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.
| 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 Average | 0.0 |
| Price Variance | 3.06 |
