Ford Motor Risk Analysis

Ford Motor Company -- USA Stock  

USD 12.23  0.13  1.07%

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 Trend
Check current 30 days Ford Motor correlation with market (DOW)
β = -0.034
Ford Motor Almost negative betaFord Motor Beta Legend

Projected Return Density Against Market

Taking 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.14 
βBeta against DOW=(0.034) 
σ
Overall volatility
= 0.86 
 IrInformation ratio =(0.0519) 

Actual Return Volatility

Ford Motor Company accepts 0.8608% volatility on return distribution over the 30 days horizon. DOW inherits 0.2695% 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

Indifferent to market move

Total Debt

Ford Motor Total Debt History

Total Debt

Largest Trends

Ford Motor Largest Period Trend
 11.95 
  
 11.96 
0.01  0.083682%
Lowest period price (30 days)
 12.34 
  
 12.39 
0.05  0.41%
Highest period price (30 days)

Investment Outlook

Ford Motor Investment Opportunity
Ford Motor Company has a volatility of 0.86 and is 3.19 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 enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Ford Motor to be traded at $13.45 in 30 days. 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.

Ford Motor correlation with market

Good 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.

Volatility Indicators

Ford Motor Current Risk Indicators