S A P Backtesting

SAP -- USA Stock  

USD 119.47  0.88  0.74%

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

May 22, 2018
No Change 0.00  0.0%
In 31 days
June 21, 2018
If you would invest  0.00  in S A P on May 22, 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 Visa, NetSuite, , Air Lease, Broadridge Financial, BlackLine, and GENPACT. SAP SE operates as an enterprise application software, and analytics and business intelligence company worldwide

S A P Upside/Downside Indicators

Information Ratio0.1821
Maximum Drawdown3.74
Value At Risk1.41
Potential Upside1.56

S A P Market Premium Indicators

Risk Adjusted Performance0.01

SAP SE Backtested Returns

Macroaxis considers S A P not too risky given 1 month investment horizon. SAP SE owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2118 which indicates SAP SE had 0.2118% 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 operate S A P Risk Adjusted Performance of 0.01 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 S A P holds performance score of 14. The corporation has beta of 0.0 which indicates the returns on MARKET and S A P are completely uncorrelated. 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 0.2313% will be sustainable into the future. Please operates S A P Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to make a quick decision on weather SAP SE existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.32) 

Poor reverse predictability

SAP SE has poor reverse predictability. Overlapping area represents the amount of predictability between S A P time series from May 22, 2018 to June 6, 2018 and June 6, 2018 to June 21, 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 -0.32 indicates that nearly 32.0% 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 -0.32
Spearman Rank Test 0.21
Price Variance 2.13
Lagged Price Variance 2.69

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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.