Citigroup Backtesting

Citigroup Inc -- USA Stock  

USD 73.12  0.93  1.29%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Citigroup Inc 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
Investment Horizon     30 Days    Login   to change

Citigroup 'What if' Analysis

September 18, 2017
No Change 0.00  0.0%
In 31 days
October 18, 2017
If you would invest  0.00  in Citigroup on September 18, 2017 and sell it all today you would earn a total of 0.00 from holding Citigroup Inc 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, and Fifth Third. It operates through two segments, Citicorp and Citi Holdings

Citigroup Upside/Downside Indicators


Citigroup Market Premium Indicators

Citigroup Inc lagged returns against current returns

 Current and Lagged Values 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Citigroup Inc Backtested Returns

We consider Citigroup not too risky. Citigroup Inc secures Sharpe Ratio (or Efficiency) of 0.1433 which signifies that Citigroup Inc had 0.1433% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Citigroup Inc which you can use to evaluate future volatility of the firm. Please confirm Citigroup Inc Downside Deviation of 1.22, Risk Adjusted Performance of 0.0345 and Mean Deviation of 0.7376 to double-check if risk estimate we provide are consistent with the epected return of 0.1585%. Citigroup has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.21 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.. Although it is extremely important to respect Citigroup Inc historical returns, it is better to be realistic regarding the information on equity current trending patternss. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Citigroup Inc technical indicators you can presently evaluate if the expected return of 0.1585% will be sustainable into the future. Citigroup Inc right now shows a risk of 1.1057%. Please confirm Citigroup Inc Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup Inc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.69) 

Very good reverse predictability

Citigroup Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from September 18, 2017 to October 3, 2017 and October 3, 2017 to October 18, 2017. 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 Inc price movement. The serial correlation of -0.69 indicates that around 69.0% of current Citigroup price fluctuation can be explain by its past prices. Given that Citigroup Inc 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 -0.69
Spearman Rank Test -0.28
Price Variance 2.08
Lagged Price Variance 1.22

Citigroup Lagged Returns

 Regressed Prices 

Citigroup Performance vs DOW

The median price of Citigroup for the period between Mon, Sep 18, 2017 and Wed, Oct 18, 2017 is 72.65 with a coefficient of variation of 2.21. The daily time series for the period is distributed with a sample standard deviation of 1.61, arithmetic mean of 72.98, and mean deviation of 1.38. The Stock received some media coverage during the period.
Price Growth (%)  
Citigroup I Would not Worry About The Downgrade10/18/2017