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Microsoft Backtesting

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MSFT -- USA Stock  

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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. Additionally, see Microsoft Hype Analysis, Microsoft Correlation, Microsoft Valuation, Microsoft Volatility as well as analyze Microsoft Alpha and Beta and Microsoft Performance.
Symbol
Backtest

Microsoft 'What if' Analysis

0.00
11/30/2019
No Change 0.00  0.0 
In 2 months and 31 days
02/28/2020
0.00
If you would invest  0.00  in Microsoft on November 30, 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 BlackBerry, FireEye, Euronet Worldwide, EVO Payments, Evertec, Datasea, and BlackLine. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide

Microsoft Upside/Downside Indicators

Downside Deviation2.05
Information Ratio0.132
Maximum Drawdown7.6
Value At Risk(2.26)
Potential Upside2.44

Microsoft Market Premium Indicators

Risk Adjusted Performance0.0608
Jensen Alpha0.1158
Total Risk Alpha0.2667
Sortino Ratio0.1029
Treynor Ratio0.2216

Microsoft Backtested Returns

We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.0634 which conveys that the firm had 0.0634% 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 Corporation Downside Deviation of 2.05, Risk Adjusted Performance of 0.0608 and Mean Deviation of 1.07 to check out if risk estimate we provide are consistent with the epected return of 0.104%. Microsoft has performance score of 4 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.32, 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 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 0.104% will be sustainable into the future. Microsoft right now secures a risk of 1.64%. 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.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.79 
correlation synergy

Good predictability

Microsoft Corporation has good predictability. Overlapping area represents the amount of predictability between Microsoft time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. 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 0.79 indicates that around 79.0% of current Microsoft price fluctuation can be explain by its past prices.
Correlation Coefficient0.79
Spearman Rank Test0.77
Residual Average0.0
Price Variance81.59

Microsoft lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Microsoft regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Microsoft Lagged Returns

 Regressed Prices 
    
  Timeline 

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Additionally, see Microsoft Hype Analysis, Microsoft Correlation, Microsoft Valuation, Microsoft Volatility as well as analyze Microsoft Alpha and Beta and Microsoft Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.