SAP SE Backtested Returns
Macroaxis considers S A P to be not too risky. SAP SE
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0109 which indicates SAP SE
had -0.0109% of return per unit of standard deviation over the last 1 month. Macroaxis approach into measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. SAP SE exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate S A P Risk Adjusted Performance
of (0.006673) and Market Risk Adjusted Performance of (0.081927) to confirm risk estimate we provide. Macroaxis gives S A P performance score of 0 on a scale of 0 to 100. The corporation has beta of 0.3338 which indicates as returns on market increase, S A P returns are expected to increase less than the market. However during bear market, the loss on holding S A P will be expected to be smaller as well.. Even though it is essential to pay attention to SAP SE current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis approach into measuring future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. SAP SE exposes twenty-one different technical indicators which can help you to evaluate its performance. SAP SE has expected return of -0.0103%. Please be advised to validate S A P Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if SAP SE past performance will be repeated at future time.
|15 days auto-correlation||(0.59) |
Good reverse predictability
SAP SE has good reverse predictability. Overlapping area represents the amount of predictability between S A P time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 -0.59 indicates that roughly 59.0% 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|| -0.59|
|Spearman Rank Test|| -0.49|
|Price Variance|| 2.19|
|Lagged Price Variance|| 1.52|
S A P Lagged Returns