Morgan Stanley Backtesting

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MS -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Morgan Stanley and determine expected loss or profit from investing in Morgan Stanley over given investment horizon. Additionally see Morgan Stanley Hype Analysis, Morgan Stanley Correlation, Morgan Stanley Valuation, Morgan Stanley Volatility as well as analyze Morgan Stanley Alpha and Beta and Morgan Stanley Performance.

Morgan Stanley 'What if' Analysis

November 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 18, 2020
If you would invest  0.00  in Morgan Stanley on November 20, 2019 and sell it all today you would earn a total of 0.00 from holding Morgan Stanley or generate 0.0% return on investment in Morgan Stanley over 90 days. Morgan Stanley is related to or competes with Evercore, Freedom Holding, Associated Capital, Goldman Sachs, Moelis, Diamond Hill, and ETRADE Financial. Morgan Stanley, a financial holding company, provides various financial products and services to corporations, governmen...

Morgan Stanley Upside/Downside Indicators

Downside Deviation1.21
Information Ratio0.0879
Maximum Drawdown9.51
Value At Risk(1.98)
Potential Upside1.9

Morgan Stanley Market Premium Indicators

Risk Adjusted Performance0.1231
Jensen Alpha0.1413
Total Risk Alpha0.0655
Sortino Ratio0.1004
Treynor Ratio0.2664

Morgan Stanley Backtested Returns

Macroaxis considers Morgan Stanley very steady given 3 months investment horizon. Morgan Stanley has Sharpe Ratio of 0.1455 which conveys that the firm had 0.1455% of return per unit of risk over the last 3 months. 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-eight technical indicators for Morgan Stanley which you can use to evaluate future volatility of the firm. Please exercise Morgan Stanley Mean Deviation of 0.936, Downside Deviation of 1.21 and Risk Adjusted Performance of 0.1231 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Morgan Stanley holds performance score of 9. The company secures Beta (Market Risk) of 0.7404 which conveys that as returns on market increase, Morgan Stanley returns are expected to increase less than the market. However during bear market, the loss on holding Morgan Stanley will be expected to be smaller as well. Although it is extremely important to respect Morgan Stanley price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Morgan Stanley technical indicators you can presently evaluate if the expected return of 0.2074% will be sustainable into the future. Please exercises Morgan Stanley Potential Upside as well as the relationship between Accumulation Distribution and Price Action Indicator to make a quick decision on weather Morgan Stanley current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.27 
correlation synergy

Poor predictability

Morgan Stanley has poor predictability. Overlapping area represents the amount of predictability between Morgan Stanley time series from November 20, 2019 to January 4, 2020 and January 4, 2020 to February 18, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Morgan Stanley price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Morgan Stanley price fluctuation can be explain by its past prices.
Correlation Coefficient0.27
Spearman Rank Test0.38
Residual Average0.0
Price Variance2.98

Morgan Stanley lagged returns against current returns

 Current and Lagged Values 

Morgan Stanley regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Morgan Stanley Lagged Returns

 Regressed Prices 

Current Sentiment - MS

Morgan Stanley Investor Sentiment

Nearly all of Macroaxis users are now bullish on Morgan Stanley. What is your trading attitude regarding investing in Morgan Stanley? Are you bullish or bearish?
98% Bullish
2% Bearish

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Additionally see Morgan Stanley Hype Analysis, Morgan Stanley Correlation, Morgan Stanley Valuation, Morgan Stanley Volatility as well as analyze Morgan Stanley Alpha and Beta and Morgan Stanley Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.