Citigroup Risk Analysis And Volatility Evaluation

C -- USA Stock  

USD 55.02  0.75  1.34%

Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.2943 which signifies that Citigroup had -0.2943% of return per unit of risk over the last 2 months. 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-eight 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 (0.28) and Mean Deviation of 1.52 to double-check risk estimate we provide.
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.
2 Months Beta |Analyze Citigroup Demand Trend
Check current 30 days Citigroup correlation with market (DOW)
β = 1.1299

Citigroup Central Daily Price Deviation

Citigroup Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 avgprice price transform indicator.

Citigroup Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.1299 . 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. Additionally, Citigroup 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 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is -339.84. The daily returns are destributed with a variance of 3.33 and standard deviation of 1.82. The mean deviation of Citigroup is currently at 1.45. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.3
β
Beta against DOW=1.13
σ
Overall volatility
=1.82
Ir
Information ratio =0.17

Citigroup Return Volatility

Citigroup accepts 1.8243% volatility on return distribution over the 30 days horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Citigroup Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

60 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Citigroup Investment Opportunity

Citigroup has a volatility of 1.82 and is 1.41 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days. Use Citigroup 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 $53.37 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

correlation synergy
Poor 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

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