MSFT Microsoft

Fundamental Data

Get detailed Fundamental insights of Microsoft and compare it to the S&P500.
YTD Return
MSFT +14.51%
vs.
SPY +18.24%
1-Year Return
MSFT +29.79%
vs.
SPY +26.01%
3-Year Return
MSFT +9.54%
vs.
SPY +6.32%

Worst 10 Drawdowns of MSFT

Started Recovered Drawdown Days
Nov 22, 2021 Jun 14, 2023 -37.56% 570
Feb 11, 2020 Jun 8, 2020 -28.24% 119
Oct 2, 2018 Mar 14, 2019 -18.58% 164
Apr 29, 2015 Oct 22, 2015 -17.68% 177
Jul 8, 2024 Sep 13, 2024 -15.49% 68
Jan 9, 2015 Apr 23, 2015 -15.34% 105
Dec 30, 2015 Jul 21, 2016 -14.36% 205
Sep 3, 2020 Jan 25, 2021 -13.49% 145
Jul 19, 2023 Nov 6, 2023 -13.17% 111
Feb 1, 2018 Feb 23, 2018 -10.53% 23

MSFT vs. S&P500

Comparison of company stats against the S&P500 Index.

Time Period between January 5, 2015 - September 13, 2024

Annual Return (%)

MSFT
S&P500
Metric MSFT S&P500
Cumulative Return +820.85% +173.58%
Compound Annual Growth Rate (CAGR) +17.13% +7.43%
Sharpe 0.98 0.67
Sortino 1.44 0.93
Max Drawdown -37.56% -34.1%
Longest Drawdown Days 570 745
Volatility (ann.) 27.34% 17.84%
Correlation 79.55% -
R^2 0.63 -
Calmar 0.46 0.22
Skew 0.10 -0.55
Kurtosis 7.74 12.47
Expected Daily +0.09% +0.04%
Expected Monthly +1.92% +0.86%
Expected Yearly +24.86% +10.59%
Kelly Criterion 7.01% 5.11%
Risk of Ruin 0% 0%
Daily Value-at-Risk -2.73% -1.80%
Expected Shortfall (cVaR) -2.73% -1.80%
Max Consecutive Wins 9 10
Max Consecutive Losses 7 8
Gain/Pain Ratio 0.20 0.14
Gain/Pain (1M) 1.45 0.78
Payoff Ratio 1.00 0.93
Profit Factor 1.20 1.14
Outlier Win Ratio 3.10 5.15
Outlier Loss Ratio 3.24 4.97
MTD +3.22% -0.30%
3M -2.37% +3.81%
6M +3.69% +8.75%
Best Day +14.22% +9.06%
Worst Day -14.74% -10.94%
Best Month +19.63% +12.70%
Worst Month -13.60% -13.00%
Best Year +56.80% +28.79%
Worst Year -28.69% -19.48%
Avg. Drawdown -3.14% -1.83%
Avg. Drawdown Days 22 21
Recovery Factor 6.88 3.41
Ulcer Index 0.10 0.08
Avg. Up Month +6.14% +3.67%
Avg. Down Month -5.67% -4.92%
Win Days 53.44% 54.35%
Win Month 64.96% 66.67%
Win Quarter 76.92% 76.92%
Win Year 90.00% 70.00%

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