Citigroup Backtesting

C -- USA Stock  

USD 67.15  1.71  2.48%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Citigroup 'What if' Analysis

September 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 22, 2018
0.00
If you would invest  0.00  in Citigroup on September 22, 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 Canadian Imperial, Credit Suisse, East West, B of A, Barclays PLC, and Bank of Montreal. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Information Ratio0.09
Maximum Drawdown5.34
Value At Risk2.93
Potential Upside0.7799
  

Citigroup Market Premium Indicators

Risk Adjusted Performance0.21
Jensen Alpha0.23
Total Risk Alpha0.06
Treynor Ratio0.65

Citigroup Backtested Returns

Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.2623 which signifies that Citigroup had -0.2623% 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 Risk Adjusted Performance of 0.21 and Mean Deviation of 1.05 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 0.4718 which signifies that as returns on market increase, Citigroup returns are expected to increase less than the market. However during bear market, the loss on holding Citigroup will be expected to be smaller as well.. 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 -0.4185%. 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 0.72 

Good predictability

Citigroup has good predictability. Overlapping area represents the amount of predictability between Citigroup time series from September 22, 2018 to October 7, 2018 and October 7, 2018 to October 22, 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 0.72 indicates that around 72.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient0.72
Spearman Rank Test0.19
Residual Average0.0
Price Variance2.41

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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Citigroup Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Citigroup and Canadian Imperial Bank. 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 Premium Stories module to follow macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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