Microsoft Risk Analysis And Volatility Evaluation

MSFT -- USA Stock  

USD 101.14  0.73  0.73%

We consider Microsoft not too risky. Microsoft has Sharpe Ratio of 0.1245 which conveys that Microsoft had 0.1245% 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 0.86, Mean Deviation of 0.6432 and Risk Adjusted Performance of 0.01 to check out if risk estimate we provide are consistent with the epected return of 0.1067%.
 Time Horizon     30 Days    Login   to change

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 0.0 indicating unless we do not have required data, the returns on DOW and Microsoft are completely uncorrelated. Furthermore, Microsoft CorporationIt does not look like Microsoft alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Microsoft is 803.41. The daily returns are destributed with a variance of 0.73 and standard deviation of 0.86. The mean deviation of Microsoft Corporation is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.86
Ir
Information ratio =0.10

Actual Return Volatility

Microsoft Corporation inherits 0.8571% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.597% 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

Market Insensitive

Investment Outlook

Microsoft Investment Opportunity
Microsoft Corporation has a volatility of 0.86 and is 1.43 times more volatile than DOW. 7% 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 7 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Microsoft Total Debt History

Total Debt

Volatility Indicators

Microsoft Current Risk Indicators
Please see also Stocks Correlation. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.