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
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Backtest

Citigroup 'What if' Analysis

August 24, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
November 22, 2019
0.00
If you would invest  0.00  in Citigroup on August 24, 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 Ratio0.1049
Maximum Drawdown7.05
Value At Risk(2.42)
Potential Upside2.76

Citigroup Market Premium Indicators

Risk Adjusted Performance0.1223
Jensen Alpha0.1106
Total Risk Alpha0.0675
Sortino Ratio0.1136
Treynor Ratio0.1506

Citigroup Backtested Returns

Macroaxis considers Citigroup very steady given 3 months investment horizon. Citigroup secures Sharpe Ratio (or Efficiency) of 0.1856 which signifies that the organization had 0.1856% 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 Risk Adjusted Performance of 0.1223, Mean Deviation of 1.15 and Downside Deviation of 1.38 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Citigroup holds performance score of 12. The firm shows Beta (market volatility) of 1.5739 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 0.2712% 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 0.76 
correlation synergy

Good predictability

Citigroup has good predictability. Overlapping area represents the amount of predictability between Citigroup time series from August 24, 2019 to October 8, 2019 and October 8, 2019 to November 22, 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 0.76 indicates that around 76.0% of current Citigroup price fluctuation can be explain by its past prices.
Correlation Coefficient0.76
Spearman Rank Test0.51
Residual Average0.0
Price Variance6.21

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 Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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