Microsoft Backtesting

MSFT -- USA Stock  

USD 137.81  1.63  1.17%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Microsoft Corporation 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

June 23, 2019
No Change 0.00  0.0%
In 3 months and 1 day
September 21, 2019
If you would invest  0.00  in Microsoft on June 23, 2019 and sell it all today you would earn a total of 0.00 from holding Microsoft Corporation or generate 0.0% return on investment in Microsoft over 90 days. Microsoft is related to or competes with F5 Networks, Black Knight, EVO Payments, Fair Isaac, Dropbox, BlackLine, and Box. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide

Microsoft Upside/Downside Indicators

Downside Deviation1.51
Information Ratio0.0243
Maximum Drawdown5.85
Value At Risk(2.91)
Potential Upside1.87

Microsoft Market Premium Indicators

Risk Adjusted Performance0.0445
Jensen Alpha0.0291
Total Risk Alpha0.0234
Sortino Ratio0.021
Treynor Ratio0.0439

Microsoft Backtested Returns

We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.0149 which conveys that the firm had 0.0149% 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-six technical indicators for Microsoft which you can use to evaluate future volatility of the firm. Please verify Microsoft Corporation Mean Deviation of 0.9863, Downside Deviation of 1.51 and Risk Adjusted Performance of 0.0445 to check out if risk estimate we provide are consistent with the epected return of 0.0198%. Microsoft has performance score of 1 on a scale of 0 to 100. The company secures Beta (Market Risk) of 1.1444 which conveys that Microsoft returns are very sensitive to returns on the market. as market goes up or down, Microsoft is expected to follow. Although it is extremely important to respect Microsoft 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 Microsoft technical indicators you can presently evaluate if the expected return of 0.0198% will be sustainable into the future. Microsoft right now secures a risk of 1.3292%. Please verify Microsoft Corporation Value At Risk, and the relationship between Jensen Alpha and Skewness to decide if Microsoft Corporation will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.14) 
correlation synergy

Insignificant reverse predictability

Microsoft Corporation has insignificant reverse predictability. Overlapping area represents the amount of predictability between Microsoft time series from June 23, 2019 to August 7, 2019 and August 7, 2019 to September 21, 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 price movement. The serial correlation of -0.14 indicates that less than 14.0% of current Microsoft price fluctuation can be explain by its past prices. Given that Microsoft Corporation 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-0.14
Spearman Rank Test0.14
Residual Average0.0
Price Variance3.24

Microsoft 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 

Current Sentiment - MSFT

Microsoft Investor Sentiment

Majority of Macroaxis users are now bullish on Microsoft Corporation. What is your trading attitude regarding investing in Microsoft Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

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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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.