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Microsoft
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


MSFT 100%EquityEquity
PositionCategory/SectorWeight
MSFT
Microsoft Corporation
Technology
100%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Microsoft, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
11.35%
15.83%
Microsoft
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 13, 1986, corresponding to the inception date of MSFT

Returns By Period

As of Oct 30, 2024, the Microsoft returned 15.50% Year-To-Date and 26.89% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Microsoft15.50%0.92%11.35%29.02%25.92%26.89%
MSFT
Microsoft Corporation
15.50%0.92%11.35%29.02%25.92%26.89%

Monthly Returns

The table below presents the monthly returns of Microsoft, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.73%4.23%1.71%-7.46%6.82%7.67%-6.40%-0.11%3.15%15.50%
20233.33%0.90%15.59%6.58%7.11%3.70%-1.36%-2.22%-3.66%7.08%12.29%-0.76%58.19%
2022-7.53%-3.72%3.19%-9.99%-1.81%-5.53%9.31%-6.67%-10.93%-0.33%10.22%-6.00%-28.02%
20214.29%0.41%1.46%6.96%-0.76%8.50%5.17%6.16%-6.61%17.63%-0.13%1.73%52.48%
20207.95%-4.57%-2.65%13.63%2.54%11.06%0.74%10.28%-6.74%-3.74%6.01%3.90%42.53%
20192.82%7.74%5.28%10.73%-4.95%8.31%1.72%1.50%0.85%3.12%5.95%4.17%57.56%
201811.07%-0.84%-2.67%2.47%6.15%-0.23%7.58%6.30%1.82%-6.61%4.27%-8.40%20.80%
20174.04%-0.44%2.94%3.95%2.60%-1.30%5.47%3.40%-0.37%11.67%1.70%1.63%40.73%
2016-0.70%-6.98%8.55%-9.70%7.02%-3.45%10.77%2.01%0.24%4.03%1.25%3.12%15.08%
2015-13.02%9.31%-7.27%19.63%-3.03%-5.78%5.78%-6.19%1.70%18.93%3.94%2.08%22.69%
20141.15%2.00%7.00%-1.44%2.05%1.86%3.50%5.92%2.05%1.27%2.47%-2.84%27.56%
20132.77%2.11%2.91%15.69%6.18%-1.03%-7.82%5.64%-0.36%6.40%8.50%-1.89%44.30%

Expense Ratio

Microsoft has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Microsoft is 13, indicating that it is in the bottom 13% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Microsoft is 1313
Combined Rank
The Sharpe Ratio Rank of Microsoft is 1010Sharpe Ratio Rank
The Sortino Ratio Rank of Microsoft is 99Sortino Ratio Rank
The Omega Ratio Rank of Microsoft is 1010Omega Ratio Rank
The Calmar Ratio Rank of Microsoft is 2828Calmar Ratio Rank
The Martin Ratio Rank of Microsoft is 88Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Microsoft
Sharpe ratio
The chart of Sharpe ratio for Microsoft, currently valued at 1.69, compared to the broader market0.002.004.006.001.69
Sortino ratio
The chart of Sortino ratio for Microsoft, currently valued at 2.26, compared to the broader market-2.000.002.004.006.002.26
Omega ratio
The chart of Omega ratio for Microsoft, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.802.001.29
Calmar ratio
The chart of Calmar ratio for Microsoft, currently valued at 2.06, compared to the broader market0.005.0010.002.06
Martin ratio
The chart of Martin ratio for Microsoft, currently valued at 5.37, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.37
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSFT
Microsoft Corporation
1.692.261.292.065.37

Sharpe Ratio

The current Microsoft Sharpe ratio is 1.69. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Microsoft with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.69
3.43
Microsoft
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Microsoft provided a 0.69% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Microsoft0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
MSFT
Microsoft Corporation
0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-7.45%
-0.54%
Microsoft
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Microsoft. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Microsoft was 69.41%, occurring on Mar 9, 2009. Recovery took 1348 trading sessions.

The current Microsoft drawdown is 7.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-69.41%Dec 28, 19992312Mar 9, 20091348Jul 16, 20143660
-50.31%Oct 6, 198715Oct 26, 1987492Oct 5, 1989507
-37.15%Nov 22, 2021240Nov 3, 2022153Jun 15, 2023393
-34.69%Jul 17, 199028Aug 23, 1990100Jan 16, 1991128
-28.63%May 11, 198740Jul 7, 198758Sep 28, 198798

Volatility

Volatility Chart

The current Microsoft volatility is 4.42%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
4.42%
2.71%
Microsoft
Benchmark (^GSPC)
Portfolio components