Microsoft Backtesting

MSFT -- USA Stock  

Earnings Call  This Week

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Microsoft Corporation and determine expected loss or profit from investing in Microsoft over given investment horizon. Please see also Microsoft Hype Analysis, Microsoft Correlation, Microsoft Valuation, Microsoft Volatility as well as analyze Microsoft Alpha and Beta and Microsoft Performance.
Horizon     30 Days    Login   to change

Microsoft 'What if' Analysis

July 22, 2019
No Change 0.00  0.0 
In 2 months and 31 days
October 20, 2019
If you would invest  0.00  in Microsoft on July 22, 2019 and sell it all today you would earn a total of 0.00 from holding Microsoft Corporation or generate 0.0% return on investment in Microsoft over 90 days. Microsoft is related to or competes with BlackLine, EVO Payments, Evertec, F5 Networks, Fair Isaac, Five9, and Black Knight. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide

Microsoft Upside/Downside Indicators

Downside Deviation1.43
Information Ratio0.0376
Maximum Drawdown5.85
Value At Risk(2.67)
Potential Upside1.89

Microsoft Market Premium Indicators

Risk Adjusted Performance0.0247
Jensen Alpha0.0557
Total Risk Alpha0.0632
Sortino Ratio0.0357
Treynor Ratio0.0178

Microsoft Backtested Returns

We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.0061 which conveys that the firm had 0.0061% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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-one technical indicators for Microsoft which you can use to evaluate future volatility of the firm. Please verify Microsoft Corporation Mean Deviation of 1.11, Risk Adjusted Performance of 0.0247 and Downside Deviation of 1.43 to check out if risk estimate we provide are consistent with the epected return of 0.0083%. The company secures Beta (Market Risk) of 1.1475 which conveys that Microsoft returns are very sensitive to returns on the market. as market goes up or down, Microsoft is expected to follow. Although it is extremely important to respect Microsoft price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Microsoft technical indicators you can presently evaluate if the expected return of 0.0083% will be sustainable into the future. Microsoft right now secures a risk of 1.3617%. Please verify Microsoft Corporation Variance as well as the relationship between Value At Risk and Skewness to decide if Microsoft Corporation will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.39) 
correlation synergy

Poor reverse predictability

Microsoft Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between Microsoft time series from July 22, 2019 to September 5, 2019 and September 5, 2019 to October 20, 2019. 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 -0.39 indicates that just about 39.0% of current Microsoft price fluctuation can be explain by its past prices. Given that Microsoft Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Microsoft for similar time interval.
Correlation Coefficient-0.39
Spearman Rank Test0.1
Residual Average0.0
Price Variance2.51

Microsoft lagged returns against current returns

 Current and Lagged Values 

Microsoft regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Microsoft Lagged Returns

 Regressed Prices 

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Please see also Microsoft Hype Analysis, Microsoft Correlation, Microsoft Valuation, Microsoft Volatility as well as analyze Microsoft Alpha and Beta and Microsoft Performance. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.