Sap Se Stock Market Value
| SAPGF Stock | USD 188.00 3.13 1.69% |
| Symbol | SAP |
SAP SE 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to SAP SE's pink sheet what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of SAP SE.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in SAP SE on May 6, 2022 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 SAP SE over 720 days. SAP SE is related to or competes with C3 Ai, Jamf Holding, JfrogLtd, and Powerschool Holdings. SAP SE, together with its subsidiaries, operates as an enterprise application software company worldwide More
SAP SE Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure SAP SE's pink sheet current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess SAP SE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.65 | |||
| Information Ratio | 0.0855 | |||
| Maximum Drawdown | 11.83 | |||
| Value At Risk | (2.84) | |||
| Potential Upside | 2.6 |
SAP SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAP SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAP SE's standard deviation. In reality, there are many statistical measures that can use SAP SE historical prices to predict the future SAP SE's volatility.| Risk Adjusted Performance | 0.0889 | |||
| Jensen Alpha | 0.1523 | |||
| Total Risk Alpha | 0.0031 | |||
| Sortino Ratio | 0.0986 | |||
| Treynor Ratio | 0.2124 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SAP SE's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
SAP SE Backtested Returns
We consider SAP SE very steady. SAP SE owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0956, which indicates the company had a 0.0956% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for SAP SE, which you can use to evaluate the volatility of the entity. Please validate SAP SE's Downside Deviation of 1.65, market risk adjusted performance of 0.2224, and Risk Adjusted Performance of 0.0889 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%. SAP SE has a performance score of 7 on a scale of 0 to 100. The firm has a beta of 1.13, which indicates a somewhat significant risk relative to the market. SAP SE returns are very sensitive to returns on the market. As the market goes up or down, SAP SE is expected to follow. SAP SE currently has a risk of 1.68%. Please validate SAP SE semi variance, and the relationship between the maximum drawdown and accumulation distribution , to decide if SAP SE will be following its existing price patterns.
Auto-correlation | 0.88 |
Very good predictability
SAP SE has very good predictability. Overlapping area represents the amount of predictability between SAP SE time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 to 25th of April 2024. 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 0.88 indicates that approximately 88.0% of current SAP SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 471.33 |
SAP SE lagged returns against current returns
Autocorrelation, which is SAP SE pink sheet's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting SAP SE's pink sheet expected returns. We can calculate the autocorrelation of SAP SE returns to help us make a trade decision. For example, suppose you find that SAP SE has exhibited high autocorrelation historically, and you observe that the pink sheet is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
SAP SE regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If SAP SE pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAP SE pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAP SE pink sheet over time.
Current vs Lagged Prices |
| Timeline |
SAP SE Lagged Returns
When evaluating SAP SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAP SE pink sheet have on its future price. SAP SE autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, SAP SE autocorrelation shows the relationship between SAP SE pink sheet current value and its past values and can show if there is a momentum factor associated with investing in SAP SE.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out SAP SE Correlation, SAP SE Volatility and SAP SE Alpha and Beta module to complement your research on SAP SE. Note that the SAP SE information on this page should be used as a complementary analysis to other SAP SE's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
Complementary Tools for SAP Pink Sheet analysis
When running SAP SE's price analysis, check to measure SAP SE's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy SAP SE is operating at the current time. Most of SAP SE's value examination focuses on studying past and present price action to predict the probability of SAP SE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SAP SE's price. Additionally, you may evaluate how the addition of SAP SE to your portfolios can decrease your overall portfolio volatility.
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SAP SE technical pink sheet analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, pink sheet market cycles, or different charting patterns.