Microsoft Risk Analysis

Microsoft Corporation -- USA Stock  

USD 92.29  0.29  0.32%

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 Trend
Check current 30 days Microsoft correlation with market (DOW)
β = 1.0598
Microsoft llmost one 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.

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.25
β
Beta against DOW=1.06
σ
Overall volatility
=2.10
Ir
Information ratio =0.12

Actual Return Volatility

Microsoft Corporation inherits 2.0959% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.7402% 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

Almost mirrors market

Total Debt

Microsoft Total Debt History

Total Debt

Largest Trends

Microsoft Largest Period Trend

Investment Outlook

Microsoft Investment Opportunity
Microsoft Corporation has a volatility of 2.1 and is 1.21 times more volatile than DOW. 19% 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 19 (%) of all global equities and portfolios over the last 30 days. Use Microsoft Corporation to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Microsoft to be traded at $96.9 in 30 days. Microsoft returns are very sensitive to returns on the market. As market goes up or down, Microsoft is expected to follow.

Microsoft correlation with market

Very poor 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.