Ford Motor Risk Analysis And Volatility Evaluation

F -- USA Stock  

USD 8.53  0.01  0.12%

We consider Ford Motor moderately volatile. Ford Motor secures Sharpe Ratio (or Efficiency) of 0.012 which denotes Ford Motor had 0.012% of return per unit of risk over the last 2 months. Our philosophy towards predicting volatility of a stock is to use all available market data together with stock 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 (1,557) and Mean Deviation of 1.75 to check if risk estimate we provide are consistent with the epected return of 0.0301%.
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 = 0.6567

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 average price price transform indicator.

Ford Motor Projected Return Density Against Market

Taking into account the 30 trading days horizon, Ford Motor has beta of 0.6567 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. Additionally, Ford Motor Company has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Ford Motor is 8326.62. The daily returns are destributed with a variance of 6.28 and standard deviation of 2.51. The mean deviation of Ford Motor Company is currently at 1.75. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.06
β
Beta against DOW=0.66
σ
Overall volatility
=2.51
Ir
Information ratio =0.0015

Ford Motor Return Volatility

Ford Motor Company accepts 2.5059% volatility on return distribution over the 30 days horizon. DOW inherits 1.3062% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ford Motor Volatility Factors

60 Days Market Risk

Moderately 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 2.51 and is 1.92 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 enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Ford Motor to be traded at $8.96 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
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

Additionally see Investing Opportunities. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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