Citigroup Backtesting

C -- USA Stock  

USD 70.53  0.86  1.23%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

Citigroup 'What if' Analysis

July 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
August 21, 2018
0.00
If you would invest  0.00  in Citigroup on July 22, 2018 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 30 days. Citigroup is related to or competes with Bank of New York, Goldman Sachs, Morgan Stanley, Regions Financial, Fifth Third, and B of A. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Downside Deviation1.53
Information Ratio0.0262
Maximum Drawdown3.82
Value At Risk1.94
Potential Upside1.33
  

Citigroup Market Premium Indicators

Risk Adjusted Performance0.046
Jensen Alpha0.0551
Total Risk Alpha0.036632
Sortino Ratio0.0187
Treynor Ratio0.1635

Citigroup Backtested Returns

We consider Citigroup not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of 0.0247 which signifies that Citigroup had 0.0247% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company 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 confirm Citigroup Downside Deviation of 1.53, Risk Adjusted Performance of 0.046 and Mean Deviation of 0.8429 to double-check if risk estimate we provide are consistent with the epected return of 0.026%. Citigroup has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4952 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.. 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 0.026% will be sustainable into the future. Citigroup right now shows a risk of 1.0512%. Please confirm Citigroup Jensen Alpha, Potential Upside, Skewness, as well as 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(0.68) 

Very good reverse predictability

Citigroup has very good reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from July 22, 2018 to August 6, 2018 and August 6, 2018 to August 21, 2018. 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 -0.68 indicates that around 68.0% 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 -0.68
Spearman Rank Test -0.51
Price Variance 1.99
Lagged Price Variance 0.38

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 

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?
Bullish
Bearish
98% Bullish
2% Bearish
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Citigroup and Bank of New York. 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.