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 TrendCheck current 30 days Citigroup correlation with market (DOW)|
β = 1.1299
Citigroup Central Daily Price Deviation
Citigroup Technical Analysis
Citigroup Projected Return Density Against MarketTaking 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
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
|Alpha over DOW||=||0.3|
|Beta against DOW||=||1.13|
Citigroup Return VolatilityCitigroup 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.
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