Macroaxis considers Citigroup to be not too risky. Citigroup
secures Sharpe Ratio (or Efficiency) of -0.055 which signifies that Citigroup
had -0.055% 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-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Citigroup Risk Adjusted Performance
of 0.037998 and Mean Deviation of 1.09 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 0.5194 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.. 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-one different technical indicators which can help you to evaluate its performance. Citigroup has expected return of -0.0983%. Please be advised to confirm Citigroup Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup past performance will be repeated at some point in the near future.
|15 days auto-correlation|| 0.51 |
Citigroup has modest predictability. Overlapping area represents the amount of predictability between Citigroup time series from September 16, 2018 to October 1, 2018 and October 1, 2018 to October 16, 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 0.51 indicates that about 51.0% of current Citigroup price fluctuation can be explain by its past prices.
|Spearman Rank Test||-0.41|