S A P Backtesting

SAP SE -- USA Stock  

USD 103.96  0.18  0.17%

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
 Time Horizon     30 Days    Login   to change

S A P 'What if' Analysis

January 24, 2018
No Change 0.00  0.0%
In 31 days
February 23, 2018
If you would invest  0.00  in S A P on January 24, 2018 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, and Visa. SAP SE operates as an enterprise application software and database company worldwide

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

Macroaxis considers S A P to be not too risky. SAP SE owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.245 which indicates SAP SE had -0.245% 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-six 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 0.41 and Market Risk Adjusted Performance of 0.53 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 0.7749 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-six different technical indicators which can help you to evaluate its performance. SAP SE has expected return of -0.4188%. Please be advised to validate S A P Value At Risk as well as the relationship between Skewness and Day Typical Price to decide if SAP SE past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.29) 

Weak reverse predictability

SAP SE has weak reverse predictability. Overlapping area represents the amount of predictability between S A P time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 2018. 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 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 -0.29
Spearman Rank Test -0.58
Price Variance 1.5
Lagged Price Variance 10.06

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, Jan 24, 2018 and Fri, Feb 23, 2018 is 105.87 with a coefficient of variation of 4.27. The daily time series for the period is distributed with a sample standard deviation of 4.6, arithmetic mean of 107.73, and mean deviation of 4.13. The Stock received some media coverage during the period.
Price Growth (%)  
Form 6-K SAP SE For Feb 2202/22/2018