Citigroup Backtesting

C -- USA Stock  

USD 69.96  1.12  1.58%

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

Citigroup 'What if' Analysis

April 23, 2018
No Change 0.00  0.0%
In 31 days
May 23, 2018
If you would invest  0.00  in Citigroup on April 23, 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 Bank of New York, Goldman Sachs, Morgan Stanley, Regions Financial, Fifth Third, and B of A. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation0.8979
Information Ratio0.0985
Maximum Drawdown5.89
Value At Risk1.04
Potential Upside1.34

Citigroup Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.1218

Citigroup Backtested Returns

We consider Citigroup not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of 0.0985 which signifies that Citigroup had 0.0985% 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-one technical indicators for Citigroup which you can use to evaluate future volatility of the firm. Please confirm Citigroup Downside Deviation of 0.8979, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.74 to double-check if risk estimate we provide are consistent with the epected return of 0.1094%. Citigroup has performance score of 6 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. 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 0.1094% will be sustainable into the future. Citigroup right now shows a risk of 1.111%. 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 0.50 

Modest predictability

Citigroup has modest predictability. Overlapping area represents the amount of predictability between Citigroup time series from April 23, 2018 to May 8, 2018 and May 8, 2018 to May 23, 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 0.5 indicates that about 50.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient 0.5
Spearman Rank Test 0.21
Price Variance 0.87
Lagged Price Variance 0.33

Citigroup lagged returns against current returns

 Current and Lagged Values 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Citigroup Lagged Returns

 Regressed Prices 

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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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.