently at 0.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
= 0.11 
βBeta against DOW=(0.11) 
σ
Overall volatility
= 0.63 
 IrInformation ratio =(0.16) 

Actual Return Volatility

United Parcel Service Inc has volatility of 0.6265% on return distribution over 30 days investment horizon. DOW inherits 0.2695% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

United Parcel Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Indifferent to market move

Total Debt

United Parcel Service Total Debt History

Total Debt

Largest Trends

United Parcel Largest Period Trend
 118.14 
  
 117.15 
0.99  0.84%
Lowest period price (30 days)
 120 
  
 120.79 
0.79  0.66%
Highest period price (30 days)

Investment Outlook

United Parcel Investment Opportunity
United Parcel Service Inc has a volatility of 0.63 and is 2.33 times more volatile than DOW. 5% of all equities and portfolios are less risky than United Parcel. Compared to the overall equity markets, volatility of historical daily returns of United Parcel Service Inc is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use United Parcel Service Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of United Parcel to be traded at $118.23 in 30 days. 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.

United Parcel correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding United Parcel Service Inc and equity matching DJI index in the same portfolio.

Volatility Indicators

United Parcel Current Risk Indicators