Citigroup Risk Analysis And Volatility

C -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider Citigroup very steady. Citigroup secures Sharpe Ratio (or Efficiency) of 0.1142 which signifies that the organization had 0.1142% of return per unit of risk over the last 3 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-seven technical indicators for Citigroup which you can use to evaluate future volatility of the firm. Please confirm Citigroup Risk Adjusted Performance of 0.0794, Downside Deviation of 1.22 and Mean Deviation of 0.9799 to double-check if risk estimate we provide are consistent with the epected return of 0.1464%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

Citigroup Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform.
3 Months Beta |Analyze Citigroup Demand Trend
Check current 30 days Citigroup correlation with market (DOW)
β = 1.5502

Citigroup Central Daily Price Deviation

Citigroup Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Citigroup high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Citigroup closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Citigroup Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.5502 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Citigroup will likely underperform. Moreover, The company has an alpha of 0.0674 implying that it can potentially generate 0.0674% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is 875.29. The daily returns are destributed with a variance of 1.64 and standard deviation of 1.28. The mean deviation of Citigroup is currently at 1.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.07
β
Beta against DOW=1.55
σ
Overall volatility
=1.28
Ir
Information ratio =0.08

Citigroup Return Volatility

the company accepts 1.2814% volatility on return distribution over the 30 days horizon. the entity inherits 0.6074% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Citigroup Investment Opportunity

Citigroup has a volatility of 1.28 and is 2.1 times more volatile than DOW. 11  of all equities and portfolios are less risky than Citigroup. Compared to the overall equity markets, volatility of historical daily returns of Citigroup is lower than 11 () of all global equities and portfolios over the last 30 days. Use Citigroup to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Citigroup to be traded at $74.93 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Citigroup will likely underperform.

Citigroup correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Citigroup Inc and equity matching DJI index in the same portfolio.

Citigroup Current Risk Indicators

Citigroup Suggested Diversification Pairs

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