Citigroup Backtesting

C -- USA Stock  

Fiscal Quarter End: December 31, 2019  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Citigroup and determine expected loss or profit from investing in Citigroup over given investment horizon. Check also Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance.
Horizon     30 Days    Login   to change

Citigroup 'What if' Analysis

August 22, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 20, 2019
If you would invest  0.00  in Citigroup on August 22, 2019 and sell it all today you would earn a total of 0.00 from holding Citigroup or generate 0.0% return on investment in Citigroup over 90 days. Citigroup is related to or competes with Canadian Imperial, Credit Suisse, East West, Barclays PLC, Bank Of Montreal, and Bank of Nova Scotia. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation1.38
Information Ratio0.0928
Maximum Drawdown7.05
Value At Risk(2.42)
Potential Upside2.76

Citigroup Market Premium Indicators

Risk Adjusted Performance0.1214
Jensen Alpha0.0894
Total Risk Alpha0.0376
Sortino Ratio0.1004
Treynor Ratio0.1519

Citigroup Backtested Returns

Macroaxis considers Citigroup very steady given 3 months investment horizon. Citigroup secures Sharpe Ratio (or Efficiency) of 0.1731 which signifies that the organization had 0.1731% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Citigroup which you can use to evaluate future volatility of the firm. Please makes use of Citigroup Mean Deviation of 1.15, Downside Deviation of 1.38 and Risk Adjusted Performance of 0.1214 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Citigroup holds performance score of 11. The firm shows Beta (market volatility) of 1.5289 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform. Although it is vital to follow to Citigroup historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Citigroup technical indicators you can presently evaluate if the expected return of 0.2617% will be sustainable into the future. Please makes use of Citigroup Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Citigroup price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.83 
correlation synergy

Very good predictability

Citigroup has very good predictability. Overlapping area represents the amount of predictability between Citigroup time series from August 22, 2019 to October 6, 2019 and October 6, 2019 to November 20, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Citigroup price movement. The serial correlation of 0.83 indicates that around 83.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient0.83
Spearman Rank Test0.61
Residual Average0.0
Price Variance6.58

Citigroup lagged returns against current returns

 Current and Lagged Values 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Citigroup Lagged Returns

 Regressed Prices 

Current Sentiment - C

Citigroup Investor Sentiment

Most of Macroaxis users are currently bullish on Citigroup. What is your opinion about investing in Citigroup? Are you bullish or bearish?
98% Bullish
2% Bearish

Citigroup Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Citigroup and Canadian Imperial Bank. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.