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
Chance of Distress in 24 months
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 TrendCheck current 30 days Microsoft correlation with market (DOW)|
β = 1.1826
Microsoft Central Daily Price Deviation
Microsoft Technical Analysis
Microsoft Projected Return Density Against MarketGiven 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
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
|Alpha over DOW||=||0.12|
|Beta against DOW||=||1.18|
Microsoft Return Volatilitythe 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.
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
Microsoft Current Risk Indicators
|Risk Adjusted Performance||0.009|
|Market Risk Adjusted Performance||0.0089|
|Coefficient Of Variation||15921.9|
Microsoft Suggested Diversification Pairs