Ford Motor Backtesting

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F -- USA Stock  


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. Please check 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.

Ford Motor 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in Ford Motor on November 28, 2019 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 90 days. Ford Motor is related to or competes with Fiat Chrysler, GM, Blue Bird, Kandi Technologies, Alliant Energy, NIO, and Ford Motor. Ford Motor Company designs, manufactures, markets, and services a range of Ford cars, trucks, sport utility vehicles, an...

Ford Motor Upside/Downside Indicators

Information Ratio(0.14)
Maximum Drawdown11.78
Value At Risk(2.23)
Potential Upside1.81

Ford Motor Market Premium Indicators

Risk Adjusted Performance(0.15)
Jensen Alpha(0.25)
Total Risk Alpha(0.20)
Treynor Ratio(0.47)

Ford Motor Backtested Returns

Macroaxis considers Ford Motor to be slightly risky. Ford Motor secures Sharpe Ratio (or Efficiency) of -0.2062 which denotes the organization had -0.2062% of return per unit of risk over the last 3 months. Macroaxis philosophy towards predicting 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. Ford Motor Company exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Ford Motor Mean Deviation of 1.05 and Coefficient Of Variation of (630.71) to check risk estimate we provide. The firm shows Beta (market volatility) of 0.5939, 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. Even though it is essential to pay attention to Ford Motor historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Ford Motor Company exposes twenty-eight different technical indicators, which can help you to evaluate its performance. Ford Motor has an expected return of -0.3563%. Please be advised to confirm Ford Motor Expected Short fall, Day Median Price and the relationship between Potential Upside and Accumulation Distribution to decide if Ford Motor stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.39) 
correlation synergy

Poor reverse predictability

Ford Motor Company has poor reverse predictability. Overlapping area represents the amount of predictability between Ford Motor time series from November 28, 2019 to January 12, 2020 and January 12, 2020 to February 26, 2020. 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 -0.39 indicates that just about 39.0% 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-0.39
Spearman Rank Test-0.48
Residual Average0.0
Price Variance0.27

Ford Motor lagged returns against current returns

 Current and Lagged Values 

Ford Motor regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Ford Motor Lagged Returns

 Regressed Prices 

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Please check 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. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.