S A P Backtesting

SAP -- USA Stock  

USD 119.79  1.61  1.33%

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.
Horizon     30 Days    Login   to change

S A P 'What if' Analysis

August 19, 2018
No Change 0.00  0.0%
In 31 days
September 18, 2018
If you would invest  0.00  in S A P on August 19, 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 Automatic Data, Fidelity National, Worldpay Inc, Paychex, First Data, and Cintas. SAP SE operates as an enterprise application software, and analytics and business intelligence company worldwide

S A P Upside/Downside Indicators

Downside Deviation1.27
Information Ratio0.003462
Maximum Drawdown4.96
Value At Risk1.33
Potential Upside1.49

S A P Market Premium Indicators

Risk Adjusted Performance0.0357
Jensen Alpha0.005577
Total Risk Alpha0.16
Sortino Ratio0.002933
Treynor Ratio0.0739

SAP SE Backtested Returns

We consider S A P not too risky. SAP SE owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0794 which indicates SAP SE had 0.0794% 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 stock 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 0.0357, Market Risk Adjusted Performance of 0.0839 and Downside Deviation of 1.27 to confirm if risk estimate we provide are consistent with the epected return of 0.0856%. S A P has performance score of 5 on a scale of 0 to 100. The corporation has beta of 1.0232 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 0.0856% will be sustainable into the future. SAP SE currently has a risk of 1.0778%. 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 0.62 

Good predictability

SAP SE has good predictability. Overlapping area represents the amount of predictability between S A P time series from August 19, 2018 to September 3, 2018 and September 3, 2018 to September 18, 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 0.62 indicates that roughly 62.0% of current S A P price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.59
Residual Average0.0
Price Variance4.95

SAP SE lagged returns against current returns

 Current and Lagged Values 

S A P regressed lagged prices vs. current prices

 Current vs Lagged Prices 

S A P Lagged Returns

 Regressed Prices 

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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. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
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