Citigroup Capital VIII 7.875% Fixed rate Floating Rate trust Preferred Securities (TruPS)

10-Year Study

C-P-N.US · Other · US · Preferred Stock

Executive Summary: Citigroup Capital VIII 7.875% Fixed rate Floating Rate trust Preferred Securities (TruPS) has compounded at 3.1% annually over the last 10 years, with a maximum drawdown of 8.7% and an annualized volatility of 11.1%.

1Y CAGR
+3.3%
3Y CAGR
+1.6%
5Y CAGR
+1.7%
10Y CAGR
+3.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
8.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.19
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.32
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
6.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +14.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -2.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-0.7-0.9-1.32.3————————-0.6%
20252.9-1.8-1.4-0.2-2.20.90.21.31.1-0.5-0.30.80.8%
20241.7-0.31.8-1.60.90.1-0.31.70.71.40.2-1.35.0%
20231.1-1.71.12.2-1.9-0.61.9-0.41.6-2.30.7-1.10.5%
2022-3.3-1.33.2-1.10.1-1.32.00.11.9-1.64.0-0.62.0%
2021-1.5-4.30.20.92.10.7-0.60.3-0.2-1.1-1.73.2-2.3%
20202.4-2.6-4.65.41.3-1.91.9-0.20.11.60.13.97.1%
2019-1.93.02.4-1.00.91.0-1.40.50.3-0.51.20.75.2%
20180.20.7-0.10.40.30.91.41.0-1.3-1.4-0.5-4.0-2.5%
20171.82.11.10.2-0.5-0.57.1-0.82.6-0.30.70.214.3%
2016———1.2-0.30.02.2-1.11.60.6-0.1-0.63.4%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 11.1%. The dominant macroeconomic risk driver is SHV.US, accounting for 31.4% of variance. Idiosyncratic stock-specific factors contribute 13.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110115.543491626853
2016-05-0110084.665096939032
2016-06-0110084.665096939032
2016-07-0110304.275154733548
2016-08-0110194.060235641318
2016-09-0110355.420342394944
2016-10-0110417.678108675553
2016-11-0110405.6546629564
2016-12-0110341.484075765926
2017-01-0110526.52672711788
2017-02-0110742.629946577645
2017-03-0110864.913854744025
2017-04-0110882.85793661276
2017-05-0110824.881245701845
2017-06-0110775.056815335358
2017-07-0111535.99519062171
2017-08-0111438.851214413562
2017-09-0111734.564218407713
2017-10-0111704.368974044843
2017-11-0111790.35482827878
2017-12-0111816.132367206961
2018-01-0111843.276206785049
2018-02-0111922.11175428449
2018-03-0111904.577562610728
2018-04-0111952.716888842335
2018-05-0111983.959630370131
2018-06-0112091.032057967583
2018-07-0112260.271165135653
2018-08-0112383.238223626982
2018-09-0112228.390816637899
2018-10-0112055.326067650098
2018-11-0112000.674041653954
2018-12-0111520.237189792824
2019-01-0111306.638854857882
2019-02-0111646.619999908913
2019-03-0111921.246430539552
2019-04-0111799.190239148156
2019-05-0111903.803325575782
2019-06-0112025.859516967177
2019-07-0111855.846172764162
2019-08-0111916.87426845986
2019-09-0111956.087097112097
2019-10-0111895.059001416397
2019-11-0112034.558297771562
2019-12-0112117.356117155727
2020-01-0112407.148485000296
2020-02-0112079.4185024434
2020-03-0111518.051108752976
2020-04-0112135.391285734457
2020-05-0112296.705849133083
2020-06-0112068.989074149136
2020-07-0112296.705849133083
2020-08-0112273.934171634686
2020-09-0112287.597178133725
2020-10-0112478.879269120238
2020-11-0112497.096611118954
2020-12-0112979.85617408492
2021-01-0112784.019747598728
2021-02-0112228.390816637899
2021-03-0112251.162494136292
2021-04-0112360.466546128588
2021-05-0112615.509334110606
2021-06-0112706.596044104184
2021-07-0112624.618005109964
2021-08-0112665.607024607072
2021-09-0112638.281011609
2021-10-0112501.650946618633
