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Citigroup Risk Analysis And Volatility

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C -- USA Stock  

Trending

We consider Citigroup very steady. Citigroup secures Sharpe Ratio (or Efficiency) of 0.0195 which signifies that the organization had 0.0195% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Citigroup which you can use to evaluate future volatility of the firm. Please confirm Citigroup Downside Deviation of 1.2, Risk Adjusted Performance of 0.0594 and Mean Deviation of 0.8663 to double-check if risk estimate we provide are consistent with the epected return of 0.023%.
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90 Days Market Risk

Very steady

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Moves indifferently to market moves

Citigroup Market Sensitivity

As returns on market increase, returns on owning Citigroup are expected to decrease at a much smaller rate. During bear market, Citigroup is likely to outperform the market.
3 Months Beta |Analyze Citigroup Demand Trend
Check current 30 days Citigroup correlation with market (DOW)
β = -0.072

Citigroup Central Daily Price Deviation

Citigroup Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Citigroup Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Citigroup Projected Return Density Against Market

Taking into account the 30 trading days horizon, Citigroup has beta of -0.072 . This suggests as returns on benchmark increase, returns on holding Citigroup are expected to decrease at a much smaller rate. During bear market, however, Citigroup is likely to outperform the market. Moreover, The company has an alpha of 0.0764 implying that it can potentially generate 0.0764% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
    
  Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is 5134.72. The daily returns are destributed with a variance of 1.4 and standard deviation of 1.18. The mean deviation of Citigroup is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 0.78
α
Alpha over DOW
=0.08
β
Beta against DOW=0.07
σ
Overall volatility
=1.18
Ir
Information ratio =0.0131

Citigroup Return Volatility

the company accepts 1.1812% volatility on return distribution over the 30 days horizon. the entity inherits 0.8011% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Citigroup Investment Opportunity

Citigroup has a volatility of 1.18 and is 1.48 times more volatile than DOW. 10  of all equities and portfolios are less risky than Citigroup. Compared to the overall equity markets, volatility of historical daily returns of Citigroup is lower than 10 () of all global equities and portfolios over the last 30 days. Use Citigroup to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Citigroup to be traded at $93.66 in 30 days. . As returns on market increase, returns on owning Citigroup are expected to decrease at a much smaller rate. During bear market, Citigroup is likely to outperform the market.

Citigroup correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and equity matching DJI index in the same portfolio.

Citigroup Current Risk Indicators

Citigroup Suggested Diversification Pairs

Continue to Trending Equities. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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