Microsoft Risk Analysis And Volatility Evaluation

MSFT -- USA Stock  

USD 114.26  0.69  0.61%

Macroaxis considers Microsoft not too risky given 1 month investment horizon. Microsoft has Sharpe Ratio of 0.18 which conveys that Microsoft had 0.18% 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 stock 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 exercise Microsoft Corporation Downside Deviation of 1.3, Mean Deviation of 0.934 and Risk Adjusted Performance of 0.119 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Microsoft Market Sensitivity

As returns on market increase, returns on owning Microsoft are expected to decrease at a much smaller rate. During bear market, Microsoft is likely to outperform the market.
One Month Beta |Analyze Microsoft Demand Trend
Check current 30 days Microsoft correlation with market (DOW)
β = -0.0194
Microsoft Almost negative 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.

Microsoft Projected Return Density Against Market

Given the investment horizon of 30 days, Microsoft Corporation has beta of -0.0194 indicating as returns on benchmark increase, returns on holding Microsoft are expected to decrease at a much smaller rate. During bear market, however, Microsoft Corporation is likely to outperform the market. Moreover, Microsoft Corporation has an alpha of 0.2744 implying that it can potentially generate 0.2744% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Microsoft is 555.61. The daily returns are destributed with a variance of 1.29 and standard deviation of 1.14. The mean deviation of Microsoft Corporation is currently at 0.93. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.27
β
Beta against DOW=0.02
σ
Overall volatility
=1.14
Ir
Information ratio =0.09

Microsoft Return Volatility

Microsoft Corporation inherits 1.137% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4168% 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

Indifferent to market move

Investment Outlook

Microsoft Investment Opportunity

Microsoft Corporation has a volatility of 1.14 and is 2.71 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Microsoft Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Microsoft to be traded at $125.69 in 30 days. As returns on market increase, returns on owning Microsoft are expected to decrease at a much smaller rate. During bear market, Microsoft is likely to outperform the market.

Microsoft correlation with market

Good 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.

Microsoft Volatility Indicators

Microsoft Corporation Current Risk Indicators

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