2021-11-0112287.597178133725
2021-12-0112683.824366605792
2022-01-0112260.271165135653
2022-02-0112096.31508714721
2022-03-0112478.879269120238
2022-04-0112346.803539629549
2022-05-0112365.020881628267
2022-06-0112205.619139139502
2022-07-0112446.998920622485
2022-08-0112465.216262621201
2022-09-0112706.596044104184
2022-10-0112501.650946618633
2022-11-0113007.182187082994
2022-12-0112934.312819088129
2023-01-0113080.051555077856
2023-02-0112861.443451093266
2023-03-0112998.073516083634
2023-04-0113284.996652563408
2023-05-0113039.062535580746
2023-06-0112961.638832086204
2023-07-0113203.018613569186
2023-08-0113152.920923072717
2023-09-0113357.86602055827
2023-10-0113057.279877579462
2023-11-0113143.812252073361
2023-12-0112998.073516083634
2024-01-0113221.235955567903
2024-02-0113180.246936070793
2024-03-0113421.626717553774
2024-04-0113207.572949068866
2024-05-0113321.431336560838
2024-06-0113330.540007560197
2024-07-0113284.996652563408
2024-08-0113512.713427547355
2024-09-0113603.800137540931
2024-10-0113795.082228527446
2024-11-0113822.408241525522
2024-12-0113649.34349253772
2025-01-0114045.570681009787
2025-02-0113785.973557528088
2025-03-0113599.245802041252
2025-04-0113571.919789043179
2025-05-0113275.88798156405
2025-06-0113398.855040055381
2025-07-0113421.626717553774
2025-08-0113594.691466541575
2025-09-0113740.430202531299
2025-10-0113676.669505535794
2025-11-0113640.23482153836
2025-12-0113754.093209030336
2026-01-0113658.452163537078
2026-02-0113540.039440545426
2026-03-0113366.974691557629
2026-04-0113676.669505535794
Annual Return Matrix
YearAnnual Return
20170.14259542253676183
2018-0.025041626838518627
20190.051832173029559
20200.07117889815155864
2021-0.02280701754385961
20220.019748653500897495
20230.004929577464788837
20240.05010511562718989
20250.007674341007674279
2026-0.0056291390728475665
Total Factor Risk
0.11136120997163744
VTI.US Exposure
0.10654372310042876
VEA.US Exposure
0.014671146021535216
VWO.US Exposure
-0.006155792038706804
QQQ.US Exposure
-0.019202114040902184
VTV.US Exposure
-0.018986461600013736
IJR.US Exposure
-0.0016761821058500425
QUAL.US Exposure
0.045865897016545365
SHV.US Exposure
0.31447818507744535
TLT.US Exposure
0.05001871340883249
LQD.US Exposure
0.2743315349861126
HYG.US Exposure
-0.0029621064572745823
GLD.US Exposure
0.003778269118056653
USO.US Exposure
0.007357803137776522
VNQ.US Exposure
0.0065294192042910214
BTC-USD.CC Exposure
0.002261305412276226
CPER.US Exposure
0.007877981078774634
VIX.INDX Exposure
-0.00886525878614161
UUP.US Exposure
-0.0018035953691098992
TIP.US Exposure
0.08776972274561823
Idiosyncratic Exposure
0.13816781009030557
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
11.1%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+1.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.4%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
3.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Citigroup Capital VIII 7.875% Fixed rate Floating Rate trust Preferred Securities (TruPS) a high-risk investment?

Citigroup Capital VIII 7.875% Fixed rate Floating Rate trust Preferred Securities (TruPS) (C-P-N.US) has an annualized volatility of 11.1% and experienced a maximum drawdown of 8.7% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of C-P-N.US?

Over the past 10 years, C-P-N.US has generated a Compound Annual Growth Rate (CAGR) of 3.1%. It has had a positive return in 70% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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