Citigroup Backtesting

C -- USA Stock  

USD 68.37  0.94  1.36%

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. Check also Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Citigroup 'What if' Analysis

April 25, 2018
0.00
No Change 0.00  0.0%
In 31 days
May 25, 2018
0.00
If you would invest  0.00  in Citigroup on April 25, 2018 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 30 days. Citigroup is related to or competes with Bank of New York, Goldman Sachs, Morgan Stanley, Regions Financial, Fifth Third, and B of A. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation0.9974
Information Ratio0.0028
Maximum Drawdown5.89
Value At Risk1.32
Potential Upside1.34
  

Citigroup Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.0033

Citigroup Backtested Returns

Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.0473 which signifies that Citigroup had -0.0473% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Citigroup Downside Deviation of 0.9974, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.7931 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 0.0 which signifies that the returns on MARKET and Citigroup are completely uncorrelated. 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-eight different technical indicators which can help you to evaluate its performance. Citigroup has expected return of -0.0559%. Please be advised to confirm Citigroup Sortino Ratio, 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 

Very good reverse predictability

Citigroup has very good reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from April 25, 2018 to May 10, 2018 and May 10, 2018 to May 25, 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 -0.62 indicates that roughly 62.0% 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 -0.62
Spearman Rank Test -0.02
Price Variance 2.01
Lagged Price Variance 2.41

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 

Current Sentiment - C

Citigroup Investor Sentiment
Most of Macroaxis users are currently bullish on Citigroup. What is your opinion about investing in Citigroup? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for ConocoPhillips and SM Energy. 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  
Check also Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.