Citigroup Inc Backtested Returns
We consider Citigroup not too risky.
Citigroup Inc secures Sharpe Ratio (or Efficiency) of 0.1433 which signifies that
Citigroup Inc had 0.1433% 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 company specific
technical indicators that cannot be diversified away. We have found twenty-one
technical indicators for Citigroup Inc which you can use to evaluate future volatility of the firm. Please confirm Citigroup Inc
Downside Deviation of 1.22,
Risk Adjusted Performance of 0.0345 and
Mean Deviation of 0.7376 to double-check if risk estimate we provide are consistent with the epected return of 0.1585%. Citigroup has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.21 which signifies that as returns on market increase, Citigroup returns are expected to increase less than the market. However during bear market, the loss on holding Citigroup will be expected to be smaller as well.. Although it is extremely important to respect
Citigroup Inc historical returns, it is better to be realistic regarding the information on equity current trending patternss. 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 Inc technical indicators you can presently evaluate if the expected return of 0.1585% will be sustainable into the future.
Citigroup Inc right now shows a risk of 1.1057%. Please confirm Citigroup Inc
Jensen Alpha,
Potential Upside,
Skewness, as well as the
relationship between
Maximum Drawdown and
Semi Variance to decide if Citigroup Inc will be following its
price patterns.
| 15 days auto-correlation | (0.69) |
Very good reverse predictability
Citigroup Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from September 18, 2017 to October 3, 2017 and October 3, 2017 to October 18, 2017. 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 Inc price movement. The serial correlation of -0.69 indicates that around 69.0% of current Citigroup price fluctuation can be explain by its past prices. Given that Citigroup Inc 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 | -0.69 |
| Spearman Rank Test | -0.28 |
| Price Variance | 2.08 |
| Lagged Price Variance | 1.22 |
Citigroup Lagged Returns
