Ford Motor Risk Analysis

Ford Motor Company -- USA Stock  

USD 12.54  0.07  0.56%

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 Trend
Check current 30 days Ford Motor correlation with market (DOW)
β = 0.6745
Ford Motor Small BetaFord Motor Beta Legend

Ford Motor Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 average price price transform indicator.

Projected Return Density Against Market

Taking 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.1
βBeta against DOW=0.67
σ
Overall volatility
=0.92
 IrInformation ratio =0.066

Actual Return Volatility

Ford Motor Company accepts 0.9221% volatility on return distribution over the 30 days horizon. DOW inherits 0.5172% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ford Motor Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Follows market closely

Total Debt

Ford Motor Total Debt History

Total Debt

Largest Trends

Ford Motor Largest Period Trend

Investment Outlook

Ford Motor Investment Opportunity
Ford Motor Company has a volatility of 0.92 and is 1.77 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days. Use Ford Motor Company to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Ford Motor to be traded at $12.29 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

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.