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 TrendCheck current 30 days Microsoft correlation with market (DOW)|
β = 0.7821
Microsoft Technical Analysis
Projected Return Density Against MarketGiven 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
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