Citigroup Risk Analysis And Volatility Evaluation

C -- USA Stock  

USD 66.34  0.44  0.66%

Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.1902 which signifies that Citigroup had -0.1902% 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 0.01 and Mean Deviation of 0.9266 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

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.

Projected Return Density Against Market

Taking into account the 30 trading days horizon, Citigroup has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and Citigroup are completely uncorrelated. Furthermore, CitigroupIt does not look like Citigroup alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is -525.73. The daily returns are destributed with a variance of 1.66 and standard deviation of 1.29. The mean deviation of Citigroup is currently at 0.94. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.29
Ir
Information ratio =0.16

Actual Return Volatility

Citigroup accepts 1.2886% volatility on return distribution over the 30 days horizon. DOW inherits 1.39% 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

Close to average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Citigroup Investment Opportunity
DOW has a standard deviation of returns of 1.39 and is 1.08 times more volatile than Citigroup. 11% 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 11 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Citigroup Total Debt History

Total Debt

Volatility Indicators

Citigroup Current Risk Indicators
Check also Trending Equities. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.