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.
|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|