Citigold (Australia) Volatility
| CTO Stock | 0.02 0 5.88% |
Citigold is out of control given 3 months investment horizon. Citigold secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the company had a 0.16 % return per unit of risk over the last 3 months. We were able to break down and interpolate data for twenty-eight different technical indicators, which can help you to evaluate if expected returns of 1.23% are justified by taking the suggested risk. Use Citigold Mean Deviation of 6.69, risk adjusted performance of 0.1234, and Downside Deviation of 9.35 to evaluate company specific risk that cannot be diversified away.
Sharpe Ratio = 0.1607
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
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Estimated Market Risk
| 7.68 actual daily | 68 68% of assets are less volatile |
Expected Return
| 1.23 actual daily | 24 76% of assets have higher returns |
Risk-Adjusted Return
| 0.16 actual daily | 12 88% of assets perform better |
Based on monthly moving average Citigold is performing at about 12% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Citigold by adding it to a well-diversified portfolio.
Key indicators related to Citigold's volatility include:30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Citigold Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Citigold daily returns, and it is calculated using variance and standard deviation. We also use Citigold's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Citigold volatility.
Citigold |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Citigold can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Citigold at lower prices. For example, an investor can purchase Citigold stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Citigold's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns. Main indicators related to Citigold's market risk premium analysis include:
Beta (2.93) | Alpha 1.56 | Risk 7.68 | Sharpe Ratio 0.16 | Expected Return 1.23 |
Moving together with Citigold Stock
| 0.68 | BSL | Bluescope Steel | PairCorr |
| 0.7 | CBAPM | Commonwealth Bank | PairCorr |
| 0.75 | CBAPJ | Commonwealth Bank | PairCorr |
Moving against Citigold Stock
Citigold Market Sensitivity And Downside Risk
Citigold's beta coefficient measures the volatility of Citigold stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Citigold stock's returns against your selected market. In other words, Citigold's beta of -2.93 provides an investor with an approximation of how much risk Citigold stock can potentially add to one of your existing portfolios. Citigold is showing large volatility of returns over the selected time horizon. Citigold is a penny stock. Although Citigold may be in fact a good investment, many penny stocks are subject to artificial price hype. Make sure you completely understand the upside potential and downside risk of investing in Citigold. We encourage investors to look for signals such as message board hypes, claims of breakthroughs, email spams, sudden volume upswings, and other similar hype indicators. We also encourage traders to check biographies and work history of company officers before investing in instruments with high volatility. You can indeed make money on Citigold instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Citigold Demand TrendCheck current 90 days Citigold correlation with market (Dow Jones Industrial)Citigold Volatility and Downside Risk
Citigold standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Citigold Stock Volatility Analysis
Volatility refers to the frequency at which Citigold stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Citigold's price changes. Investors will then calculate the volatility of Citigold's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Citigold's volatility:
Historical Volatility
This type of stock volatility measures Citigold's fluctuations based on previous trends. It's commonly used to predict Citigold's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Citigold's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Citigold's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Citigold 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.
Citigold Projected Return Density Against Market
Assuming the 90 days trading horizon Citigold has a beta of -2.9346 suggesting as returns on its benchmark rise, returns on holding Citigold are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Citigold is expected to outperform its benchmark.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Citigold or Metals & Mining sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Citigold's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Citigold stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Citigold has an alpha of 1.5574, implying that it can generate a 1.56 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Citigold 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.Citigold Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Citigold is 622.26. The daily returns are distributed with a variance of 59.0 and standard deviation of 7.68. The mean deviation of Citigold is currently at 5.85. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | 1.56 | |
β | Beta against Dow Jones | -2.93 | |
σ | Overall volatility | 7.68 | |
Ir | Information ratio | 0.14 |
Citigold Stock Return Volatility
Citigold historical daily return volatility represents how much of Citigold stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 7.6809% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7029% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
There is a big difference between Citigold Stock performing well and Citigold Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Citigold's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| NABPH | 0.15 | 0.00 | (0.35) | 0.11 | 0.15 | 0.28 | 1.05 | |||
| ABV | 1.91 | 0.06 | 0.00 | 0.45 | 2.88 | 9.09 | 17.42 | |||
| BGT | 3.22 | (0.38) | 0.00 | 1.54 | 0.00 | 8.70 | 22.71 | |||
| RTH | 2.61 | (0.07) | 0.00 | 0.14 | 0.00 | 5.50 | 28.54 | |||
| CBAPJ | 0.14 | 0.00 | (0.46) | 0.24 | 0.08 | 0.36 | 1.08 | |||
| TNE | 1.54 | (0.50) | 0.00 | (1.66) | 0.00 | 2.38 | 20.12 | |||
| BOQPG | 0.23 | 0.00 | (0.24) | 0.57 | 0.29 | 0.54 | 1.84 | |||
| BTI | 0.88 | 0.00 | (0.05) | 0.13 | 1.23 | 2.42 | 7.18 |
About Citigold Volatility
Volatility is a rate at which the price of Citigold 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 Citigold may increase or decrease. In other words, similar to Citigold's beta indicator, it measures the risk of Citigold and helps estimate the fluctuations that may happen in a short period of time. So if prices of Citigold 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.
Please read more on our technical analysis page.| Last Reported | Projected for Next Year | ||
| Selling And Marketing Expenses | 339.2 K | 547.9 K |
Citigold's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Citigold Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Citigold's price varies over time.
3 ways to utilize Citigold's volatility to invest better
Higher Citigold's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Citigold stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Citigold stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Citigold investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Citigold's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Citigold's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Citigold Investment Opportunity
Citigold has a volatility of 7.68 and is 10.97 times more volatile than Dow Jones Industrial. 68 percent of all equities and portfolios are less risky than Citigold. You can use Citigold to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Citigold to be traded at 0.0225 in 90 days.Very good diversification
The correlation between Citigold and DJI is -0.25 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Citigold and DJI in the same portfolio, assuming nothing else is changed.
Citigold Additional Risk Indicators
The analysis of Citigold'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 Citigold's investment and either accepting that risk or mitigating it. Along with some common measures of Citigold 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.
| Risk Adjusted Performance | 0.1234 | |||
| Market Risk Adjusted Performance | (0.44) | |||
| Mean Deviation | 6.69 | |||
| Semi Deviation | 6.08 | |||
| Downside Deviation | 9.35 | |||
| Coefficient Of Variation | 650.63 | |||
| Standard Deviation | 8.59 |
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.
Citigold Suggested Diversification Pairs
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.
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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 Citigold 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. Citigold'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, Citigold'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 Citigold.
Additional Tools for Citigold Stock Analysis
When running Citigold's price analysis, check to measure Citigold'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 Citigold is operating at the current time. Most of Citigold's value examination focuses on studying past and present price action to predict the probability of Citigold's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Citigold's price. Additionally, you may evaluate how the addition of Citigold to your portfolios can decrease your overall portfolio volatility.