We consider Microsoft not too risky. Microsoft has Sharpe Ratio of 0.2143 which conveys that Microsoft had 0.2143% 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 Mean Deviation of 0.4353 and Risk Adjusted Performance of 0.0689 to check out if risk estimate we provide are consistent with the epected return of 0.1423%.
|Investment Horizon||30 Days Login to change|
Microsoft Market Sensitivity
|As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Microsoft will likely underperform.One Month Beta |Analyze Microsoft Demand TrendCheck current 30 days Microsoft correlation with market (DOW)|
β = 1.2217
Projected Return Density Against MarketGiven the investment horizon of 30 days, the stock has beta coefficient of 1.2217 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Microsoft will likely underperform. Moreover, Microsoft Corporation has an alpha of 0.0175 implying that it can potentially generate 0.0175% 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 466.69. The daily returns are destributed with a variance of 0.44 and standard deviation of 0.66. The mean deviation of Microsoft Corporation is currently at 0.45. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23