SAP SE (Germany) Market Value
| SAPA Stock | EUR 240.00 2.00 0.83% |
| Symbol | SAP |
SAP SE '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 SAP SE'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 SAP SE.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in SAP SE on November 12, 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 SAP SE over 30 days. SAP SE is related to or competes with Monster Beverage, LION ONE, ADRIATIC METALS, Molson Coors, Thai Beverage, and THAI BEVERAGE. SAP SE operates as an enterprise application software company worldwide More
SAP SE 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 SAP SE'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 | 1.78 | |||
| Information Ratio | 0.1222 | |||
| Maximum Drawdown | 7.96 | |||
| Value At Risk | (2.73) | |||
| Potential Upside | 3.45 |
SAP SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAP SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAP SE's standard deviation. In reality, there are many statistical measures that can use SAP SE historical prices to predict the future SAP SE's volatility.| Risk Adjusted Performance | 0.1456 | |||
| Jensen Alpha | 0.2613 | |||
| Total Risk Alpha | 0.0511 | |||
| Sortino Ratio | 0.1201 | |||
| Treynor Ratio | 0.5639 |
SAP SE Backtested Returns
SAP SE appears to be very steady, given 3 months investment horizon. SAP SE owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the company had a 0.17% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for SAP SE, which you can use to evaluate the volatility of the entity. Please review SAP SE's Market Risk Adjusted Performance of 0.5739, downside deviation of 1.78, and Risk Adjusted Performance of 0.1456 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, SAP SE holds a performance score of 13. The firm has a beta of 0.58, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, SAP SE's returns are expected to increase less than the market. However, during the bear market, the loss of holding SAP SE is expected to be smaller as well. Please check SAP SE's total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether SAP SE's existing price patterns will revert.
Auto-correlation | 0.29 |
Poor predictability
SAP SE has poor predictability. Overlapping area represents the amount of predictability between SAP SE time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th of December 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 0.29 indicates that nearly 29.0% of current SAP SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 72.99 |
SAP SE lagged returns against current returns
Autocorrelation, which is SAP SE 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 SAP SE's stock expected returns. We can calculate the autocorrelation of SAP SE returns to help us make a trade decision. For example, suppose you find that SAP SE 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 |
SAP SE 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 SAP SE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAP SE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAP SE stock over time.
Current vs Lagged Prices |
| Timeline |
SAP SE Lagged Returns
When evaluating SAP SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAP SE stock have on its future price. SAP SE 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, SAP SE autocorrelation shows the relationship between SAP SE 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
SAP SE 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 SAP SE security.