We consider Ford Motor not too volatile. Ford Motor secures Sharpe Ratio (or Efficiency) of 0.1243 which denotes Ford Motor had 0.1243% 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-one 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 580.03, Mean Deviation of 0.6142 and Downside Deviation of 0.9698 to check if risk estimate we provide are consistent with the epected return of 0.107%.
|Investment Horizon||30 Days Login to change|
Ford Motor Market Sensitivity
|As returns on market increase, returns on owning Ford Motor are expected to decrease at a much smaller rate. During bear market, Ford Motor is likely to outperform the market.One Month Beta |Analyze Ford Motor Demand TrendCheck current 30 days Ford Motor correlation with market (DOW)|
β = -0.034
Projected Return Density Against MarketTaking into account the 30 trading days horizon, Ford Motor Company has beta of -0.034 suggesting as returns on benchmark increase, returns on holding Ford Motor are expected to decrease at a much smaller rate. During bear market, however, Ford Motor Company is likely to outperform the market. Moreover, Ford Motor Company has an alpha of 0.1449 implying that it can potentially generate 0.1449% 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 804.41. The daily returns are destributed with a variance of 0.74 and standard deviation of 0.86. The mean deviation of Ford Motor Company is currently at 0.6. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27