Citigroup Backtesting

C -- USA Stock  

USD 74.15  0.31  0.42%

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

Citigroup 'What if' Analysis

August 26, 2018
No Change 0.00  0.0%
In 30 days
September 25, 2018
If you would invest  0.00  in Citigroup on August 26, 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

Downside Deviation0.7922
Information Ratio0.0158
Maximum Drawdown4.01
Value At Risk1.49
Potential Upside1.79

Citigroup Market Premium Indicators

Risk Adjusted Performance0.08
Jensen Alpha0.0289
Total Risk Alpha0.19
Sortino Ratio0.0229
Treynor Ratio0.18

Citigroup Backtested Returns

We consider Citigroup not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of 0.0901 which signifies that Citigroup had 0.0901% 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 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 0.7922, Risk Adjusted Performance of 0.08 and Mean Deviation of 0.7197 to double-check if risk estimate we provide are consistent with the epected return of 0.1003%. Citigroup has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.9275 which signifies that Citigroup returns are very sensitive to returns on the market. as market goes up or down, Citigroup is expected to follow.. Although it is extremely important to respect Citigroup historical returns, it is better to be realistic regarding the information on equity current trending patterns. 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 technical indicators you can presently evaluate if the expected return of 0.1003% will be sustainable into the future. Citigroup right now shows a risk of 1.1139%. Please confirm Citigroup Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.87) 

Excellent reverse predictability

Citigroup has excellent reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 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 -0.87 indicates that approximately 87.0% 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-0.87
Spearman Rank Test-0.92
Residual Average0.0
Price Variance3.06

Citigroup lagged returns against current returns

 Current and Lagged Values 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Citigroup Lagged Returns

 Regressed Prices 

Did you try this?

Run Analyst Recommendations Now


Analyst Recommendations

Analyst recommendations and target price estimates broken down by several categories
All  Next Launch Analyst Recommendations

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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.