Ford Motor Company (F)

New York Stock Exchange
USD
US3453708600
1 June 1972  –  6 October 2022

Performance

Annualized Return
5.27%
Sharpe Ratio
0.32
Maximum Drawdown
-96.94%

Metrics

Metric Ford Motor Company
Initial Balance $10,000
Final Balance $132,851
Returns   [View more details]
Month-To-Date 10.36%
Year-To-Date -39.21%
3M 11.43%
6M -20.6%
Annual Return (3Y) 14.5%
Annual Return (5Y) 3.96%
Annual Return (All) 5.27%
Risk   [View more details]
Annual Volatility 36%
Max Drawdown -96.94%
Sharpe Ratio 0.32
Sortino Ratio 0.48
Adjusted Sortino (S/√2) 0.34

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on June 1972.
  • Final balance: The amount of capital we've accrued over time as of October 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 50 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Ford Motor Company -11.19% 14.5% 3.96% 6.16% 5.42% 5.27%

Annual Returns

Year Ford Motor Company
1972 19.95%
1973 -49.13%
1974 -17.6%
1975 31.85%
1976 39.77%
1977 -7.01%
1978 -7.93%
1979 -24.03%
1980 -37.5%
1981 -16.25%
1982 132.06%
1983 63.55%
1984 7.65%
1985 27.14%
1986 45.47%
1987 33.99%
1988 40.64%
1989 -8.18%
1990 -34.02%
1991 13.01%
1992 58.81%
1993 55.19%
1994 -11.22%
1995 8.31%
1996 17.04%
1997 57.31%
1998 88.23%
1999 -6.12%
2000 -43.48%
2001 -30.06%
2002 -38.92%
2003 78.64%
2004 -6%
2005 -45.12%
2006 0.57%
2007 -10.39%
2008 -65.97%
2009 336.68%
2010 67.9%
2011 -35.91%
2012 23.08%
2013 22.33%
2014 3.71%
2015 -5.44%
2016 -7.9%
2017 8.73%
2018 -34.29%
2019 29.61%
2020 -3.88%
2021 137.5%
2022 -39.21%

