Ford Motor Backtesting

F -- USA Stock  

USD 11.48  0.04  0.35%

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.
 Time Horizon     30 Days    Login   to change

Ford Motor 'What if' Analysis

April 23, 2018
No Change 0.00  0.0%
In 31 days
May 23, 2018
If you would invest  0.00  in Ford Motor on April 23, 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 30 days. Ford Motor is related to or competes with GM, Navistar International, Polaris Industries, Thor Industries, PACCAR, and Tesla Motors. Ford Motor Company designs, manufactures, markets, and services a range of Ford cars, trucks, sport utility vehicles, an...

Ford Motor Upside/Downside Indicators

Downside Deviation1.09
Information Ratio0.1686
Maximum Drawdown5.06
Value At Risk1.86
Potential Upside1.6

Ford Motor Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.184

Ford Motor Backtested Returns

We consider Ford Motor not very risky. Ford Motor secures Sharpe Ratio (or Efficiency) of 0.165 which denotes Ford Motor had 0.165% 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-six 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 593.13, Mean Deviation of 0.8939 and Downside Deviation of 1.09 to check if risk estimate we provide are consistent with the epected return of 0.1916%. Ford Motor has performance score of 10 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and Ford Motor are completely uncorrelated. 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 0.1916% will be sustainable into the future. Ford Motor right now shows a risk of 1.1618%. Please confirm Ford Motor Treynor Ratio, Expected Short fall, Day Typical Price, as well as the relationship between Potential Upside and Daily Balance Of Power to decide if Ford Motor will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.32 

Below average predictability

Ford Motor Company has below average predictability. Overlapping area represents the amount of predictability between Ford Motor time series from April 23, 2018 to May 8, 2018 and May 8, 2018 to May 23, 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 0.32 indicates that nearly 32.0% of current Ford Motor price fluctuation can be explain by its past prices.
Correlation Coefficient 0.32
Spearman Rank Test 0.31
Price Variance 0.02
Lagged Price Variance 0.02

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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.