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Citigroup Backtesting

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C -- USA Stock  

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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. Continue to Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance.
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Citigroup 'What if' Analysis

0.00
11/30/2019
No Change 0.00  0.0 
In 2 months and 31 days
02/28/2020
0.00
If you would invest  0.00  in Citigroup on November 30, 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

Information Ratio(0.06)
Maximum Drawdown8.19
Value At Risk(3.90)
Potential Upside1.77

Citigroup Market Premium Indicators

Risk Adjusted Performance(0.17)
Jensen Alpha(0.19)
Total Risk Alpha(0.049402)
Treynor Ratio(0.69)

Citigroup Backtested Returns

Macroaxis considers Citigroup to be very steady. Citigroup secures Sharpe Ratio (or Efficiency) of -0.1372 which signifies that the organization had -0.1372% of return per unit of risk over the last 3 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-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 (0.17) and Mean Deviation of 1.09 to double-check risk estimate we provide. The firm shows Beta (market volatility) of 0.3511, which signifies that as returns on market increase, Citigroup returns are expected to increase less than the market. However during bear market, the loss on holding Citigroup will be expected to be smaller as well. Even though it is essential to pay attention to Citigroup historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Citigroup exposes twenty-one different technical indicators, which can help you to evaluate its performance. Citigroup has an expected return of -0.2209%. Please be advised to confirm Citigroup Jensen Alpha, Potential Upside, Skewness, as well as the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.60) 
correlation synergy

Good reverse predictability

Citigroup has good reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. 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 -0.6 indicates that roughly 60.0% of current Citigroup price fluctuation can be explain by its past prices. Given that Citigroup has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Citigroup for similar time interval.
Correlation Coefficient-0.6
Spearman Rank Test-0.4
Residual Average0.0
Price Variance4.32

Citigroup lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
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Citigroup Lagged Returns

 Regressed Prices 
    
  Timeline 

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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
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Continue to Citigroup Hype Analysis, Citigroup Correlation, Citigroup Valuation, Citigroup Volatility as well as analyze Citigroup Alpha and Beta and Citigroup Performance. Please also try Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.