Microsoft Risk Analysis And Volatility

MSFT -- USA Stock  

Trending

We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.1604 which conveys that the firm had 0.1604% 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 Risk Adjusted Performance of 0.0809, Downside Deviation of 1.03 and Mean Deviation of 0.8011 to check out if risk estimate we provide are consistent with the epected return of 0.1588%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very low

90 Days Economic Sensitivity

Almost mirrors market
Horizon     30 Days    Login   to change

Microsoft Market Sensitivity

Microsoft returns are very sensitive to returns on the market. As market goes up or down, Microsoft is expected to follow.
3 Months Beta |Analyze Microsoft Demand Trend
Check current 30 days Microsoft correlation with market (DOW)
β = 1.0877

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 sixty-one. Microsoft Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Microsoft moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Microsoft Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.0877 indicating Microsoft Corporation market returns are related to returns on the market. As the market goes up or down, Microsoft is expected to follow. Moreover, The company has an alpha of 0.0479 implying that it can potentially generate 0.0479% 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 623.59. The daily returns are destributed with a variance of 0.98 and standard deviation of 0.99. The mean deviation of Microsoft Corporation is currently at 0.79. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.0479
β
Beta against DOW=1.09
σ
Overall volatility
=0.99
Ir
Information ratio =0.05

Microsoft Return Volatility

the firm inherits 0.9902% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.6129% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Microsoft Investment Opportunity

Microsoft Corporation has a volatility of 0.99 and is 1.62 times more volatile than DOW. 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 8 () of all global equities and portfolios over the last 30 days. Use Microsoft Corporation to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Microsoft to be traded at $145.35 in 30 days. . Microsoft returns are very sensitive to returns on the market. As market goes up or down, Microsoft is expected to follow.

Microsoft correlation with market

correlation synergy
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 Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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