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
X
Backtest

Microsoft 'What if' Analysis

November 11, 2016
 0.00 
No Change 0.00  0.0%
In 30 days
December 11, 2016
 0.00 
If you would invest  0.00  in Microsoft on November 11, 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, CITRIX SYSTEMS, CA INC, IRON MOUNTAIN, and F5 NETWORKS. 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 
Benchmark  Embed   Timeline 

Microsoft regressed lagged prices vs. current prices

 Current vs Lagged Prices 
Benchmark  Embed   Timeline 

Microsoft Backtested Returns

Macroaxis considers Microsoft not too risky given 1 month investment horizon. Microsoft has Sharpe Ratio of 0.2064 which conveys that Microsoft had 0.2064% 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 exercise Microsoft Corporation Downside Deviation of 1.49, Mean Deviation of 1.01 and Risk Adjusted Performance of 0.0549 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Microsoft holds performance score of 14. The company secures Beta (Market Risk) of 0.9575 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 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 0.2389% will be sustainable into the future. Please exercises Microsoft Corporation Value At Risk, and the relationship between Jensen Alpha and Skewness to make a quick decision on weather Microsoft current price movements will revert.
Advice Volatility Trend Exposure 
15 days auto-correlation 0.10 

Insignificant predictability

Microsoft Corporation has insignificant predictability. Overlapping area represents amount of predictability between Microsoft time series from November 11, 2016 to November 26, 2016 and November 26, 2016 to December 11, 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 0.1 indicates that less than 10.0% of current Microsoft price fluctuation can be explain by its past prices.
Correlation Coefficient 0.1
Spearman Rank Test -0.05
Price Variance 0.84
Lagged Price Variance 0.84

Microsoft Lagged Returns

 Regressed Prices 
Benchmark  Embed   Timeline 

Microsoft Performance vs NYSE

The median price of Microsoft for the period between Fri, Nov 11, 2016 and Sun, Dec 11, 2016 is 60.35 with a coefficient of variation of 1.61. The daily time series for the period is distributed with a sample standard deviation of 0.97, arithmetic mean of 60.15, and mean deviation of 0.77. The Stock received some media coverage during the period.
November 15, 2016Microsoft Dividend Paid
Price Growth (%)  
Benchmark  Embed   Timeline