S A P (Germany) Market Value
| SAP Stock | EUR 224.05 0.30 0.13% |
| Symbol | SAP |
S A P '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 S A P'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 S A P.
| 12/03/2023 |
| 11/27/2024 |
If you would invest 0.00 in S A P on December 3, 2023 and sell it all today you would earn a total of 0.00 from holding SAP SE or generate 0.0% return on investment in S A P over 360 days. S A P is related to or competes with China Datang, ASURE SOFTWARE, Cass Information, Datadog, Automatic Data, Science Applications, and Fidelity National. More
S A P 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 S A P'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 SAP SE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | 0.0683 | |||
| Maximum Drawdown | 7.03 | |||
| Value At Risk | (1.75) | |||
| Potential Upside | 1.97 |
S A P Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for S A P's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as S A P's standard deviation. In reality, there are many statistical measures that can use S A P historical prices to predict the future S A P's volatility.| Risk Adjusted Performance | 0.1344 | |||
| Jensen Alpha | 0.1283 | |||
| Total Risk Alpha | 0.0067 | |||
| Sortino Ratio | 0.0717 | |||
| Treynor Ratio | 0.3154 |
SAP SE Backtested Returns
Currently, SAP SE is very steady. SAP SE owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.15, which indicates the company had a 0.15% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for SAP SE, which you can use to evaluate the volatility of the entity. Please validate S A P's Downside Deviation of 1.22, risk adjusted performance of 0.1344, and Market Risk Adjusted Performance of 0.3254 to confirm if the risk estimate we provide is consistent with the expected return of 0.19%. S A P has a performance score of 11 on a scale of 0 to 100. The firm has a beta of 0.66, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, S A P's returns are expected to increase less than the market. However, during the bear market, the loss of holding S A P is expected to be smaller as well. SAP SE currently has a risk of 1.28%. Please validate S A P treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to decide if S A P will be following its existing price patterns.
Auto-correlation | 0.77 |
Good predictability
SAP SE has good predictability. Overlapping area represents the amount of predictability between S A P time series from 3rd of December 2023 to 31st of May 2024 and 31st of May 2024 to 27th of November 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 SAP SE price movement. The serial correlation of 0.77 indicates that around 77.0% of current S A P price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 203.21 |
SAP SE lagged returns against current returns
Autocorrelation, which is S A P 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 S A P's stock expected returns. We can calculate the autocorrelation of S A P returns to help us make a trade decision. For example, suppose you find that S A P 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 |
S A P 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 S A P stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if S A P stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in S A P stock over time.
Current vs Lagged Prices |
| Timeline |
S A P Lagged Returns
When evaluating S A P's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of S A P stock have on its future price. S A P 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, S A P autocorrelation shows the relationship between S A P stock current value and its past values and can show if there is a momentum factor associated with investing in SAP SE.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for SAP Stock Analysis
When running S A P's price analysis, check to measure S A P'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 S A P is operating at the current time. Most of S A P's value examination focuses on studying past and present price action to predict the probability of S A P's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move S A P's price. Additionally, you may evaluate how the addition of S A P to your portfolios can decrease your overall portfolio volatility.