Macroaxis considers Citigroup to be not too risky.
Citigroup secures Sharpe Ratio (or Efficiency) of -0.1399 which signifies that
Citigroup had -0.1399% of return per unit of risk over the last 1 month. 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-one 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 0.01 and
Mean Deviation of 0.9351 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 0.0 which signifies that the returns on MARKET and Citigroup are completely uncorrelated. 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-one different technical indicators which can help you to evaluate its performance.
Citigroup has expected return of -0.1809%. Please be advised to confirm Citigroup
Jensen Alpha,
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.
| 15 days auto-correlation | 0.54 |
Modest predictability
Citigroup has modest predictability. Overlapping area represents the amount of predictability between Citigroup time series from May 21, 2018 to June 5, 2018 and June 5, 2018 to June 20, 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 0.54 indicates that about 54.0% of current Citigroup price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 |
| Spearman Rank Test | 0.38 |
| Price Variance | 0.67 |
| Lagged Price Variance | 3.01 |
