We consider Ford Motor not too volatile. Ford Motor secures Sharpe Ratio (or Efficiency) of 0.1886 which denotes Ford Motor had 0.1886% 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-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 440.21, Mean Deviation of 0.6528 and Downside Deviation of 0.7034 to check if risk estimate we provide are consistent with the epected return of 0.1739%.
|Investment 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.One Month Beta |Analyze Ford Motor Demand TrendCheck current 30 days Ford Motor correlation with market (DOW)|
β = 0.6745
Ford Motor Technical Analysis
Projected Return Density Against MarketTaking into account the 30 trading days horizon, Ford Motor has beta of 0.6745 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 0.1046 implying that it can potentially generate 0.1046% excess return over DOW after adjusting for the inherited market risk (beta).
Taking into account the 30 trading days horizon, the coefficient of variation of Ford Motor is 530.12. The daily returns are destributed with a variance of 0.85 and standard deviation of 0.92. The mean deviation of Ford Motor Company is currently at 0.64. For similar time horizon, the selected benchmark (DOW) has volatility of 0.51