Citigroup Backtesting |
| C -- USA Stock | USD 55.87 0.85 1.54% |
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 |
| Symbol | X | Backtest |
Citigroup 'What if' Analysis
October 18, 20180.00 |
| December 17, 20180.00 |
If you would invest 0.00 in Citigroup on October 18, 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 60 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
| Citigroup Market Premium Indicators
|
Citigroup Backtested Returns
Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.253 which signifies that Citigroup had -0.253% of return per unit of risk over the last 2 months. 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 (0.28) and Mean Deviation of 1.52 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 1.1299 which signifies that Citigroup returns are very sensitive to returns on the market. as market goes up or down, Citigroup is expected to follow.. 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 -0.4712%. 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 | (0.09) |
Very weak reverse predictability
Citigroup has very weak reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from October 18, 2018 to November 17, 2018 and November 17, 2018 to December 17, 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 -0.09 indicates that less than 9.0% 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 | -0.09 |
| Spearman Rank Test | 0.16 |
| Residual Average | 0.0 |
| Price Variance | 14.75 |
Citigroup lagged returns against current returns
Citigroup regressed lagged prices vs. current prices
Citigroup Lagged Returns
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Search macroaxis.com