Citigroup Backtesting

Citigroup Inc -- USA Stock  

USD 72.05  0.72  1.01%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Citigroup Inc 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
Investment Horizon     30 Days    Login   to change
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Citigroup 'What if' Analysis

October 22, 2017
0.00
No Change 0.00  0.0%
In 31 days
November 21, 2017
0.00
If you would invest  0.00  in Citigroup on October 22, 2017 and sell it all today you would earn a total of 0.00 from holding Citigroup Inc or generate 0.0% return on investment in Citigroup over 30 days. Citigroup is related to or competes with Bank of New York, Goldman Sachs, Morgan Stanley, Regions Financial, and Fifth Third. It operates through two segments, Citicorp and Citi Holdings

Citigroup Upside/Downside Indicators

  

Citigroup Market Premium Indicators

Citigroup Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Citigroup Inc Backtested Returns

Macroaxis considers Citigroup to be not too risky. Citigroup Inc secures Sharpe Ratio (or Efficiency) of -0.1462 which signifies that Citigroup Inc had -0.1462% 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 Inc exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Citigroup Inc Risk Adjusted Performance of (0.051507) and Mean Deviation of 0.4803 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 -0.4618 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.. Even though it is essential to pay attention to Citigroup Inc 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 Inc exposes twenty-eight different technical indicators which can help you to evaluate its performance. Citigroup Inc has expected return of -0.0948%. Please be advised to confirm Citigroup Inc Sortino Ratio, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup Inc past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 

Poor reverse predictability

Citigroup Inc has poor reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 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 -0.33 indicates that nearly 33.0% 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 -0.33
Spearman Rank Test 0.03
Price Variance 0.42
Lagged Price Variance 0.11

Citigroup Lagged Returns

 Regressed Prices 
      Timeline 

Citigroup Performance vs DOW

The median price of Citigroup for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 73.53 with a coefficient of variation of 1.41. The daily time series for the period is distributed with a sample standard deviation of 1.03, arithmetic mean of 73.02, and mean deviation of 0.93. The Stock did not receive any noticable media coverage during the period.
November 3, 2017Citigroup Dividend Paid
Price Growth (%)  
      Timeline