SAP SE

10-Year Study

SAP.XETRA · Technology · DE · Common Stock

Executive Summary: SAP SE has compounded at 9.2% annually over the last 10 years, with a maximum drawdown of 44.8% and an annualized volatility of 29.7%.

1Y CAGR
-45.8%
3Y CAGR
+8.5%
5Y CAGR
+7.5%
10Y CAGR
+9.2%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
44.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.34
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.48
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
24.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2024 · +71.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · -27.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
50%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-18.10.2-14.13.2————————-27.2%
202513.6-1.2-7.94.55.1-2.9-2.8-7.6-1.6-1.5-7.1-0.1-11.0%
202415.37.54.4-6.0-1.014.22.91.43.45.14.75.171.6%
202312.4-0.88.05.91.12.4-0.63.6-4.73.214.8-4.147.2%
2022-11.6-8.2-0.2-3.5-2.3-6.34.3-6.3-1.016.17.0-7.7-20.7%
2021-2.3-2.62.311.8-1.24.71.75.5-8.37.2-9.710.418.4%
2020-2.1-5.3-7.96.05.79.57.63.2-3.8-31.111.55.1-9.6%
20193.84.49.311.2-2.39.4-7.5-2.8-0.710.13.9-2.640.3%
2018-2.8-5.1-1.48.85.82.70.93.82.3-10.7-4.0-4.4-5.6%
20172.23.94.60.15.0-4.2-1.9-1.85.25.4-3.1-1.314.4%
2016———-3.98.6-7.916.80.42.7-0.8-1.75.018.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 29.7%. The dominant macroeconomic risk driver is SHV.US, accounting for 34.8% of variance. Idiosyncratic stock-specific factors contribute 24.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019609.004311378032
2016-05-0110436.834864042188
2016-06-019607.149072544764
2016-07-0111216.445625084143
2016-08-0111266.50423749684
2016-09-0111575.491802471242
2016-10-0111478.214899045455
2016-11-0111283.67751023665
2016-12-0111845.84771280246
2017-01-0112106.205035085357
2017-02-0112581.129758359248
2017-03-0113157.61649422249
2017-04-0113170.488239755961
2017-05-0113834.51597968103
2017-06-0113256.141168898972
2017-07-0112999.576414496476
2017-08-0112770.5447178231
2017-09-0113435.88590116995
2017-10-0114156.309618017816
2017-11-0113720.00013134434
2017-12-0113546.050968171981
2018-01-0113166.268802763485
2018-02-0112495.132050318016
2018-03-0112316.832105811001
2018-04-0113396.745287200822
2018-05-0114169.591814620597
2018-06-0114553.462072679393
2018-07-0114685.840751552327
2018-08-0115240.327310100709
2018-09-0115590.376400048597
2018-10-0113922.500270897706
2018-11-0113372.430165855068
2018-12-0112785.583645002514
2019-01-0113273.872655093042
2019-02-0113854.841516633118
2019-03-0115149.141500543437
2019-04-0116852.31642165474
2019-05-0116459.022207044654
2019-06-0118000.282390335684
2019-07-0116652.804365885935
2019-08-0116187.730468275417
2019-09-0116080.422140715762
2019-10-0117708.13973724564
2019-11-0118405.725956597264
2019-12-0117934.708727503174
2020-01-0117562.051992657853
2020-02-0116628.9489497378
2020-03-0115323.205590015203
2020-04-0116238.41296631346
2020-05-0117164.20998019984
2020-06-0118800.481377014083
2020-07-0120231.08395201991
2020-08-0120875.311532361604
2020-09-0120076.83644017429
2020-10-0113835.714496803406
2020-11-0115422.091461632677
2020-12-0116214.508296037013
2021-01-0115848.550122642779
2021-02-0115434.19155915585
2021-03-0115791.08697293978
2021-04-0117657.210968566014
2021-05-0117454.10336143008
2021-06-0118272.08308843086
2021-07-0118579.593029555763
2021-08-0119597.429591223572
2021-09-0117970.72991334557
2021-10-0119268.395596024206
2021-11-0117401.82831324312
2021-12-0119203.823433800808
