SAP.DE vs. CEMR.DE
SAP.DE (SAP SE) is a stock, while CEMR.DE (iShares Edge MSCI Europe Momentum Factor UCITS ETF) is Momentum fund tracking the MSCI Europe Momentum Index. Over the past 10 years, SAP.DE returned 10.39%/yr vs 11.36%/yr for CEMR.DE. A 0.64 correlation means they provide meaningful diversification when combined.
Performance
SAP.DE vs. CEMR.DE - Performance Comparison
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Returns By Period
In the year-to-date period, SAP.DE achieves a -19.71% return, which is significantly lower than CEMR.DE's 7.91% return. Over the past 10 years, SAP.DE has underperformed CEMR.DE with an annualized return of 10.39%, while CEMR.DE has yielded a comparatively higher 11.36% annualized return.
SAP.DE
- 1D
- 5.49%
- 1M
- 11.68%
- YTD
- -19.71%
- 6M
- -20.39%
- 1Y
- -38.34%
- 3Y*
- 11.57%
- 5Y*
- 9.25%
- 10Y*
- 10.39%
CEMR.DE
- 1D
- -0.11%
- 1M
- 2.92%
- YTD
- 7.91%
- 6M
- 11.43%
- 1Y
- 17.51%
- 3Y*
- 20.23%
- 5Y*
- 11.35%
- 10Y*
- 11.36%
SAP.DE vs. CEMR.DE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SAP.DE SAP SE | -19.71% | -11.03% | 71.56% | 47.17% | -20.70% | 18.44% | -9.59% | 40.27% | -5.61% | 14.35% |
CEMR.DE iShares Edge MSCI Europe Momentum Factor UCITS ETF | 7.91% | 27.17% | 20.01% | 12.79% | -15.33% | 22.25% | 10.74% | 31.66% | -10.73% | 11.48% |
Correlation
The correlation between SAP.DE and CEMR.DE is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.52 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Jan 21, 2015 | 0.64 |
Over the past year, the correlation between SAP.DE and CEMR.DE has dropped to 0.28 - well below their long-term average of 0.64, suggesting their price drivers have been diverging.
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Return for Risk
SAP.DE vs. CEMR.DE — Risk / Return Rank
SAP.DE
CEMR.DE
SAP.DE vs. CEMR.DE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SAP SE (SAP.DE) and iShares Edge MSCI Europe Momentum Factor UCITS ETF (CEMR.DE). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| SAP.DE | CEMR.DE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.05 | ||
| Sortino ratioReturn per unit of downside risk | -3.00 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.19 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.78 | 1.49 | -2.26 |
| Martin ratioReturn relative to average drawdown | -1.34 | 5.53 | -6.87 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SAP.DE | CEMR.DE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.04 | 1.01 | -2.05 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.33 | 0.69 | -0.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.39 | 0.68 | -0.30 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 0.61 | -0.40 |
Drawdowns
SAP.DE vs. CEMR.DE - Drawdown Comparison
The maximum SAP.DE drawdown since its inception was -85.30%, which is greater than CEMR.DE's maximum drawdown of -31.78%. Use the drawdown chart below to compare losses from any high point for SAP.DE and CEMR.DE.
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Drawdown Indicators
| SAP.DE | CEMR.DE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -85.30% | -31.78% | -53.52% |
Max Drawdown (1Y)Largest decline over 1 year | -49.12% | -11.73% | -37.39% |
Max Drawdown (3Y)Largest decline over 3 years | -50.12% | -15.75% | -34.37% |
Max Drawdown (5Y)Largest decline over 5 years | -50.12% | -23.73% | -26.39% |
Max Drawdown (10Y)Largest decline over 10 years | -50.12% | -31.78% | -18.34% |
Current DrawdownCurrent decline from peak | -39.78% | -1.48% | -38.30% |
Average DrawdownAverage peak-to-trough decline | -28.88% | -6.03% | -22.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 28.57% | 3.16% | +25.41% |
Volatility
SAP.DE vs. CEMR.DE - Volatility Comparison
SAP SE (SAP.DE) has a higher volatility of 15.55% compared to iShares Edge MSCI Europe Momentum Factor UCITS ETF (CEMR.DE) at 4.42%. This indicates that SAP.DE's price experiences larger fluctuations and is considered to be riskier than CEMR.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SAP.DE | CEMR.DE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.55% | 4.42% | +11.13% |
Volatility (6M)Calculated over the trailing 6-month period | 32.27% | 14.63% | +17.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 36.72% | 17.29% | +19.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.33% | 16.37% | +10.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 26.55% | 16.48% | +10.07% |
Dividends
SAP.DE vs. CEMR.DE - Dividend Comparison
SAP.DE's dividend yield for the trailing twelve months is around 1.52%, while CEMR.DE has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CEMR.DE iShares Edge MSCI Europe Momentum Factor UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SAP.DE SAP SE | 1.52% | 1.13% | 0.93% | 1.47% | 2.54% | 1.48% | 1.47% | 1.25% | 1.61% | 1.34% | 1.39% | 1.50% |
Frequently Asked Questions
SAP.DE and CEMR.DE have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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