Microsoft Stock Volatility
| MSFT Stock | USD 413.76 -0.20 -0.05% |
Sharpe Ratio = 0.0392
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Microsoft (MSFT) recorded a Market Risk Adjusted Performance of -0.02%, a Risk of 1.72, and a Total Risk Alpha of -0.04. Moving average data positions the stock near 3% of its recent return envelope.
Key indicators related to Microsoft's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Microsoft (3 Months):
Beta 0.74 | Alpha -0.03 | Risk 1.72 | Sharpe Ratio 0.04 | Expected Return 0.07 |
Moving together with Microsoft Stock
Moving Against Microsoft Stock
Sensitivity To Market
The beta coefficient of 0.74 for Microsoft measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.72%. This analysis separates observed movement from interpretation for Microsoft. Standard deviation (1.84%) and downside deviation (0.0%) describe the range without implying direction. Equity volatility compresses in calm markets and expands quickly when uncertainty increases. Stock dispersion changes materially during earnings seasons and macro data releases.
3 Months Beta |Microsoft Demand TrendCurrent 90-day Microsoft correlation with market (Dow Jones Industrial)Downside Risk
Microsoft standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Microsoft over successive periods signals increasing price uncertainty.
Standard Deviation | 1.72 |
Understanding the asymmetry between upside and downside risk is critical for Microsoft analysis. Total price dispersion includes upside, while downside deviation captures only loss risk in Microsoft's returns. Microsoft (MSFT) recorded a Maximum Drawdown of 8.57.
Stock Volatility Analysis
Volatility is a statistical measure of the dispersion of Microsoft stock returns over a given period of time. Volatility measures how much Microsoft's stock price deviates from its average over a period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Microsoft's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Given a 90-day horizon, Microsoft has a beta of 0.7433. This indicates as returns on the market go up, Microsoft's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Microsoft tends to be smaller as well.Microsoft carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Microsoft (MSFT) recorded a Mean Deviation of 1.36 and a Standard Deviation of 1.84.
Predicted Return Distribution |
| Density |
What Drives Microsoft's Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Software sector can alter Microsoft's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for Microsoft.Microsoft's Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in Microsoft's stock.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Microsoft is 2550.82. The daily returns are distributed with a variance of 2.94 and standard deviation of 1.72. The mean deviation of Microsoft is currently at 1.27. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.0313 | |
β | Beta against Dow Jones | 0.74 | |
σ | Overall volatility | 1.72 | |
Ir | Information ratio | -0.0184 |
Stock Return Volatility
Volatility for Microsoft quantifies the day-to-day dispersion of stock returns around their historical average. The firm carries 1.7155% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9279% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Headline performance for Microsoft Stock may not fully reflect how the business compares across its competitive set. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AAPL | 1.20 | 0.09 | 0.06 | 0.10 | 1.47 | 2.90 | 7.60 | |||
| GOOGL | 1.53 | 0.29 | 0.19 | 0.26 | 1.30 | 3.88 | 10.59 | |||
| NVDA | 1.84 | 0.31 | 0.13 | 0.25 | 2.04 | 4.32 | 13.33 | |||
| ORCL | 2.83 | 0.61 | 0.22 | 0.60 | 2.41 | 6.47 | 18.68 | |||
| SPSC | 2.32 | -0.51 | 0.00 | -2.27 | 0.00 | 3.71 | 13.67 | |||
| FTNT | 1.83 | 0.22 | 0.08 | 0.43 | 2.39 | 3.42 | 10.35 | |||
| DOCN | 4.77 | 1.85 | 0.37 | 1.26 | 4.41 | 9.53 | 24.06 | |||
| GDDY | 2.28 | -0.15 | 0.00 | -0.88 | 0.00 | 3.79 | 19.45 | |||
| RPD | 3.55 | -0.59 | 0.00 | 4.30 | 0.00 | 7.64 | 31.82 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for Microsoft defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Downside movements have historically remained relatively contained. Microsoft has a market cap of 3.08 trillion, P/E of 26.64, ROE of 34.01%.
Microsoft data is compiled from periodic company reporting and market reference feeds and standardized for comparability. Analyst projections are included when active coverage applies. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Microsoft is more volatile than Dow Jones Industrial by approximately 1.85x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 15% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Microsoft exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. Observed price behavior reflects modest downward movement with limited trading activity. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Microsoft probability analysis.
Poor diversification
For the present investment horizon, the measured correlation between Microsoft and Dow Jones stands at 0.7, or Poor diversification. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Risk analysis around Microsoft gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | -0.0025 | |||
| Market Risk Adjusted Performance | -0.02 | |||
| Mean Deviation | 1.36 | |||
| Coefficient Of Variation | -13,204 | |||
| Standard Deviation | 1.84 | |||
| Variance | 3.38 | |||
| Information Ratio | -0.02 |
Microsoft Suggested Diversification Pairs
A paired position built around Microsoft reduces directional market exposure while expressing a relative-value view. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Microsoft's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Microsoft's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
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