Citigroup Backtesting

C -- USA Stock  

USD 65.98  0.91  1.40%

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

Citigroup 'What if' Analysis

March 20, 2019
No Change 0.00  0.0%
In 2 months and 1 day
May 19, 2019
If you would invest  0.00  in Citigroup on March 20, 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 60 days. Citigroup is related to or competes with Canadian Imperial, Credit Suisse, East West, B of A, Barclays PLC, and Bank of Montreal. Citigroup Inc., a diversified financial services holding company, provides various financial products and services for c...

Citigroup Upside/Downside Indicators

Information Ratio(0.00339)
Maximum Drawdown7.74
Value At Risk(3.20)
Potential Upside2.36

Citigroup Market Premium Indicators

Risk Adjusted Performance(0.001124)
Jensen Alpha(0.003615)
Total Risk Alpha0.0231
Treynor Ratio(0.024134)

Citigroup Backtested Returns

We consider Citigroup very steady. Citigroup secures Sharpe Ratio (or Efficiency) of 0.025 which signifies that the organization had 0.025% of return per unit of risk over the last 2 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 confirm Citigroup Mean Deviation of 1.22 and Risk Adjusted Performance of (0.001124) to double-check if risk estimate we provide are consistent with the epected return of 0.0409%. Citigroup has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.0951 which signifies that Citigroup returns are very sensitive to returns on the market. as market goes up or down, Citigroup is expected to follow. 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 0.0409% will be sustainable into the future. Citigroup right now shows a risk of 1.6388%. 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(0.74) 
correlation synergy

Almost perfect reverse predictability

Citigroup has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from March 20, 2019 to April 19, 2019 and April 19, 2019 to May 19, 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 -0.74 indicates that around 74.0% 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-0.74
Spearman Rank Test-0.71
Residual Average0.0
Price Variance4.67

Citigroup lagged returns against current returns

 Current and Lagged Values 

Citigroup regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Citigroup Lagged Returns

 Regressed Prices 

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Positions Ratings

Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance
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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 Transaction History module to view history of all your transactions and understand their impact on performance.