Citigroup Risk Analysis And Volatility

C -- USA Stock  

Earnings Report: January 13, 2020  

Macroaxis considers Citigroup to be very steady. Citigroup secures Sharpe Ratio (or Efficiency) of -0.0026 which signifies that the organization had -0.0026% 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 Mean Deviation of 1.42, Risk Adjusted Performance of 0.0057 and Downside Deviation of 1.98 to double-check risk estimate we provide.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Close to 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 = 1.5742

Citigroup Central Daily Price Deviation

Citigroup Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. Citigroup Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Citigroup Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.5742 . 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 0.0172 implying that it can potentially generate 0.0172% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Taking into account the 30 trading days horizon, the coefficient of variation of Citigroup is -37928.43. The daily returns are destributed with a variance of 3.43 and standard deviation of 1.85. The mean deviation of Citigroup is currently at 1.42. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
Alpha over DOW
Beta against DOW=1.57
Overall volatility
Information ratio =0.0043

Citigroup Return Volatility

the company accepts 1.852% volatility on return distribution over the 30 days horizon. the entity inherits 0.9852% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Citigroup Investment Opportunity

Citigroup has a volatility of 1.85 and is 1.87 times more volatile than DOW. 16  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 16 () of all global equities and portfolios over the last 30 days. Use Citigroup to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Citigroup to be traded at $73.08 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
Very 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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