Citigroup Backtesting

C -- USA Stock  

Earnings Report: January 13, 2020  

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
SymbolX
Backtest

Citigroup 'What if' Analysis

July 18, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 16, 2019
0.00
If you would invest  0.00  in Citigroup on July 18, 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 East West, ING Group, Canadian Imperial, JP Morgan, Bank of Nova Scotia, 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 Ratio0.0016
Maximum Drawdown7.73
Value At Risk(3.07)
Potential Upside2.47

Citigroup Market Premium Indicators

Risk Adjusted Performance(0.001104)
Jensen Alpha0.0166
Total Risk Alpha0.0243
Treynor Ratio(0.013353)

Citigroup Backtested Returns

Macroaxis considers Citigroup to be very steady. Citigroup secures Sharpe Ratio (or Efficiency) of -0.0117 which signifies that the organization had -0.0117% of return per unit of risk over the last 3 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 (0.001104) and Mean Deviation of 1.43 to double-check risk estimate we provide. The firm shows Beta (market volatility) of 1.5745 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. 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 -0.0218%. 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(0.22) 
correlation synergy

Weak reverse predictability

Citigroup has weak reverse predictability. Overlapping area represents the amount of predictability between Citigroup time series from July 18, 2019 to September 1, 2019 and September 1, 2019 to October 16, 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 -0.22 indicates that over 22.0% 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-0.22
Spearman Rank Test-0.21
Residual Average0.0
Price Variance3.08

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 East West Bancorp. 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 Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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