Microsoft Backtesting

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
Investment Horizon     30 Days    Login   to change

Microsoft 'What if' Analysis

September 22, 2016
No Change 0.00  0.0%
In 31 days
October 22, 2016
If you would invest  0.00  in Microsoft on September 22, 2016 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 30 days. Microsoft is related to or competes with AUTOMATIC DATA, COGNIZANT TECH, CA INC, CITRIX SYSTEMS, IRON MOUNTAIN, and AMDOCS LTD. Microsoft Corporations Productivity and Business Processes segment offers Office 365 commercial solutions and services f...

Microsoft Upside/Downside Indicators


Microsoft Market Premium Indicators

Microsoft lagged returns against current returns

 Current and Lagged Values 
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Microsoft regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Microsoft Backtested Returns

We consider Microsoft not too risky. Microsoft has Sharpe Ratio of 0.1248 which conveys that Microsoft had 0.1248% 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 0.7318, Mean Deviation of 0.7422 and Risk Adjusted Performance of 0.0838 to check out if risk estimate we provide are consistent with the epected return of 0.1424%. Microsoft has performance score of 8 on a scale of 0 to 100. The company secures Beta (Market Risk) of -0.6081 which conveys that as returns on market increase, returns on owning Microsoft are expected to decrease at a much smaller rate. During bear market, Microsoft is likely to outperform the market.. Although it is extremely important to respect Microsoft price patterns, it is beter to be realistic about what you can do with the information about 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 0.1424% will be sustainable into the future. Microsoft right now secures risk of 1.1412%. 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 
15 days auto-correlation 0.18 

Very weak predictability

Microsoft Corporation has very weak predictability. Overlapping area represents amount of predictability between Microsoft time series from September 22, 2016 to October 7, 2016 and October 7, 2016 to October 22, 2016. 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 0.18 indicates that over 18.0% of current Microsoft price fluctuation can be explain by its past prices.
Correlation Coefficient 0.18
Spearman Rank Test -0.17
Price Variance 0.8
Lagged Price Variance 0.09

Microsoft Lagged Returns

 Regressed Prices 
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Microsoft Performance vs NYSE

The median price of Microsoft for the period between Thu, Sep 22, 2016 and Sat, Oct 22, 2016 is 57.53 with a coefficient of variation of 0.99. The daily time series for the period is distributed with a sample standard deviation of 0.57, arithmetic mean of 57.59, and mean deviation of 0.37. The Stock received some media coverage during the period.
Price Growth (%)  
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