S A P Backtesting

SAP SE -- USA Stock  

USD 113.4  1.63  1.46%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of SAP SE and determine expected loss or profit from investing in S A P over given investment horizon. Also please take a look at S A P Hype Analysis, S A P Correlation, S A P Valuation, S A P Volatility as well as analyze S A P Alpha and Beta and S A P Performance
Investment Horizon     30 Days    Login   to change

S A P 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in S A P on September 20, 2017 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 30 days. S A P is related to or competes with Genpact Limited, Quintiles IMS, Visa, Zillow, and Air Lease. SAP SE offers solutions for various businesses including asset management commerce finance human resources manufacturing...

S A P Upside/Downside Indicators


S A P Market Premium Indicators

SAP SE lagged returns against current returns

 Current and Lagged Values 

S A P regressed lagged prices vs. current prices

 Current vs Lagged Prices 

SAP SE Backtested Returns

We consider S A P not too risky. SAP SE owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2057 which indicates SAP SE had 0.2057% of return per unit of standard deviation over the last 1 month. Our approach into measuring volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for SAP SE which you can use to evaluate future volatility of the entity. Please validate S A P Risk Adjusted Performance of 0.0548, Market Risk Adjusted Performance of 0.1427 and Downside Deviation of 0.7898 to confirm if risk estimate we provide are consistent with the epected return of 0.1386%. S A P has performance score of 13 on a scale of 0 to 100. The corporation has beta of 1.0164 which indicates S A P returns are very sensitive to returns on the market. as market goes up or down, S A P is expected to follow.. Although it is extremely important to respect SAP SE current price movements, it is better to be realistic regarding the information on equity historical returns. The approach into measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining SAP SE technical indicators you can now evaluate if the expected return of 0.1386% will be sustainable into the future. SAP SE currently has a risk of 0.6737%. Please validate S A P Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if S A P will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.16) 

Insignificant reverse predictability

SAP SE has insignificant reverse predictability. Overlapping area represents the amount of predictability between S A P time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 2017. 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 -0.16 indicates that over 16.0% of current S A P price fluctuation can be explain by its past prices. Given that SAP SE has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of S A P for similar time interval.
Correlation Coefficient -0.16
Spearman Rank Test 0.37
Price Variance 0.65
Lagged Price Variance 0.98

S A P Lagged Returns

 Regressed Prices 

S A P Performance vs DOW

The median price of S A P for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 110.94 with a coefficient of variation of 1.43. The daily time series for the period is distributed with a sample standard deviation of 1.58, arithmetic mean of 110.8, and mean deviation of 1.29. The Stock received some media coverage during the period.
Price Growth (%)  
SAP SE Touches 113.14 High on Oct, 19 Pathstone Family Offic...10/19/2017