Citigroup Backtesting

C -- USA Stock  

USD 68.97  0.76  1.09%

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
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Backtest

Citigroup 'What if' Analysis

June 22, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 20, 2019
0.00
If you would invest  0.00  in Citigroup on June 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, B of A, Barclays PLC, ING Group, Bank of Nova Scotia, JP Morgan, and Bank Of Montreal. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation1.75
Information Ratio0.0213
Maximum Drawdown8.03
Value At Risk(3.07)
Potential Upside2.76

Citigroup Market Premium Indicators

Risk Adjusted Performance0.0389
Jensen Alpha0.027
Total Risk Alpha0.0198
Sortino Ratio0.0206
Treynor Ratio0.0366

Citigroup Backtested Returns

We consider Citigroup very steady. Citigroup secures Sharpe Ratio (or Efficiency) of 0.0364 which signifies that the organization had 0.0364% 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-six technical indicators for Citigroup which you can use to evaluate future volatility of the firm. Please confirm Citigroup Mean Deviation of 1.26, Risk Adjusted Performance of 0.0389 and Downside Deviation of 1.75 to double-check if risk estimate we provide are consistent with the epected return of 0.063%. Citigroup has performance score of 2 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.4916 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 extremely important to respect Citigroup historical returns, it is better to be realistic regarding the information on 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 0.063% will be sustainable into the future. Citigroup right now shows a risk of 1.7323%. Please confirm Citigroup Potential Upside, Skewness and the relationship between Maximum Drawdown and Semi Variance to decide if Citigroup will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.43) 
correlation synergy

Modest reverse predictability

Citigroup has modest reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from June 22, 2019 to August 6, 2019 and August 6, 2019 to September 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 -0.43 indicates that just about 43.0% 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-0.43
Spearman Rank Test0.16
Residual Average0.0
Price Variance7.72

Citigroup lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

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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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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