Microsoft (Germany) Market Value
| MSF Stock | EUR 384.25 1.00 0.26% |
| 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.
| 04/14/2024 |
| 05/14/2024 |
If you would invest 0.00 in Microsoft on April 14, 2024 and sell it all today you would earn a total of 0.00 from holding Microsoft or generate 0.0% return on investment in Microsoft over 30 days. Microsoft is related to or competes with Universal Electronics, Perseus Mining, STMicroelectronics, LPKF Laser, Jacquet Metal, and UET United. More
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 | 1.38 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 6.57 | |||
| Value At Risk | (2.35) | |||
| Potential Upside | 2.61 |
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 | 0.0135 | |||
| Jensen Alpha | 0.0235 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.03) |
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 0.0181, which conveys that the firm had a 0.0181% 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 Mean Deviation of 0.9701, risk adjusted performance of 0.0135, and Downside Deviation of 1.38 to check out if the risk estimate we provide is consistent with the expected return of 0.025%. Microsoft has a performance score of 1 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.24, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Microsoft are expected to decrease at a much lower rate. During the bear market, Microsoft is likely to outperform the market. Microsoft right now secures a risk of 1.38%. Please verify Microsoft coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Microsoft will be following its current price movements.
Auto-correlation | -0.81 |
Excellent reverse predictability
Microsoft has excellent reverse predictability. Overlapping area represents the amount of predictability between Microsoft time series from 14th of April 2024 to 29th of April 2024 and 29th of April 2024 to 14th 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 -0.81 indicates that around 81.0% of current Microsoft price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.81 | |
| Spearman Rank Test | -0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 29.4 |
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 |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Microsoft Correlation, Microsoft Volatility and Microsoft Alpha and Beta module to complement your research on Microsoft. For more information on how to buy 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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.
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Bonds Directory Find actively traded corporate debentures issued by US companies | |
| Share Portfolio Track or share privately all of your investments from the convenience of any device |
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.