Citigroup Risk Analysis

Citigroup Inc -- USA Stock  

USD 73.96  1.18  1.57%

Macroaxis considers Citigroup not too risky given 1 month investment horizon. Citigroup Inc secures Sharpe Ratio (or Efficiency) of 0.2221 which signifies that Citigroup Inc had 0.2221% 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-eight 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 0.8345, Risk Adjusted Performance of 0.0942 and Mean Deviation of 0.8256 to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Citigroup Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform.
One Month Beta |Analyze Citigroup Inc Demand Trend
Check current 30 days Citigroup correlation with market (DOW)
β = 1.1575
Citigroup Large BetaCitigroup Inc Beta Legend

Citigroup Inc Technical Analysis

The output start index for this execution was zero with a total number of output elements of seventeen. Citigroup Inc 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.

Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.1575 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Citigroup will likely underperform. Additionally, Citigroup Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is 450.34. The daily returns are destributed with a variance of 1.22 and standard deviation of 1.11. The mean deviation of Citigroup Inc is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
Alpha over DOW
βBeta against DOW=1.16
Overall volatility
 IrInformation ratio =0.02

Actual Return Volatility

Citigroup Inc accepts 1.1059% volatility on return distribution over the 30 days horizon. DOW inherits 0.4911% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

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

Total Debt

Citigroup Inc Total Debt History

Total Debt

Largest Trends

Citigroup Largest Period Trend

Investment Outlook

Citigroup Investment Opportunity
Citigroup Inc has a volatility of 1.11 and is 2.27 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 Inc is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Citigroup Inc to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Citigroup to be traded at $71.74 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform.

Citigroup correlation with market

Very 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.