We consider Microsoft not too risky. Microsoft has Sharpe Ratio of 0.0197 which conveys that Microsoft had 0.0197% 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-eight technical indicators for Microsoft which you can use to evaluate future volatility of the firm. Please verify Microsoft Corporation Downside Deviation of 2.35, Mean Deviation of 1.56 and Risk Adjusted Performance of 0.0968 to check out if risk estimate we provide are consistent with the epected return of 0.0413%.
|Time Horizon||30 Days Login to change|
Microsoft Market Sensitivity
|Microsoft returns are very sensitive to returns on the market. As market goes up or down, Microsoft is expected to follow.One Month Beta |Analyze Microsoft Demand TrendCheck current 30 days Microsoft correlation with market (DOW)|
β = 1.0598
Microsoft Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, the stock has beta coefficient of 1.0598 indicating Microsoft Corporation market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Microsoft is expected to follow. Moreover, Microsoft Corporation has an alpha of 0.2514 implying that it can potentially generate 0.2514% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of Microsoft is 5072.4. The daily returns are destributed with a variance of 4.39 and standard deviation of 2.1. The mean deviation of Microsoft Corporation is currently at 1.54. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71