Ford Motor Backtesting

Ford Motor Company -- USA Stock  

USD 12.19  0.09  0.74%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Ford Motor Company and determine expected loss or profit from investing in Ford Motor over given investment horizon. Additionally see Ford Motor Hype Analysis, Ford Motor Correlation, Ford Motor Valuation, Ford Motor Volatility as well as analyze Ford Motor Alpha and Beta and Ford Motor Performance
Investment Horizon     30 Days    Login   to change
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Ford Motor 'What if' Analysis

September 21, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 21, 2017
 0.00 
If you would invest  0.00  in Ford Motor on September 21, 2017 and sell it all today you would earn a total of 0.00 from holding Ford Motor Company or generate 0.0% return on investment in Ford Motor over 30 days. Ford Motor is related to or competes with GM, Navistar International, Polaris Industries, Thor Industries, and PACCAR. Ford Motor Co operates through two sectors, Automotive and Financial Services

Ford Motor Upside/Downside Indicators

  

Ford Motor Market Premium Indicators

Ford Motor lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Ford Motor regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Ford Motor Backtested Returns

We consider Ford Motor not too volatile. Ford Motor secures Sharpe Ratio (or Efficiency) of 0.1724 which denotes Ford Motor had 0.1724% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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 Ford Motor Company which you can use to evaluate future volatility of the firm. Please confirm Ford Motor Coefficient Of Variation of 580.03, Mean Deviation of 0.6142 and Downside Deviation of 0.9698 to check if risk estimate we provide are consistent with the epected return of 0.1487%. Ford Motor has performance score of 11 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.8125 which denotes to the fact that as returns on market increase, Ford Motor returns are expected to increase less than the market. However during bear market, the loss on holding Ford Motor will be expected to be smaller as well.. Although it is extremely important to respect Ford Motor historical returns, it is better to be realistic regarding the information on equity current trending patternss. The philosophy towards predicting 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 reviewing Ford Motor technical indicators you can presently evaluate if the expected return of 0.1487% will be sustainable into the future. Ford Motor right now shows a risk of 0.8625%. Please confirm Ford Motor Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if Ford Motor will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.36) 

Poor reverse predictability

Ford Motor Company has poor reverse predictability. Overlapping area represents the amount of predictability between Ford Motor time series from September 21, 2017 to October 6, 2017 and October 6, 2017 to October 21, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Ford Motor price movement. The serial correlation of -0.36 indicates that just about 36.0% of current Ford Motor price fluctuation can be explain by its past prices. Given that Ford Motor Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Ford Motor for similar time interval.
Correlation Coefficient -0.36
Spearman Rank Test -0.63
Price Variance 0.01
Lagged Price Variance 0.04

Ford Motor Lagged Returns

 Regressed Prices 
      Timeline 

Ford Motor Performance vs DOW

The median price of Ford Motor for the period between Thu, Sep 21, 2017 and Sat, Oct 21, 2017 is 12.12 with a coefficient of variation of 1.56. The daily time series for the period is distributed with a sample standard deviation of 0.19, arithmetic mean of 12.13, and mean deviation of 0.16. The Stock received some media coverage during the period.
October 20, 2017Ford Motor Dividend Paid
Price Growth (%)  
      Timeline 
1
Will Ford Motor Company Stock Catch Up to General Motors10/20/2017