Citigroup Backtesting

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C -- USA Stock  

Trending

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. Continue to 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

October 28, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
January 26, 2020
0.00
If you would invest  0.00  in Citigroup on October 28, 2019 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 90 days. Citigroup is related to or competes with Canadian Imperial, Credit Suisse, East West, Barclays PLC, Bank Of Montreal, and Bank of Nova Scotia. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation0.9347
Information Ratio0.0238
Maximum Drawdown4.64
Value At Risk(1.55)
Potential Upside1.77

Citigroup Market Premium Indicators

Risk Adjusted Performance0.0667
Jensen Alpha0.1362
Total Risk Alpha(0.09)
Sortino Ratio0.0266
Treynor Ratio(0.97)

Citigroup Backtested Returns

We consider Citigroup very steady. Citigroup secures Sharpe Ratio (or Efficiency) of 0.1006 which signifies that the organization had 0.1006% 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 Mean Deviation of 0.8396, Risk Adjusted Performance of 0.0667 and Downside Deviation of 0.9347 to double-check if risk estimate we provide are consistent with the epected return of 0.1064%. Citigroup has performance score of 6 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.1272 which signifies that 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. 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 0.1064% will be sustainable into the future. Citigroup right now shows a risk of 1.06%. 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 0.39 
correlation synergy

Below average predictability

Citigroup has below average predictability. Overlapping area represents the amount of predictability between Citigroup time series from October 28, 2019 to December 12, 2019 and December 12, 2019 to January 26, 2020. 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 0.39 indicates that just about 39.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient0.39
Spearman Rank Test0.45
Residual Average0.0
Price Variance1.82

Citigroup lagged returns against current returns

 Current and Lagged Values 
    
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Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
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Citigroup Lagged Returns

 Regressed Prices 
    
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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  
Continue to Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance. Please also try Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..