2022-01-0116974.400987709454
2022-02-0115578.309138610968
2022-03-0115547.558144498476
2022-04-0115000.197016513266
2022-05-0114659.309194432315
2022-06-0113733.528598588704
2022-07-0114325.973672026608
2022-08-0113419.139497542219
2022-09-0113289.60114006889
2022-10-0115430.284064976046
2022-11-0116502.98972558883
2022-12-0115228.06303214981
2023-01-0117122.278298959423
2023-02-0116980.098048551434
2023-03-0118335.604495916832
2023-04-0119409.886288635757
2023-05-0119631.529866061606
2023-06-0120107.127729089163
2023-07-0119988.228263332272
2023-08-0120698.423539533003
2023-09-0119734.35606794443
2023-10-0120364.217860860368
2023-11-0123375.303323340217
2023-12-0122411.235851751644
2024-01-0125836.876894231682
2024-02-0127777.850746856766
2024-03-0128995.790413833187
2024-04-0127266.904837740483
2024-05-0127003.31316103145
2024-06-0130836.761967932274
2024-07-0131731.660225321222
2024-08-0132170.974213822024
2024-09-0133257.881481432836
2024-10-0134950.05631388671
2024-11-0136593.43672322135
2024-12-0138448.314359548574
2025-01-0143687.57449686908
2025-02-0143166.9091064316
2025-03-0139766.27274309375
2025-04-0141539.815395527075
2025-05-0143655.575731505895
2025-06-0142383.1774166538
2025-07-0141176.45127289085
2025-08-0138040.60510338441
2025-09-0137416.71947803759
2025-10-0136850.29700239375
2025-11-0134239.82820160043
2025-12-0134206.99211605586
2026-01-0128002.613752409346
2026-02-0128068.28592349849
2026-03-0124118.104832486708
2026-04-0124899.60366844748
Annual Return Matrix
YearAnnual Return
20170.14352736052245696
2018-0.05613941103250497
20190.4027289817554238
2020-0.09591460098976723
20210.184360517333382
2022-0.20702962695716254
20230.4717062704847337
20240.715582068471404
2025-0.11031230664184855
2026-0.27209023278137745
Total Factor Risk
0.2967635312950998
VTI.US Exposure
0.2083121638903776
VEA.US Exposure
-0.02622652513205225
VWO.US Exposure
-0.012307593272648564
QQQ.US Exposure
-0.1296455263922435
VTV.US Exposure
-0.04749585090167967
IJR.US Exposure
-0.043818945528808904
QUAL.US Exposure
0.2913786784093974
SHV.US Exposure
0.3478907178779932
TLT.US Exposure
-0.014831667496676169
LQD.US Exposure
0.03951142204430085
HYG.US Exposure
0.01166296850676185
GLD.US Exposure
0.009025316550450553
USO.US Exposure
0.011937355625001787
VNQ.US Exposure
0.007207439698658957
BTC-USD.CC Exposure
0.014819239644034407
CPER.US Exposure
0.012689302601480998
VIX.INDX Exposure
0.0666640552608367
UUP.US Exposure
0.00565945733382395
TIP.US Exposure
-0.0014604563324683419
Idiosyncratic Exposure
0.24902844761345908
Value Score
40.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
20.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
29.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →24.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.68%
Market Cap$173.8B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-5.8%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-27.4%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
44.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.76
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is SAP SE a high-risk investment?

SAP SE (SAP.XETRA) has an annualized volatility of 29.7% and experienced a maximum drawdown of 44.8% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of SAP.XETRA?

Over the past 10 years, SAP.XETRA has generated a Compound Annual Growth Rate (CAGR) of 9.2%. It has had a positive return in 50% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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