United Parcel Risk Analysis And Volatility Evaluation

UPS -- USA Stock  

USD 118.49  0.63  0.53%

Macroaxis considers United Parcel to be not too risky. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2328 which indicates United Parcel Service had -0.2328% 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-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 786.99 and Risk Adjusted Performance of 0.05 to confirm risk estimate we provide.
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 Trend
Check current 30 days United Parcel correlation with market (DOW)
β = -0.0851
United Parcel Almost negative 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.

United Parcel Projected Return Density Against Market

Considering 30-days investment horizon, United Parcel Service has beta of -0.0851 . 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 is likely to outperform the market. 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 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of United Parcel is -429.51. The daily returns are destributed with a variance of 0.87 and standard deviation of 0.93. The mean deviation of United Parcel Service is currently at 0.73. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.12
β
Beta against DOW=0.09
σ
Overall volatility
=0.93
Ir
Information ratio =0.31

United Parcel Return Volatility

United Parcel Service has volatility of 0.9312% on return distribution over 30 days investment horizon. DOW inherits 0.4168% 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

Indifferent to market move

Investment Outlook

United Parcel Investment Opportunity

United Parcel Service has a volatility of 0.93 and is 2.21 times more volatile than DOW. 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. Use United Parcel Service to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of United Parcel to be traded at $116.12 in 30 days. 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.

United Parcel correlation with market

Good 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.

United Parcel Volatility Indicators

United Parcel Service Current Risk Indicators

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