S A P (Germany) Market Value
| SAP Stock | EUR 234.50 7.30 3.02% |
| 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.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in S A P on December 16, 2024 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 90 days. S A P is related to or competes with TOREX SEMICONDUCTOR, NXP Semiconductors, ULTRA CLEAN, Taiwan Semiconductor, ON SEMICONDUCTOR, ALERION CLEANPOWER, and Tower Semiconductor. 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.
| Information Ratio | 0.0461 | |||
| Maximum Drawdown | 9.43 | |||
| Value At Risk | (2.79) | |||
| Potential Upside | 2.12 |
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 | (0.01) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | 0.1414 | |||
| Treynor Ratio | (0.45) |
SAP SE Backtested Returns
SAP SE owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0162, which indicates the company had a -0.0162 % return per unit of standard deviation over the last 3 months. SAP SE exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate S A P's Risk Adjusted Performance of (0.01), standard deviation of 1.46, and Market Risk Adjusted Performance of (0.44) to confirm the risk estimate we provide. The firm has a beta of 0.0924, which indicates not very significant fluctuations relative to the market. 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. At this point, SAP SE has a negative expected return of -0.0257%. Please make sure to validate S A P's accumulation distribution, day typical price, and the relationship between the skewness and rate of daily change , to decide if SAP SE performance from the past will be repeated at future time.
Auto-correlation | -0.69 |
Very good reverse predictability
SAP SE has very good reverse predictability. Overlapping area represents the amount of predictability between S A P time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 2025. 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 -0.69 indicates that around 69.0% of current S A P price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 104.88 |
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.