Ford Motor Risk Analysis And Volatility Evaluation

F -- USA Stock  

USD 8.50  0.02  0.23%

Macroaxis considers Ford Motor to be not very volatile. Ford Motor secures Sharpe Ratio (or Efficiency) of -0.015 which denotes Ford Motor had -0.015% of return per unit of risk over the last 2 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Ford Motor Coefficient Of Variation of (69,317) and Mean Deviation of 1.67 to check risk estimate we provide.
Interest Expense
Horizon     30 Days    Login   to change

Ford Motor Market Sensitivity

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.
2 Months Beta |Analyze Ford Motor Demand Trend
Check current 30 days Ford Motor correlation with market (DOW)
β = 0.7625

Ford Motor Central Daily Price Deviation

Ford Motor Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Ford Motor Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about avgprice price transform indicator.

Ford Motor Projected Return Density Against Market

Taking into account the 30 trading days horizon, Ford Motor has beta of 0.7625 suggesting as returns on market go up, Ford Motor average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Ford Motor Company will be expected to be much smaller as well. Moreover, Ford Motor Company has an alpha of 0.0748 implying that it can potentially generate 0.0748% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Ford Motor is -6666.78. The daily returns are destributed with a variance of 6.08 and standard deviation of 2.47. The mean deviation of Ford Motor Company is currently at 1.69. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.07
β
Beta against DOW=0.76
σ
Overall volatility
=2.47
Ir
Information ratio =0.0421

Ford Motor Return Volatility

Ford Motor Company accepts 2.4656% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ford Motor Volatility Factors

60 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Close to average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

Ford Motor Investment Opportunity

Ford Motor Company has a volatility of 2.47 and is 1.91 times more volatile than DOW. 22% of all equities and portfolios are less risky than Ford Motor. Compared to the overall equity markets, volatility of historical daily returns of Ford Motor Company is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use Ford Motor Company to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Ford Motor to be traded at $8.41 in 30 days. 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.

Ford Motor correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Ford Motor Company and equity matching DJI index in the same portfolio.

Ford Motor Volatility Indicators

Ford Motor Company Current Risk Indicators

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