Ford Motor Company had 27 positive years and 24 negative years. That's a positive ratio of 53%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1972 0% 0% 0% 0% 0% -3.8% 1.2% 4.2% -1.1% -0.6% 13.8% 5.6% 19.2%
1973 -6.7% -11.1% -4% -3.2% -6.7% -4.6% 3% -1.8% 8.4% -12.5% -19.3% -4.1% -63.5%
1974 12.3% 3% 4.8% 0.5% 4.8% -5.3% -10.7% -9.1% -7.2% -12.5% -4.3% 8.1% -14.8%
1975 10.1% -10.2% 12.5% -3% 2.8% 11.1% -5.2% 1.3% -8.2% 11% 6.2% 2.9% 31.1%
1976 12.8% 3% 11.5% 4.2% -7.6% 6.6% -3.4% -2% 7.2% -4.4% -3.7% 12.6% 35.8%
1977 -1.6% -4.3% -6.5% 2.5% -2% 7.7% -5.1% -2% 6% -7.3% 0.9% 5.8% -5.6%
1978 -8.5% 0.6% 8% 12.4% -3.2% -5.8% -3% -2.8% 3.4% -12.1% 2.8% 2.4% -6.5%
1979 -3% 0.6% 6.7% 1.7% -4.8% 0.3% -1.5% 2.7% 1.5% -15.7% -17% 4.5% -25.4%
1980 5.5% -9.6% -4.5% -16.3% 0.5% 0.5% 15.8% -3.1% -0% -6.8% -13.1% -10.6% -40.3%
1981 -1.3% -0.6% 22.3% -11% 7.6% 3.8% -9.4% -8.7% 0% -17.7% 2.3% 0.7% -12.2%
1982 9% 4.8% 8.5% 9% 0.6% 5.5% -5.8% 21.6% -6.8% 24.4% 3.5% 17.8% 92.6%
1983 1.9% -3.8% 5.6% 27.6% -8.5% 20.2% 6.4% -5.2% 8.3% 7.5% -7% 2.9% 55%
1984 -3.5% -8.9% -1.7% -0% 0.7% -2.4% 9.4% 8.9% 6.7% 2.7% -4% 1.1% 12.7%
1985 6.9% -8.5% -5% -3.5% 6.4% 3.7% -1.1% -1.4% 0.6% 5.1% 16.1% 7.4% 26.6%
1986 8% 14.6% 14.1% -7.6% 6.5% 2.7% -2.9% 11.7% -11.3% 8.3% 2% -3.8% 41.4%
1987 32.2% 2.7% 10.5% 7.8% -0.1% 8.9% 2.6% 6.3% -9.3% -23% -5.8% 6% 36.9%
1988 14.1% 6.2% -5% 11.7% 1.8% 10.7% 0.7% -7.1% 3.8% 1.9% 1% -2.9% 37.9%
1989 9.7% -5.5% -5.3% -0.8% 2.1% -0.5% 4.4% 8% -5.6% -5.4% -5.8% -2.2% -6.7%
1990 0.6% 6.7% 2.7% -5.1% 4.5% -5.1% -3.4% -16% -11.5% -7.8% -1.4% -2.7% -37.9%
1991 8.2% 16.5% -0.8% 1.7% 13.4% -2.4% -5.8% -7.1% -3.6% -8.3% -11.5% 17.2% 17.3%
1992 9.8% 20.5% 4.4% 19.4% -2.2% 3.4% 0.7% -10.9% -3.1% -6.7% 15.1% 2.1% 52%
1993 8.5% -0.5% 13.4% 6.1% -5% 0.5% 1.8% -3.3% 8.3% 12.7% -1.8% 6.2% 47.6%
1994 4.4% -7.3% -5.4% 0% -1.1% 2.2% 8.8% -8.2% -5.1% 7.2% -8.1% 2.8% -8.1%
1995 -8.5% 3.4% 2.9% 2.1% 7.9% 1.7% -1.5% 6% 1.2% -6.5% -1.7% 2.2% 11.4%
1996 3.4% 5.9% 10% 5.4% 1.8% -11.3% 1.2% 3.5% -6.7% 1.3% 4.8% -1.5% 18.6%
1997 0.8% 2.3% -4.6% 12.1% 7.9% 1.3% 8.7% 5.2% 4.9% -2.3% -1.6% 12.9% 48.7%
1998 5.9% 10.9% 14.6% 7.4% 13.3% 13.7% -2.7% -21.7% 5.3% 16.5% 1.5% 6.6% 71.1%
1999 5.5% -3.5% -4.4% 13.6% -10.7% -1.2% -13.3% 7.5% -3.6% 10.2% -8% 5.6% -1.3%
2000 -5.7% -16.3% 10.4% 20.3% -11.3% -7.8% 9.5% -38.3% 5.2% 3.6% -12.9% 3% -43%
2001 21.6% -1.3% 1.1% 5.9% -17.4% 0.8% 3.7% -21.1% -12.7% -6.6% 18% -17% -27.5%
2002 -2% -2.7% 10.8% -3% 11% -9.3% -15.2% -12.6% -16.7% -12.6% 34.5% -18.3% -35.4%
2003 -1% -8.7% -9.6% 38.3% 1.9% 4.7% 1.6% 4.5% -6.8% 13.5% 8.8% 21.2% 66%
2004 -8.5% -5.4% -1.3% 13.9% -3.3% 5.4% -5.3% -4.1% -0.4% -6.6% 8.8% 3.2% -2.6%
2005 -9.4% -3.9% -10.4% -18.7% 9.6% 2.6% 5.9% -7.2% -1.1% -14.6% -2.3% -5% -55.8%
2006 12.4% -7.1% -0.1% -11.4% 3% -3.2% -3% 25.5% -3.3% 2.3% -1.8% -7.6% 7.3%
2007 8.3% -2.7% -0.3% 1.9% 3.7% 12.9% -9.7% -8.2% 8.7% 4.5% -15.3% -10.4% -5.1%
2008 -1.3% -1.7% -12.4% 44.4% -17.7% -29.3% -0.2% -7.1% 16.6% -57.9% 22.8% -14.9% -59.2%
2009 -18.3% 7% 31.5% 127.4% -3.8% 5.6% 31.8% -5% -5.1% -2.9% 27% 12.5% 170.1%
2010 8.4% 8.3% 7.1% 3.6% -9.9% -14.1% 26.7% -11.6% 8.5% 15.4% 12.8% 5.3% 59.1%
2011 -5% -5.6% -0.9% 3.8% -3.6% -7.6% -11.5% -8.9% -13% 20.8% -9.2% 1.5% -36.6%
2012 15.9% -0.3% 1.2% -9.2% -6.4% -9.2% -3.6% 1.6% 5.6% 13.7% 2.6% 13.1% 24%
2013 0.7% -2.6% 4.3% 4.3% 15.2% -1.3% 9.8% -4.1% 4.2% 2% -0.2% -9.7% 23%
2014 -2.3% 2.9% 1.4% 4.3% 1.8% 4.9% -0.6% 2.3% -15% -3.9% 11.6% -1.5% 5.8%
2015 -4.1% 11.1% -1.2% -1.2% -4% -1.1% -0.2% -6.5% -2.2% 10.2% -3.2% -1.7% -3.2%
2016 -12.4% 4.8% 7.9% 1.5% -0.5% -6.8% 1.8% -0.5% -4.2% -1.5% 1.9% 1.4% -4.8%
2017 3.5% 1.4% -7.1% -0.1% -3.1% 0.6% 1.6% -1.7% 8.5% 3.8% 2% -0.2% 9.9%
2018 -10% -3.3% 4.4% 2.8% 2.8% -4.2% -8% -5.6% -2.4% 5.1% -1.5% -18.7% -38.3%
2019 17% -0.3% 0.1% 20.9% -8.9% 7.5% -5.4% -3.8% -0.1% -4.7% 5.5% 2.6% 29.7%
2020 -3.6% -21.1% -30.6% 5.4% 12.2% 6.5% 8.7% 3.2% -2.3% 16.1% 17.5% -3.2% 11.7%
2021 19.8% 11.1% 4.7% -5.8% 25.9% 2.3% -6.1% -6.6% 8.7% 20.6% 12.9% 8.2% 95.2%
2022 -1.8% -13.5% -3.7% -15.7% -3.4% -18.6% 32% 4.7% -26.5% 10.4% 0% 0% -39.5%
Pos 58% 44% 56% 66% 52% 56.9% 47.1% 35.3% 42% 51% 52% 62% 54.9%
Avg 3.2% -0.4% 2.2% 6.6% 0.5% 0.1% 1.1% -2.6% -1.3% -0.2% 1.9% 1.4% 11.5%

