Microsoft (Germany) Market Value
MSF Stock | EUR 380.70 3.20 0.85% |
Symbol | Microsoft |
Microsoft 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Microsoft's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Microsoft.
10/27/2023 |
| 04/24/2024 |
If you would invest 0.00 in Microsoft on October 27, 2023 and sell it all today you would earn a total of 0.00 from holding Microsoft or generate 0.0% return on investment in Microsoft over 180 days. Microsoft is related to or competes with Adyen NV, CrowdStrike Holdings, and Palantir Technologies. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide More
Microsoft Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Microsoft's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Microsoft upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.16 | |||
Information Ratio | (0.01) | |||
Maximum Drawdown | 6.25 | |||
Value At Risk | (1.82) | |||
Potential Upside | 2.55 |
Microsoft Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Microsoft's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Microsoft's standard deviation. In reality, there are many statistical measures that can use Microsoft historical prices to predict the future Microsoft's volatility.Risk Adjusted Performance | 0.0423 | |||
Jensen Alpha | 0.0355 | |||
Total Risk Alpha | (0.11) | |||
Sortino Ratio | (0.02) | |||
Treynor Ratio | 0.1792 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Microsoft's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Microsoft Backtested Returns
We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.0328, which conveys that the firm had a 0.0328% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Microsoft, which you can use to evaluate the volatility of the firm. Please verify Microsoft's Mean Deviation of 1.01, risk adjusted performance of 0.0423, and Downside Deviation of 1.16 to check out if the risk estimate we provide is consistent with the expected return of 0.0436%. Microsoft has a performance score of 2 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.38, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Microsoft's returns are expected to increase less than the market. However, during the bear market, the loss of holding Microsoft is expected to be smaller as well. Microsoft right now secures a risk of 1.33%. Please verify Microsoft total risk alpha, value at risk, and the relationship between the standard deviation and treynor ratio , to decide if Microsoft will be following its current price movements.
Auto-correlation | 0.22 |
Weak predictability
Microsoft has weak predictability. Overlapping area represents the amount of predictability between Microsoft time series from 27th of October 2023 to 25th of January 2024 and 25th of January 2024 to 24th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Microsoft price movement. The serial correlation of 0.22 indicates that over 22.0% of current Microsoft price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.22 | |
Spearman Rank Test | 0.34 | |
Residual Average | 0.0 | |
Price Variance | 65.06 |
Microsoft lagged returns against current returns
Autocorrelation, which is Microsoft stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Microsoft's stock expected returns. We can calculate the autocorrelation of Microsoft returns to help us make a trade decision. For example, suppose you find that Microsoft has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
Timeline |
Microsoft regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Microsoft stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Microsoft stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Microsoft stock over time.
Current vs Lagged Prices |
Timeline |
Microsoft Lagged Returns
When evaluating Microsoft's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Microsoft stock have on its future price. Microsoft autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Microsoft autocorrelation shows the relationship between Microsoft stock current value and its past values and can show if there is a momentum factor associated with investing in Microsoft.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Microsoft in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Microsoft's short interest history, or implied volatility extrapolated from Microsoft options trading.
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Microsoft Correlation, Microsoft Volatility and Microsoft Alpha and Beta module to complement your research on Microsoft. For more detail on how to invest in Microsoft Stock please use our How to Invest in Microsoft guide.You can also try the Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for Microsoft Stock analysis
When running Microsoft's price analysis, check to measure Microsoft's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Microsoft is operating at the current time. Most of Microsoft's value examination focuses on studying past and present price action to predict the probability of Microsoft's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Microsoft's price. Additionally, you may evaluate how the addition of Microsoft to your portfolios can decrease your overall portfolio volatility.
Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
Fundamental Analysis View fundamental data based on most recent published financial statements | |
Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
Fundamentals Comparison Compare fundamentals across multiple equities to find investing opportunities | |
Stocks Directory Find actively traded stocks across global markets | |
Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope |
Microsoft technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.