Citigroup Backtesting

Citigroup -- USA Stock  

USD 69.12  0.06  0.0867%

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

February 26, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
April 27, 2018
0.00
If you would invest  0.00  in Citigroup on February 26, 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 60 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

Information Ratio0.15
Maximum Drawdown6.8
Value At Risk2.42
Potential Upside2.7
  

Citigroup Market Premium Indicators

Risk Adjusted Performance0.25
Jensen Alpha0.25
Total Risk Alpha0.22
Treynor Ratio3.22

Citigroup Backtested Returns

Macroaxis considers Citigroup to be not too risky. Citigroup secures Sharpe Ratio (or Efficiency) of -0.166 which signifies that Citigroup had -0.166% of return per unit of risk over the last 2 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 0.25 and Mean Deviation of 1.16 to double-check risk estimate we provide. Macroaxis gives Citigroup performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0758 which signifies that as returns on market increase, returns on owning Citigroup are expected to decrease at a much smaller rate. During bear market, Citigroup is likely to outperform the market.. 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 expected return of -0.2565%. 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 past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.04) 

Very weak reverse predictability

Citigroup has very weak reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from February 26, 2018 to March 28, 2018 and March 28, 2018 to April 27, 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 -0.04 indicates that only as little as 4.0% 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 -0.04
Spearman Rank Test -0.42
Price Variance 1.11
Lagged Price Variance 4.86

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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BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
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 Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.