Microsoft Risk Analysis And Volatility

MSFT -- USA Stock  

USD 138.79  5.40  4.05%

We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.0063 which conveys that the firm had 0.0063% 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 Mean Deviation of 1.0, Risk Adjusted Performance of 0.009 and Downside Deviation of 1.6 to check out if risk estimate we provide are consistent with the epected return of 0.0086%.

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Very low

60 Days Economic Sensitivity

Almost mirrors market
Horizon     30 Days    Login   to change

Microsoft Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Microsoft will likely underperform.
2 Months Beta |Analyze Microsoft Demand Trend
Check current 30 days Microsoft correlation with market (DOW)
β = 1.1826

Microsoft Central Daily Price Deviation

Microsoft Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Developed by Larry Williams, the Weighted Close is the average of Microsoft high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Microsoft closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Microsoft Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.1826 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Microsoft will likely underperform. Moreover, The company has an alpha of 0.1176 implying that it can potentially generate 0.1176% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Microsoft is 15923.31. The daily returns are destributed with a variance of 1.9 and standard deviation of 1.38. The mean deviation of Microsoft Corporation is currently at 1.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.12
β
Beta against DOW=1.18
σ
Overall volatility
=1.38
Ir
Information ratio =0.07

Microsoft Return Volatility

the firm inherits 1.3766% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 1.0427% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Microsoft Investment Opportunity

Microsoft Corporation has a volatility of 1.38 and is 1.33 times more volatile than DOW. 12% of all equities and portfolios are less risky than Microsoft. Compared to the overall equity markets, volatility of historical daily returns of Microsoft Corporation is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Microsoft Corporation to enhance returns of your portfolios. The stock experiences very speculative upward sentiment. . Check odds of Microsoft to be traded at $173.49 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Microsoft will likely underperform.

Microsoft correlation with market

correlation synergy
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Microsoft Corp. and equity matching DJI index in the same portfolio.

Microsoft Current Risk Indicators

Microsoft Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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