Microsoft Risk Analysis

Microsoft Corporation -- USA Stock  

USD 85.23  0.12  0.14%

We consider Microsoft not too risky. Microsoft has Sharpe Ratio of 0.0621 which conveys that Microsoft had 0.0621% of return per unit of risk over the last 1 month. Our philosophy towards estimating 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 Microsoft which you can use to evaluate future volatility of the firm. Please verify Microsoft Corporation Downside Deviation of 1.86, Mean Deviation of 0.8949 and Risk Adjusted Performance of 0.0387 to check out if risk estimate we provide are consistent with the epected return of 0.0814%.
Investment Horizon     30 Days    Login   to change

Microsoft Market Sensitivity

As returns on market increase, Microsoft returns are expected to increase less than the market. However during bear market, the loss on holding Microsoft will be expected to be smaller as well.
One Month Beta |Analyze Microsoft Demand Trend
Check current 30 days Microsoft correlation with market (DOW)
β = 0.7821
Microsoft Small BetaMicrosoft Beta Legend

Microsoft Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Microsoft 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, Microsoft has beta of 0.7821 indicating as returns on market go up, Microsoft average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Microsoft Corporation will be expected to be much smaller as well. Additionally, Microsoft Corporation 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 
Given the investment horizon of 30 days, the coefficient of variation of Microsoft is 1609.07. The daily returns are destributed with a variance of 1.71 and standard deviation of 1.31. The mean deviation of Microsoft Corporation is currently at 0.94. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.09
βBeta against DOW=0.78
σ
Overall volatility
=1.31
 IrInformation ratio =0.1

Actual Return Volatility

Microsoft Corporation inherits 1.309% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5006% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Microsoft Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Follows market closely

Total Debt

Microsoft Total Debt History

Total Debt

Largest Trends

Microsoft Largest Period Trend

Investment Outlook

Microsoft Investment Opportunity
Microsoft Corporation has a volatility of 1.31 and is 2.62 times more volatile than DOW. 12% of all equities and portfolios are less risky than Microsoft. Compared to the overall equity markets, volatility of historical daily returns of Microsoft Corporation is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Microsoft Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Microsoft to be traded at $84.38 in 30 days. As returns on market increase, Microsoft returns are expected to increase less than the market. However during bear market, the loss on holding Microsoft will be expected to be smaller as well.

Microsoft correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Microsoft Corp. and equity matching DJI index in the same portfolio.