We consider United Parcel not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.128 which indicates United Parcel Service had 0.128% 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 1.08, Coefficient Of Variation of 677.55 and Risk Adjusted Performance of 0.0768 to confirm if risk estimate we provide are consistent with the epected return of 0.187%.
|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 TrendCheck current 30 days United Parcel correlation with market (DOW)|
β = 1.8051
United Parcel Service Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, the stock has beta coefficient of 1.8051 . 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
Considering 30-days investment horizon, the coefficient of variation of United Parcel is 781.37. The daily returns are destributed with a variance of 2.14 and standard deviation of 1.46. The mean deviation of United Parcel Service Inc is currently at 1.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47