Citigroup (Germany) Market Value
| TRVC Stock | 67.77 0.80 1.17% |
| Symbol | Citigroup |
Citigroup 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Citigroup's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Citigroup.
| 11/20/2023 |
| 12/14/2024 |
If you would invest 0.00 in Citigroup on November 20, 2023 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 390 days. Citigroup is related to or competes with JPMorgan Chase, Bank of America, Wells Fargo, HSBC Holdings, Mitsubishi UFJ, and Mitsubishi UFJ. More
Citigroup Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Citigroup's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Citigroup upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | 0.1778 | |||
| Maximum Drawdown | 12.79 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 2.82 |
Citigroup Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Citigroup's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Citigroup's standard deviation. In reality, there are many statistical measures that can use Citigroup historical prices to predict the future Citigroup's volatility.| Risk Adjusted Performance | 0.1742 | |||
| Jensen Alpha | 0.4164 | |||
| Total Risk Alpha | 0.1893 | |||
| Sortino Ratio | 0.2821 | |||
| Treynor Ratio | 11.95 |
Citigroup Backtested Returns
Citigroup appears to be very steady, given 3 months investment horizon. Citigroup secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Citigroup, which you can use to evaluate the volatility of the firm. Please makes use of Citigroup's Downside Deviation of 1.17, risk adjusted performance of 0.1742, and Mean Deviation of 1.16 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Citigroup holds a performance score of 18. The firm shows a Beta (market volatility) of 0.0351, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Citigroup's returns are expected to increase less than the market. However, during the bear market, the loss of holding Citigroup is expected to be smaller as well. Please check Citigroup's treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether Citigroup's price patterns will revert.
Auto-correlation | 0.52 |
Modest predictability
Citigroup has modest predictability. Overlapping area represents the amount of predictability between Citigroup time series from 20th of November 2023 to 2nd of June 2024 and 2nd of June 2024 to 14th of December 2024. 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 0.52 indicates that about 52.0% of current Citigroup price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 19.67 |
Citigroup lagged returns against current returns
Autocorrelation, which is Citigroup stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Citigroup's stock expected returns. We can calculate the autocorrelation of Citigroup returns to help us make a trade decision. For example, suppose you find that Citigroup has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Citigroup regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Citigroup stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Citigroup stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Citigroup stock over time.
Current vs Lagged Prices |
| Timeline |
Citigroup Lagged Returns
When evaluating Citigroup's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Citigroup stock have on its future price. Citigroup autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Citigroup autocorrelation shows the relationship between Citigroup stock current value and its past values and can show if there is a momentum factor associated with investing in Citigroup.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Information and Resources on Investing in Citigroup Stock
When determining whether Citigroup offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Citigroup's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Citigroup Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Citigroup Stock:Check out Citigroup Correlation, Citigroup Volatility and Citigroup Alpha and Beta module to complement your research on Citigroup. For information on how to trade Citigroup Stock refer to our How to Trade Citigroup Stock guide.You can also try the Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Citigroup technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.