S A P (Germany) Market Value
| SAP Stock | EUR 226.10 0.60 0.27% |
| 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.
| 12/04/2022 |
| 11/23/2024 |
If you would invest 0.00 in S A P on December 4, 2022 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 720 days. S A P is related to or competes with Microsoft, NVIDIA, Superior Plus, NMI Holdings, Origin Agritech, SIVERS SEMICONDUCTORS, and Talanx AG. SAP SE operates as an enterprise application software company worldwide 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 | 1.25 | |||
| Information Ratio | 0.0794 | |||
| Maximum Drawdown | 5.29 | |||
| Value At Risk | (2.01) | |||
| Potential Upside | 2.08 |
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 | 0.1453 | |||
| Jensen Alpha | 0.1505 | |||
| Total Risk Alpha | 0.0235 | |||
| Sortino Ratio | 0.0788 | |||
| Treynor Ratio | 0.3837 |
SAP SE Backtested Returns
S A P appears to be very steady, given 3 months investment horizon. SAP SE owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the company had a 0.19% 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 review S A P's Risk Adjusted Performance of 0.1453, downside deviation of 1.25, and Market Risk Adjusted Performance of 0.3937 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, S A P holds a performance score of 15. The firm has a beta of 0.57, 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. Please check S A P's potential upside, skewness, and the relationship between the maximum drawdown and semi variance , to make a quick decision on whether S A P's existing price patterns will revert.
Auto-correlation | 0.88 |
Very good predictability
SAP SE has very good predictability. Overlapping area represents the amount of predictability between S A P time series from 4th of December 2022 to 29th of November 2023 and 29th of November 2023 to 23rd 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 0.88 indicates that approximately 88.0% of current S A P price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 530.84 |
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 |
Currently Active Assets on Macroaxis
Other Information on Investing in SAP Stock
S A P financial ratios help investors to determine whether SAP Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in SAP with respect to the benefits of owning S A P security.