Citigroup Backtesting

C -- USA Stock  

Fiscal Quarter End: December 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Citigroup 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.
Horizon     30 Days    Login   to change
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Backtest

Citigroup 'What if' Analysis

September 8, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 7, 2019
0.00
If you would invest  0.00  in Citigroup on September 8, 2019 and sell it all today you would earn a total of 0.00 from holding Citigroup or generate 0.0% return on investment in Citigroup over 90 days. Citigroup is related to or competes with Bank Of Montreal, East West, Canadian Imperial, JP Morgan, ING Group, and Credit Suisse. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation1.22
Information Ratio0.1018
Maximum Drawdown7.05
Value At Risk(2.37)
Potential Upside2.43

Citigroup Market Premium Indicators

Risk Adjusted Performance0.0995
Jensen Alpha0.1033
Total Risk Alpha0.0595
Sortino Ratio0.1138
Treynor Ratio0.1294

Citigroup Backtested Returns

We consider Citigroup very steady. Citigroup secures Sharpe Ratio (or Efficiency) of 0.1252 which signifies that the organization had 0.1252% of return per unit of risk over the last 3 months. 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 1.22, Risk Adjusted Performance of 0.0995 and Mean Deviation of 1.04 to double-check if risk estimate we provide are consistent with the epected return of 0.16%. Citigroup has performance score of 8 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.5567 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 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 0.16% will be sustainable into the future. Citigroup right now shows a risk of 1.2776%. 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.12 
correlation synergy

Insignificant predictability

Citigroup has insignificant predictability. Overlapping area represents the amount of predictability between Citigroup time series from September 8, 2019 to October 23, 2019 and October 23, 2019 to December 7, 2019. 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 0.12 indicates that less than 12.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient0.12
Spearman Rank Test-0.17
Residual Average0.0
Price Variance1.2

Citigroup lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Citigroup Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - C

Citigroup Investor Sentiment

Most of Macroaxis users are currently bullish on Citigroup. What is your opinion about investing in Citigroup? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Citigroup Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Citigroup and Bank Of Montreal. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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