Citigroup Risk Analysis And Volatility Evaluation

C -- USA Stock  

USD 74.79  1.07  1.45%

We consider Citigroup not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of 0.1482 which signifies that Citigroup had 0.1482% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Citigroup which you can use to evaluate future volatility of the firm. Please confirm Citigroup Downside Deviation of 0.7932, Risk Adjusted Performance of 0.0651 and Mean Deviation of 0.7112 to double-check if risk estimate we provide are consistent with the epected return of 0.1695%.
Horizon     30 Days    Login   to change

Citigroup Market Sensitivity

Citigroup returns are very sensitive to returns on the market. As market goes up or down, Citigroup is expected to follow.
One Month Beta |Analyze Citigroup Demand Trend
Check current 30 days Citigroup correlation with market (DOW)
β = 1.1347
Citigroup llmost one BetaCitigroup Beta Legend

Citigroup Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Citigroup Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Citigroup Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.1347 . This suggests Citigroup market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Citigroup is expected to follow. Moreover, Citigroup has an alpha of 0.0547 implying that it can potentially generate 0.0547% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is 674.54. The daily returns are destributed with a variance of 1.31 and standard deviation of 1.14. The mean deviation of Citigroup is currently at 0.71. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.05
β
Beta against DOW=1.13
σ
Overall volatility
=1.14
Ir
Information ratio =0.06

Citigroup Return Volatility

Citigroup accepts 1.1433% volatility on return distribution over the 30 days horizon. DOW inherits 0.4208% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Citigroup Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Citigroup Investment Opportunity

Citigroup has a volatility of 1.14 and is 2.71 times more volatile than DOW. 10% of all equities and portfolios are less risky than Citigroup. Compared to the overall equity markets, volatility of historical daily returns of Citigroup is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Citigroup to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Citigroup to be traded at $82.27 in 30 days. Citigroup returns are very sensitive to returns on the market. As market goes up or down, Citigroup is expected to follow.

Citigroup correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and equity matching DJI index in the same portfolio.

Citigroup Volatility Indicators

Citigroup Current Risk Indicators

Check also Trending Equities. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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