Microsoft Backtesting

MSFT -- USA Stock  

USD 129.00  4.39  3.29%

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 26, 2019
No Change 0.00  0.0%
In 2 months and 2 days
August 25, 2019
If you would invest  0.00  in Microsoft on June 26, 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 60 days. Microsoft is related to or competes with Black Knight, Fair Isaac, F5 Networks, Five9, Evertec, Amdocs, and EVO Payments. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide

Microsoft Upside/Downside Indicators

Downside Deviation1.6
Information Ratio0.0721
Maximum Drawdown6.0
Value At Risk(3.19)
Potential Upside1.88

Microsoft Market Premium Indicators

Risk Adjusted Performance0.009
Jensen Alpha0.1176
Total Risk Alpha0.1393
Sortino Ratio0.0619
Treynor Ratio(0.001145)

Microsoft Backtested Returns

We consider Microsoft very steady. Microsoft has Sharpe Ratio of 1.0E-4 which conveys that the firm had 1.0E-4% of return per unit of risk over the last 2 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 Corporation Downside Deviation of 1.6, Mean Deviation of 1.0 and Risk Adjusted Performance of 0.009 to check out if risk estimate we provide are consistent with the epected return of 1.0E-4%. The company secures Beta (Market Risk) of 1.1826 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Microsoft will likely underperform. 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 1.0E-4% will be sustainable into the future. Microsoft right now secures a risk of 1.3755%. Please verify Microsoft Corporation Variance as well as the relationship between Value At Risk and Skewness to decide if Microsoft Corporation will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.65) 
correlation synergy

Very good reverse predictability

Microsoft Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between Microsoft time series from June 26, 2019 to July 26, 2019 and July 26, 2019 to August 25, 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 -0.65 indicates that roughly 65.0% 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-0.65
Spearman Rank Test-0.4
Residual Average0.0
Price Variance8.54

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 Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.