MICROSOFT (Germany) Backtesting

MSF -- Germany Stock  

EUR 135.02  2.90  2.19%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MICROSOFT DL 00000625 and determine expected loss or profit from investing in MICROSOFT over given investment horizon. Please see also MICROSOFT Hype Analysis, MICROSOFT Correlation, MICROSOFT Valuation, MICROSOFT Volatility as well as analyze MICROSOFT Alpha and Beta and MICROSOFT Performance.
Horizon     30 Days    Login   to change

MICROSOFT 'What if' Analysis

September 7, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 6, 2019
If you would invest  0.00  in MICROSOFT on September 7, 2019 and sell it all today you would earn a total of 0.00 from holding MICROSOFT DL 00000625 or generate 0.0% return on investment in MICROSOFT over 90 days. MICROSOFT is related to or competes with MICRO FOCUS, TDC SOFT, Beeks Finan, INTERNAP CORP, Berenberg ActiveQ, and LBPAM Actions. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide

MICROSOFT Upside/Downside Indicators

Downside Deviation1.03
Information Ratio0.0733
Maximum Drawdown4.98
Value At Risk(1.54)
Potential Upside2.19

MICROSOFT Market Premium Indicators

Risk Adjusted Performance0.0897
Jensen Alpha0.1193
Total Risk Alpha0.0296
Sortino Ratio0.0768
Treynor Ratio0.3945

MICROSOFT DL 00000625 Backtested Returns

We consider MICROSOFT very steady. MICROSOFT DL 00000625 retains Efficiency (Sharpe Ratio) of 0.1102 which conveys that the firm had 0.1102% 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-one technical indicators for MICROSOFT which you can use to evaluate future volatility of the firm. Please verify MICROSOFT DL 00000625 Mean Deviation of 0.8358, Market Risk Adjusted Performance of 0.4045 and Semi Deviation of 0.7551 to check out if risk estimate we provide are consistent with the epected return of 0.1148%. MICROSOFT has performance score of 7 on a scale of 0 to 100. The company owns Beta (Systematic Risk) of 0.3599 which conveys that as returns on market increase, MICROSOFT returns are expected to increase less than the market. However during bear market, the loss on holding MICROSOFT will be expected to be smaller as well. Although it is extremely important to respect MICROSOFT DL 00000625 existing price patterns, it is better to be realistic regarding the information on equity 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 examining MICROSOFT DL 00000625 technical indicators you can today evaluate if the expected return of 0.1148% will be sustainable into the future. MICROSOFT DL 00000625 now owns a risk of 1.0418%. Please verify MICROSOFT DL 00000625 Information Ratio, Value At Risk and the relationship between Standard Deviation and Treynor Ratio to decide if MICROSOFT DL 00000625 will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 
correlation synergy

Very weak reverse predictability

MICROSOFT DL 00000625 has very weak reverse predictability. Overlapping area represents the amount of predictability between MICROSOFT time series from September 7, 2019 to October 22, 2019 and October 22, 2019 to December 6, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of MICROSOFT DL 00000625 price movement. The serial correlation of -0.03 indicates that only 3.0% of current MICROSOFT price fluctuation can be explain by its past prices. Given that MICROSOFT DL 00000625 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MICROSOFT for similar time interval.
Correlation Coefficient-0.03
Spearman Rank Test-0.11
Residual Average0.0
Price Variance15.07

MICROSOFT DL 00000625 lagged returns against current returns

 Current and Lagged Values 

MICROSOFT regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MICROSOFT Lagged Returns

 Regressed Prices 

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Please see also MICROSOFT Hype Analysis, MICROSOFT Correlation, MICROSOFT Valuation, MICROSOFT Volatility as well as analyze MICROSOFT Alpha and Beta and MICROSOFT Performance. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.