Ford Motor Backtesting

F -- USA Stock  

USD 8.46  0.04  0.47%

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.
Horizon     30 Days    Login   to change

Ford Motor 'What if' Analysis

October 19, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 18, 2018
If you would invest  0.00  in Ford Motor on October 19, 2018 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 60 days. Ford Motor is related to or competes with GM, Fiat Chrysler, Honda Motor, Niu Technologies, Kandi Technologies, and Daimler AG. Ford Motor Company designs, manufactures, markets, and services a range of Ford cars, trucks, sport utility vehicles, an...

Ford Motor Upside/Downside Indicators

Information Ratio0.0416
Maximum Drawdown14.28
Value At Risk(3.40)
Potential Upside2.96

Ford Motor Market Premium Indicators

Risk Adjusted Performance(0.024859)
Jensen Alpha0.0551
Total Risk Alpha0.2348
Treynor Ratio(0.09)

Ford Motor Backtested Returns

We consider Ford Motor not very volatile. Ford Motor secures Sharpe Ratio (or Efficiency) of 0.0135 which denotes Ford Motor had 0.0135% of return per unit of risk over the last 2 months. Our philosophy towards predicting 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 Ford Motor Company which you can use to evaluate future volatility of the firm. Please confirm Ford Motor Coefficient Of Variation of (4,497) and Mean Deviation of 1.63 to check if risk estimate we provide are consistent with the epected return of 0.0332%. Ford Motor has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7249 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 patterns. 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 0.0332% will be sustainable into the future. Ford Motor right now shows a risk of 2.4555%. Please confirm Ford Motor Expected Short fall, Day Median Price and the relationship between Potential Upside and Accumulation Distribution to decide if Ford Motor will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.37) 
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 October 19, 2018 to November 18, 2018 and November 18, 2018 to December 18, 2018. 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 -0.37 indicates that just about 37.0% 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-0.37
Spearman Rank Test-0.74
Residual Average0.0
Price Variance0.14

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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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. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.