Microsoft (Germany) Market Value
| MSF Stock | EUR 383.50 13.90 3.50% |
| Symbol | Microsoft |
Microsoft 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Microsoft's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Microsoft.
| 07/11/2022 |
| 05/31/2024 |
Microsoft Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Microsoft's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Microsoft upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.49 | |||
| Information Ratio | 0.0092 | |||
| Maximum Drawdown | 7.16 | |||
| Value At Risk | (2.70) | |||
| Potential Upside | 1.85 |
Microsoft Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Microsoft's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Microsoft's standard deviation. In reality, there are many statistical measures that can use Microsoft historical prices to predict the future Microsoft's volatility.| Risk Adjusted Performance | 0.0217 | |||
| Jensen Alpha | 0.0245 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0082 | |||
| Treynor Ratio | 0.2658 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Microsoft's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Microsoft Backtested Returns
We consider Microsoft very steady. Microsoft has Sharpe Ratio of 0.0118, which conveys that the firm had a 0.0118% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Microsoft, which you can use to evaluate the volatility of the firm. Please verify Microsoft's Risk Adjusted Performance of 0.0217, downside deviation of 1.49, and Mean Deviation of 0.938 to check out if the risk estimate we provide is consistent with the expected return of 0.0161%. The company secures a Beta (Market Risk) of 0.0971, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Microsoft's returns are expected to increase less than the market. However, during the bear market, the loss of holding Microsoft is expected to be smaller as well. Microsoft right now secures a risk of 1.37%. Please verify Microsoft total risk alpha, value at risk, and the relationship between the standard deviation and treynor ratio , to decide if Microsoft will be following its current price movements.
Auto-correlation | 0.34 |
Below average predictability
Microsoft has below average predictability. Overlapping area represents the amount of predictability between Microsoft time series from 11th of July 2022 to 21st of June 2023 and 21st of June 2023 to 31st of May 2024. 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 0.34 indicates that nearly 34.0% of current Microsoft price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.34 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 1238.91 |
Microsoft lagged returns against current returns
Autocorrelation, which is Microsoft stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Microsoft's stock expected returns. We can calculate the autocorrelation of Microsoft returns to help us make a trade decision. For example, suppose you find that Microsoft has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Microsoft regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Microsoft stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Microsoft stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Microsoft stock over time.
Current vs Lagged Prices |
| Timeline |
Microsoft Lagged Returns
When evaluating Microsoft's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Microsoft stock have on its future price. Microsoft autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Microsoft autocorrelation shows the relationship between Microsoft stock current value and its past values and can show if there is a momentum factor associated with investing in Microsoft.
Regressed Prices |
| Timeline |
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Microsoft using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
Align your risk with return expectations
Check out Microsoft Correlation, Microsoft Volatility and Microsoft Alpha and Beta module to complement your research on Microsoft. To learn how to invest in Microsoft Stock, please use our How to Invest in Microsoft guide.Note that the Microsoft information on this page should be used as a complementary analysis to other Microsoft's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Complementary Tools for Microsoft Stock analysis
When running Microsoft's price analysis, check to measure Microsoft's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Microsoft is operating at the current time. Most of Microsoft's value examination focuses on studying past and present price action to predict the probability of Microsoft's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Microsoft's price. Additionally, you may evaluate how the addition of Microsoft to your portfolios can decrease your overall portfolio volatility.
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Microsoft technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.