Microsoft Risk Analysis

Microsoft Corporation -- USA Stock  

USD 77.91  0.3  0.39%

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 Trend
Check current 30 days Microsoft correlation with market (DOW)
β = 1.2217
Microsoft Large BetaMicrosoft Beta Legend

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.0175 
βBeta against DOW= 1.22 
σ
Overall volatility
= 0.66 
 IrInformation ratio = 0.0686 

Actual Return Volatility

Microsoft Corporation inherits 0.664% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2303% 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

Totally responsive to 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 0.66 and is 2.87 times more volatile than DOW. 6% 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 6 (%) 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 $81.81 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Microsoft will likely underperform.

Microsoft correlation with market

Very weak 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.

Volatility Indicators

Microsoft Current Risk Indicators