# Microsoft Stock Volatility

MSFT | - USA Stock | ## USD 310.76 3.35 1.09% |

We consider Microsoft Corp very steady. Microsoft Corp has Sharpe Ratio of 0.11, which conveys that the firm had 0.11% of return per unit of risk over the last 3 months. Our standpoint towards estimating the 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-seven technical indicators for Microsoft Corp, which you can use to evaluate the future volatility of the firm. Please verify Microsoft Corp Downside Deviation of 1.04, mean deviation of 0.8204, and Risk Adjusted Performance of 0.1032 to check out if the risk estimate we provide is consistent with the expected return of 0.12%.

## Microsoft Volatility | Microsoft |

Microsoft Corp Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Microsoft daily returns, and it is calculated using variance and standard deviation. We also use Microsoft's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Microsoft Corp volatility.

### 30 Days Market Risk

### Chance of Distress

### 30 Days Economic Sensitivity

## Microsoft Corp Market Sensitivity And Downside Risk

Microsoft Corp's beta coefficient measures the volatility of Microsoft stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Microsoft stock's returns against your selected market. In other words, Microsoft Corp's beta of 1.01 provides an investor with an approximation of how much risk Microsoft Corp stock can potentially add to one of your existing portfolios.

Let's try to break down what Microsoft's beta means in this case. Microsoft Corp returns are very sensitive to returns on the market. As the market goes up or down, Microsoft Corp is expected to follow. 3 Months Beta |Analyze Microsoft Corp Demand TrendCheck current 90 days Microsoft Corp correlation with market (DOW)## Microsoft Beta |

## Standard Deviation | 1.11 |

It is essential to understand the difference between upside risk (as represented by Microsoft Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Microsoft Corp stock's daily returns or price. Since the actual investment returns on holding a position in Microsoft Corp stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Microsoft Corp.

## Microsoft Corp Implied Volatility | 22.07 |

Microsoft Corp's implied volatility exposes the market's sentiment of Microsoft Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Microsoft Corp's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Microsoft Corp stock will not fluctuate a lot when Microsoft Corp's options near their expiration.

## Microsoft Corp Stock Volatility Analysis

Transformation |

The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Microsoft Corp high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Microsoft Corp closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

## Microsoft Corp Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.0092 . This indicates Microsoft Corp market returns are related to returns on the market. As the market goes up or down, Microsoft Corp is expected to follow.

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Microsoft Corp or Technology sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Microsoft Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Microsoft stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.

The company has an alpha of 0.1192, implying that it can generate a 0.12 percent excess return over DOW after adjusting for the inherited market risk (beta). Predicted Return Density |

Returns |

## Microsoft Corp Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Microsoft Corp or Technology sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Microsoft Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Microsoft stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.

Given the investment horizon of 90 days the coefficient of variation of Microsoft Corp is 918.35. The daily returns are distributed with a variance of 1.24 and standard deviation of 1.11. The mean deviation of Microsoft Corp is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71α | Alpha over DOW | 0.12 | |

β | Beta against DOW | 1.01 | |

σ | Overall volatility | 1.11 | |

Ir | Information ratio | 0.11 |

## Microsoft Corp Stock Return Volatility

Microsoft Corp historical daily return volatility represents how much Microsoft Corp stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm inherits 1.1122% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7185% risk (volatility on return distribution) over the 90 days horizon.

Performance (%) |

Timeline |

## About Microsoft Corp Volatility

Volatility is a rate at which the price of Microsoft Corp or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Microsoft Corp may increase or decrease. In other words, similar to Microsoft's beta indicator, it measures the risk of Microsoft Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of Microsoft Corp fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.

Please read more on our technical analysis page.Last Reported | Projected for 2021 | |

Market Capitalization | 2040.3 B | 2201.4 B |

### Nearest Microsoft long CALL Option Payoff at Expiration

Microsoft Corp's implied volatility is one of the determining factors in the pricing options written on Microsoft Corp. Implied volatility approximates the future value of Microsoft Corpusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Microsoft Corp over a specific time period.View All Microsoft options2021-10-22 CALL at $150.0 is a CALL option contract on Microsoft Corp's common stock with a strick price of 150.0 expiring on 2021-10-22. The contract was last traded on 2021-10-18 at 02:23:07 for $157.27 and, as of today, has 0 days remaining before the expiration. The option is currently trading at a bid price of $160.3, and an ask price of $161.5. The implied volatility as of the 22nd of October is 565.4989. Profit |

Microsoft Corp Price At Expiration |

## Microsoft Corp Investment Opportunity

Microsoft Corp has a volatility of 1.11 and is 1.54 times more volatile than DOW.

**9**of all equities and portfolios are less risky than Microsoft Corp. Compared to the overall equity markets, volatility of historical daily returns of Microsoft Corp is lower than**9 ()**of all global equities and portfolios over the last 90 days. Use Microsoft Corp to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of Microsoft Corp to be traded at $341.84 in 90 days. . Let's try to break down what Microsoft's beta means in this case. Microsoft Corp returns are very sensitive to returns on the market. As the market goes up or down, Microsoft Corp is expected to follow.### Poor diversification

The correlation between Microsoft Corp and DJI is

**Poor diversification**for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Microsoft Corp and DJI in the same portfolio assuming nothing else is changed.## Microsoft Corp Additional Risk Indicators

The analysis of Microsoft Corp's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Microsoft Corp's investment and either accepting that risk or mitigating it. Along with some common measures of Microsoft Corp stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.

Risk Adjusted Performance | 0.1032 | |||

Market Risk Adjusted Performance | 0.1552 | |||

Mean Deviation | 0.8204 | |||

Semi Deviation | 0.8761 | |||

Downside Deviation | 1.04 | |||

Coefficient Of Variation | 710.29 | |||

Standard Deviation | 1.11 |

Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

## Microsoft Corp Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.

The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Microsoft Corp as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Microsoft Corp's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Microsoft Corp's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Microsoft Corp.

Additionally, see Stocks Correlation. Note that the Microsoft Corp information on this page should be used as a complementary analysis to other Microsoft Corp'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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.

## Complementary Tools for Microsoft Stock analysis

When running Microsoft Corp price analysis, check to measure Microsoft Corp'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 Corp is operating at the current time. Most of Microsoft Corp's value examination focuses on studying past and present price action to predict the probability of Microsoft Corp's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Microsoft Corp's price. Additionally, you may evaluate how the addition of Microsoft Corp to your portfolios can decrease your overall portfolio volatility.

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The market value of Microsoft Corp is measured differently than its book value, which is the value of Microsoft that is recorded on the company's balance sheet. Investors also form their own opinion of Microsoft Corp's value that differs from its market value or its book value, called intrinsic value, which is Microsoft Corp's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Microsoft Corp's market value can be influenced by many factors that don't directly affect Microsoft Corp underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.

Please note, there is a significant difference between Microsoft Corp's value and its price as these two are different measures arrived at by different means. Investors typically determine Microsoft Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Microsoft Corp's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.