Citigroup (Germany) Volatility

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Citigroup Market Sensitivity And Downside Risk

3 Months Beta |Analyze Citigroup Demand TrendCheck current 90 days Citigroup correlation with market (Dow Jones Industrial)

Citigroup Beta

0.0351

Standard Deviation

1.85

Citigroup Stock Volatility Analysis

Citigroup Projected Return Density Against Market

Assuming the 90 days trading horizon Citigroup has a beta of 0.0351 . This usually implies as returns on the market go up, Citigroup average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Citigroup will be expected to be much smaller as well. Citigroup has an alpha of 0.4164, implying that it can generate a 0.42 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Citigroup's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how citigroup stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Citigroup Price Volatility?

Several factors can influence a stock's market volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Citigroup Stock Risk Measures

Citigroup Stock Return Volatility

Citigroup historical daily return volatility represents how much of Citigroup stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 1.8532% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7299% volatility on return distribution over the 90 days horizon.

Volatility is a rate at which the price of Citigroup or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Citigroup may increase or decrease. In other words, similar to Citigroup's beta indicator, it measures the risk of Citigroup and helps estimate the fluctuations that may happen in a short period of time. So if prices of Citigroup fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.

The analysis of Citigroup's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Citigroup's investment and either accepting that risk or mitigating it. Along with some common measures of Citigroup stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.

Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.

The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Citigroup as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Citigroup's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Citigroup's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Citigroup.

When running Citigroup's price analysis, check to measure Citigroup's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Citigroup is operating at the current time. Most of Citigroup's value examination focuses on studying past and present price action to predict the probability of Citigroup's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Citigroup's price. Additionally, you may evaluate how the addition of Citigroup to your portfolios can decrease your overall portfolio volatility.