Citigroup Backtesting

Citigroup Inc -- USA Stock  

USD 71.40  0.36  0.50%

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
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Citigroup 'What if' Analysis

August 26, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
September 25, 2017
 0.00 
If you would invest  0.00  in Citigroup on August 26, 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 
      Timeline 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Citigroup Inc Backtested Returns

Macroaxis considers Citigroup not too risky given 1 month investment horizon. Citigroup Inc secures Sharpe Ratio (or Efficiency) of 0.2391 which signifies that Citigroup Inc had 0.2391% 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 Inc which you can use to evaluate future volatility of the firm. Please makes use of Citigroup Inc Downside Deviation of 1.18, Risk Adjusted Performance of 0.1067 and Mean Deviation of 0.7432 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Citigroup holds performance score of 16. The firm shows Beta (market volatility) of 1.9487 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 vital to follow to Citigroup Inc historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patternss. 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 0.264% will be sustainable into the future. Please makes use of Citigroup Inc Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Citigroup price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.69) 

Very good reverse predictability

Citigroup Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from August 26, 2017 to September 10, 2017 and September 10, 2017 to September 25, 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 -0.69 indicates that around 69.0% 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 -0.69
Spearman Rank Test -0.47
Price Variance 1.74
Lagged Price Variance 0.58

Citigroup Lagged Returns

 Regressed Prices 
      Timeline 

Citigroup Performance vs DOW

The median price of Citigroup for the period between Sat, Aug 26, 2017 and Mon, Sep 25, 2017 is 68.03 with a coefficient of variation of 2.47. The daily time series for the period is distributed with a sample standard deviation of 1.7, arithmetic mean of 68.63, and mean deviation of 1.38. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Citigroup Still Vulnerable Despite Break Higher09/22/2017