>

Citigroup Backtesting

<div class='circular--portrait' style='background:#FF9E01;color: white;font-size:4em;padding-top: 25px;;'>CI</div>
C -- USA Stock  

Trending

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Citigroup and determine expected loss or profit from investing in Citigroup over given investment horizon. Continue to Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance.
Symbol
Backtest

Citigroup 'What if' Analysis

0.00
01/06/2020
No Change 0.00  0.0 
In 3 months and 1 day
04/05/2020
0.00
If you would invest  0.00  in Citigroup on January 6, 2020 and sell it all today you would earn a total of 0.00 from holding Citigroup or generate 0.0% return on investment in Citigroup over 90 days. Citigroup is related to or competes with Bank Of Montreal, Barclays PLC, Canadian Imperial, Bank of Nova Scotia, JP Morgan, and Credit Suisse. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Information Ratio(0.1)
Maximum Drawdown37.28
Value At Risk(9.49)
Potential Upside8.81

Citigroup Market Premium Indicators

Risk Adjusted Performance(0.62)
Jensen Alpha(0.39)
Total Risk Alpha(0.34)
Treynor Ratio(0.70)

Citigroup Backtested Returns

Macroaxis considers Citigroup to be somewhat reliable. Citigroup secures Sharpe Ratio (or Efficiency) of -0.1644, which signifies that the organization had -0.1644% of return per unit of risk over the last 3 months. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Citigroup exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Citigroup Risk Adjusted Performance of (0.62) and Mean Deviation of 3.72 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 1.4008, which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform. Even though it is essential to pay attention to Citigroup historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Citigroup exposes twenty-one different technical indicators, which can help you to evaluate its performance. Citigroup has an expected return of -0.9603%. Please be advised to confirm Citigroup Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.65 
correlation synergy

Good predictability

Citigroup has good predictability. Overlapping area represents the amount of predictability between Citigroup time series from 6th of January 2020 to 20th of February 2020 and 20th of February 2020 to 5th of April 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Citigroup price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient0.65
Spearman Rank Test0.6
Residual Average0.0
Price Variance178.66

Citigroup lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Citigroup Lagged Returns

 Regressed Prices 
    
  Timeline 

Did you try this?

Run Portfolio Anywhere Now

   

Portfolio Anywhere

Track or share privately all of your investments from the convenience of any device
All  Next Launch Module

Citigroup Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Citigroup and Bank Of Montreal. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Continue to Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance. Please also try Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page