Microsoft (Brazil) Market Value
| MSFT34 Stock | BRL 111.48 0.48 0.43% |
| 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.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Microsoft on November 12, 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 Micron Technology, Nordon Indstrias, Metalurgica Gerdau, Charter Communications, Unifique Telecomunicaes, T Mobile, and Unity Software. Microsoft Corporation develops, licenses, and supports software, services, devices, and solutions worldwide 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 | 1.54 | |||
| Information Ratio | 0.0969 | |||
| Maximum Drawdown | 9.01 | |||
| Value At Risk | (1.88) | |||
| Potential Upside | 2.55 |
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 | 0.1356 | |||
| Jensen Alpha | 0.2657 | |||
| Total Risk Alpha | 0.023 | |||
| Sortino Ratio | 0.0934 | |||
| Treynor Ratio | (4.06) |
Microsoft Backtested Returns
At this point, Microsoft is very steady. Microsoft has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Microsoft, which you can use to evaluate the volatility of the firm. Please verify Microsoft's Risk Adjusted Performance of 0.1356, mean deviation of 1.09, and Downside Deviation of 1.54 to check out if the risk estimate we provide is consistent with the expected return of 0.19%. Microsoft has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.0637, 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 1.46%. Please verify Microsoft downside deviation, total risk alpha, value at risk, as well as the relationship between the information ratio and treynor ratio , to decide if Microsoft will be following its current price movements.
Auto-correlation | -0.06 |
Very weak reverse predictability
Microsoft has very weak reverse predictability. Overlapping area represents the amount of predictability between Microsoft time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 -0.06 indicates that barely 6.0% of current Microsoft price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 10.15 |
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 |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Information and Resources on Investing in Microsoft Stock
When determining whether Microsoft is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Microsoft Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Microsoft Stock. Highlighted below are key reports to facilitate an investment decision about Microsoft Stock:Check out Microsoft Correlation, Microsoft Volatility and Microsoft Alpha and Beta module to complement your research on Microsoft. For information on how to trade Microsoft Stock refer to our How to Trade Microsoft Stock guide.You can also try the Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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.