Citigroup Backtesting

C -- USA Stock  

USD 70.26  0.93  1.34%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

Citigroup 'What if' Analysis

July 15, 2018
0.00
No Change 0.00  0.0%
In 31 days
August 14, 2018
0.00
If you would invest  0.00  in Citigroup on July 15, 2018 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 30 days. Citigroup is related to or competes with Canadian Imperial, Credit Suisse, East West, B of A, Barclays PLC, and BANK OF MONTREAL. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation1.43
Maximum Drawdown4.92
Value At Risk2.20
Potential Upside1.43
  

Citigroup Market Premium Indicators

Risk Adjusted Performance0.01

Citigroup Backtested Returns

Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.0048 which signifies that Citigroup had -0.0048% 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 different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Citigroup Downside Deviation of 1.43, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.8933 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 different technical indicators which can help you to evaluate its performance. Citigroup has expected return of -0.0046%. Please be advised to confirm Citigroup Treynor Ratio, Downside Variance, Kurtosis, as well as the relationship between Value At Risk and Expected Short fall to decide if Citigroup past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.49) 

Modest reverse predictability

Citigroup has modest reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from July 15, 2018 to July 30, 2018 and July 30, 2018 to August 14, 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 -0.49 indicates that about 49.0% of current Citigroup price fluctuation can be explain by its past prices. Given that Citigroup 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 -0.49
Spearman Rank Test 0.25
Price Variance 1.0
Lagged Price Variance 1.27

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 

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Chance of Distress

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Citigroup and Canadian Imperial Bank. 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
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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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.