Macroaxis considers Citigroup to be not too risky. Citigroup
secures Sharpe Ratio (or Efficiency) of -0.0117 which signifies that Citigroup
had -0.0117% of return per unit of risk over the last 1 month. 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 0.001859 and Mean Deviation of 0.8619 to double-check risk estimate we provide. Macroaxis gives Citigroup performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.2072 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 expected return of -0.0126%. 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 past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.73) |
Almost perfect reverse predictability
Citigroup has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from July 18, 2018 to August 2, 2018 and August 2, 2018 to August 17, 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 Citigroup price movement. The serial correlation of -0.73 indicates that around 73.0% of current Citigroup price fluctuation can be explain by its past prices. Given that Citigroup has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Citigroup for similar time interval.
|Correlation Coefficient|| -0.73|
|Spearman Rank Test|| -0.86|
|Price Variance|| 2.14|
|Lagged Price Variance|| 1.19|