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 TrendCheck current 30 days United Parcel correlation with market (DOW)|
β = -0.1118
Projected Return Density Against MarketConsidering 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).
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