United Parcel Risk Analysis And Volatility Evaluation

UPS -- USA Stock  

USD 114.54  0.28  0.24%

Macroaxis considers United Parcel to be not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0972 which indicates United Parcel Service had -0.0972% of return per unit of risk over the last 1 month. 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 5,564 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

United Parcel Service Technical Analysis

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, United Parcel has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and United Parcel are completely uncorrelated. Furthermore, United Parcel ServiceIt does not look like United Parcel alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of United Parcel is -1029.2. The daily returns are destributed with a variance of 0.84 and standard deviation of 0.92. The mean deviation of United Parcel Service is currently at 0.6. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.02

Actual Return Volatility

United Parcel Service has volatility of 0.919% on return distribution over 30 days investment horizon. DOW inherits 1.3896% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

United Parcel Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

United Parcel Investment Opportunity
DOW has a standard deviation of returns of 1.39 and is 1.51 times more volatile than United Parcel Service. 8% 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 8 (%) of all global equities and portfolios over the last 30 days.

Total Debt

United Parcel Service Total Debt History

Total Debt

Volatility Indicators

United Parcel Current Risk Indicators
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