Macroaxis considers United Parcel to be not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2042 which indicates United Parcel Service had -0.2042% 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-one 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
(567.51) and Risk Adjusted Performance of (0.22) to confirm risk estimate we provide.
|Horizon||30 Days Login to change|
United Parcel Market Sensitivity
|United Parcel returns are very sensitive to returns on the market. As market goes up or down, United Parcel is expected to follow.2 Months Beta |Analyze United Parcel Service Demand TrendCheck current 30 days United Parcel correlation with market (DOW)|
β = 1.1444
United Parcel Central Daily Price Deviation
United Parcel Service Technical Analysis
United Parcel Projected Return Density Against MarketConsidering 30-days investment horizon, the stock has beta coefficient of 1.1444 . This entails United Parcel Service market returns are very sensitive to returns on the market. As the market benchmark goes up or down, United Parcel is expected to follow. Additionally, United Parcel Service 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
Considering 30-days investment horizon, the coefficient of variation of United Parcel is -489.73. The daily returns are destributed with a variance of 3.85 and standard deviation of 1.96. The mean deviation of United Parcel Service is currently at 1.43. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.22|
|Beta against DOW||=||1.14|
United Parcel Return VolatilityUnited Parcel Service has volatility of 1.9634% on return distribution over 30 days investment horizon. DOW inherits 1.2955% risk (volatility on return distribution) over the 30 days horizon.
United Parcel Service has a volatility of 1.96 and is 1.51 times more volatile than DOW. 17% 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 is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use United Parcel Service to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of United Parcel to be traded at $118.39 in 30 days. United Parcel returns are very sensitive to returns on the market. As market goes up or down, United Parcel is expected to follow.
United Parcel correlation with market