Citigroup Backtesting

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

Citigroup 'What if' Analysis

April 24, 2017
No Change 0.00  0.0%
In 31 days
May 24, 2017
If you would invest  0.00  in Citigroup on April 24, 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 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Citigroup Inc Backtested Returns

We consider Citigroup not too risky. Citigroup Inc secures Sharpe Ratio (or Efficiency) of 0.1518 which signifies that Citigroup Inc had 0.1518% 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-eight technical indicators for Citigroup Inc which you can use to evaluate future volatility of the firm. Please confirm Citigroup Inc Downside Deviation of 1.73, Risk Adjusted Performance of 0.0816 and Mean Deviation of 0.7228 to double-check if risk estimate we provide are consistent with the epected return of 0.1771%. Citigroup has performance score of 10 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.7366 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform.. Although it is extremely important to respect Citigroup Inc historical returns, it is beter to be realistic about what you can do with the information about equity current trading 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 Inc technical indicators you can presently evaluate if the expected return of 0.1771% will be sustainable into the future. Citigroup Inc right now shows risk of 1.1666%. Please confirm Citigroup Inc Sortino Ratio, 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.09) 

Very weak reverse predictability

Citigroup Inc has very weak reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from April 24, 2017 to May 9, 2017 and May 9, 2017 to May 24, 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 -0.09 indicates that less than 9.0% 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 -0.09
Spearman Rank Test 0.33
Price Variance 0.53
Lagged Price Variance 0.19

Citigroup Lagged Returns

 Regressed Prices 

Citigroup Performance vs NYSE

The median price of Citigroup for the period between Mon, Apr 24, 2017 and Wed, May 24, 2017 is 60.24 with a coefficient of variation of 1.35. The daily time series for the period is distributed with a sample standard deviation of 0.82, arithmetic mean of 60.4, and mean deviation of 0.62. The Stock received some media coverage during the period.
April 27, 2017Citigroup Dividend Paid
Price Growth (%)  
Citigroup to Tap Nasdaq for Blockchain Payment Technology05/22/2017