We consider Citigroup not too risky. Citigroup Inc secures Sharpe Ratio (or Efficiency) of 0.0117 which signifies that Citigroup Inc had 0.0117% 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-six technical indicators for Citigroup Inc which you can use to evaluate future volatility of the firm. Please confirm Citigroup Inc Downside Deviation of 1.22, Risk Adjusted Performance of 0.0435 and Mean Deviation of 0.7992 to double-check if risk estimate we provide are consistent with the epected return of 0.0243%.
|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 TrendCheck current 30 days Citigroup correlation with market (DOW)|
β = 3.0298
Projected Return Density Against MarketTaking into account the 30 trading days horizon, the stock has beta coefficient of 3.0298 . 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
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is 8548.73. The daily returns are destributed with a variance of 4.31 and standard deviation of 2.08. The mean deviation of Citigroup Inc is currently at 1.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23