United Parcel Risk Analysis

United Parcel Service Inc -- USA Stock  

USD 116.84  1.56  1.32%

We consider United Parcel not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1169 which indicates United Parcel Service had 0.1169% 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 1.17, Coefficient Of Variation of 1212.66 and Risk Adjusted Performance of 0.0479 to confirm if risk estimate we provide are consistent with the epected return of 0.166%.
Investment Horizon     30 Days    Login   to change

United Parcel Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United Parcel will likely underperform.
One Month Beta |Analyze United Parcel Service Demand Trend
Check current 30 days United Parcel correlation with market (DOW)
β = 1.7461
United Parcel Large BetaUnited Parcel Service Beta Legend

United Parcel Service Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. United Parcel Service Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.7461 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, United Parcel will likely underperform. Additionally, United Parcel Service Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of United Parcel is 855.61. The daily returns are destributed with a variance of 2.02 and standard deviation of 1.42. The mean deviation of United Parcel Service Inc is currently at 1.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.24
βBeta against DOW=1.75
σ
Overall volatility
=1.42
 IrInformation ratio =0.06

Actual Return Volatility

United Parcel Service Inc has volatility of 1.4205% on return distribution over 30 days investment horizon. DOW inherits 0.4723% 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

Very susceptible to market

Total Debt

United Parcel Service Total Debt History

Total Debt

Largest Trends

United Parcel Largest Period Trend

Investment Outlook

United Parcel Investment Opportunity
United Parcel Service Inc has a volatility of 1.42 and is 3.02 times more volatile than DOW. 13% 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 13 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of United Parcel to be traded at $113.33 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United Parcel will likely underperform.

United Parcel correlation with market

Poor 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.