Other Return Metrics

Metric Ford Motor Company
Cumulative Return 1228.51%
Enh Ann Return 12.09%
Best Year 336.68%
Worst Year -65.97%
Best Month 127.38%
Worst Month -57.88%
Best Day 29.52%
Worst Day -25.58%
Win Ratio (Yearly) 52.94%
Win Ratio (Quarterly) 52.22%
Win Ratio (Monthly) 51.82%
Win Ratio (Daily) 49.41%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Ford Motor Company 50.38% 48.69% 41.34% 33.43% 42.49% 36%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Ford Motor Company 0.02 0.52 0.3 0.35 0.34 0.32

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Ford Motor Company

start valley end Drawdown days
1999-05-04 2008-11-19 - -96.94% 8556
1973-01-09 1981-10-29 1983-09-23 -75.38% 3909
1989-02-09 1991-01-09 1992-04-29 -49.28% 1175
1987-08-26 1987-10-26 1988-08-03 -39.08% 343
1998-07-31 1998-10-05 1999-01-06 -34.57% 159

The Ford Motor Company took approximately 94 months on average to recover from a major drawdown. The longest drawdown lasted 285 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric Ford Motor Company
Sharpe Ratio 0.32
Sortino Ratio 0.48
Adjusted Sortino (S/√2) 0.34
Calmar Ratio 0.05
Omega Ratio 0.05
Gain to Pain Ratio 0.06
Winckel Ratio 49.02
Ulcer Index 0.52
Kelly Criterion 2.86%
Skew 0.41
Kurtosis 14.74
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