United Parcel Backtesting

UPS -- USA Stock  

Fiscal Quarter End: December 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United Parcel Service and determine expected loss or profit from investing in United Parcel over given investment horizon. Also please take a look at United Parcel Hype Analysis, United Parcel Correlation, United Parcel Valuation, United Parcel Volatility as well as analyze United Parcel Alpha and Beta and United Parcel Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

United Parcel 'What if' Analysis

August 14, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 12, 2019
0.00
If you would invest  0.00  in United Parcel on August 14, 2019 and sell it all today you would earn a total of 0.00 from holding United Parcel Service or generate 0.0% return on investment in United Parcel over 90 days. United Parcel is related to or competes with Caterpillar, Ryder System, Union Pacific, Seaspan Seaspan, United Continental, and Merck. United Parcel Service, Inc. provides letter and package delivery, specialized transportation, logistics, and financial s...

United Parcel Upside/Downside Indicators

Downside Deviation1.41
Information Ratio0.024
Maximum Drawdown6.11
Value At Risk(2.04)
Potential Upside2.07

United Parcel Market Premium Indicators

Risk Adjusted Performance0.0763
Jensen Alpha0.0235
Total Risk Alpha(0.010023)
Sortino Ratio0.0236
Treynor Ratio0.0933

United Parcel Service Backtested Returns

We consider United Parcel very steady. United Parcel Service owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1051 which indicates the firm had 0.1051% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for United Parcel Service which you can use to evaluate future volatility of the company. Please validate United Parcel Coefficient Of Variation of 1196.58, Risk Adjusted Performance of 0.0763 and Semi Deviation of 1.32 to confirm if risk estimate we provide are consistent with the epected return of 0.1456%. United Parcel has performance score of 7 on a scale of 0 to 100. The entity has beta of 1.1352 which indicates United Parcel returns are very sensitive to returns on the market. as market goes up or down, United Parcel is expected to follow. Although it is extremely important to respect United Parcel Service current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting United Parcel Service technical indicators you can presently evaluate if the expected return of 0.1456% will be sustainable into the future. United Parcel Service right now has a risk of 1.386%. Please validate United Parcel Maximum Drawdown as well as the relationship between Skewness and Day Typical Price to decide if United Parcel will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.15 
correlation synergy

Insignificant predictability

United Parcel Service has insignificant predictability. Overlapping area represents the amount of predictability between United Parcel time series from August 14, 2019 to September 28, 2019 and September 28, 2019 to November 12, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of United Parcel Service price movement. The serial correlation of 0.15 indicates that less than 15.0% of current United Parcel price fluctuation can be explain by its past prices.
Correlation Coefficient0.15
Spearman Rank Test0.41
Residual Average0.0
Price Variance9.81

United Parcel Service lagged returns against current returns

 Current and Lagged Values 
      Timeline 

United Parcel regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

United Parcel Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - UPS

United Parcel Service Investor Sentiment

Predominant part of Macroaxis users are at this time bullish on United Parcel Service. What is your outlook on investing in United Parcel Service? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Also please take a look at United Parcel Hype Analysis, United Parcel Correlation, United Parcel Valuation, United Parcel Volatility as well as analyze United Parcel Alpha and Beta and United Parcel Performance. Please also try Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.
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