Citigroup Inc.

10-Year Study

C.US · Financial Services · US · Common Stock

Executive Summary: Citigroup Inc. has compounded at 14.2% annually over the last 10 years, with a maximum drawdown of 46.9% and an annualized volatility of 41.1%.

1Y CAGR
+83.8%
3Y CAGR
+49.0%
5Y CAGR
+14.5%
10Y CAGR
+14.2%

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 →
46.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.52
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.78
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
32.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +70.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -28.5%
% 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.
2026-0.8-4.32.914.0————————11.4%
202515.7-1.1-11.2-3.711.013.010.13.75.1-0.33.012.670.4%
20249.2-0.314.0-3.02.51.82.2-2.5-0.12.511.4-0.741.9%
202315.5-2.0-7.51.5-5.83.93.5-12.4-0.4-4.018.311.619.0%
20227.8-8.3-9.8-8.810.8-13.914.0-6.0-14.610.16.8-6.6-22.1%
2021-5.213.610.4-1.410.5-10.1-3.76.3-2.4-0.7-7.9-5.20.9%
2020-6.2-14.7-33.615.3-0.36.7-1.12.2-15.7-2.733.012.0-19.7%
201923.8-0.0-2.813.6-11.512.71.6-8.97.44.05.36.357.8%
20185.5-3.4-10.61.1-1.90.37.4-0.30.7-8.8-0.3-19.6-28.5%
2017-6.17.40.0-0.92.410.52.3-0.26.91.03.2-1.427.0%
2016———11.00.6-9.03.79.0-1.14.115.15.443.5%

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 41.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 94.7% of variance. Idiosyncratic stock-specific factors contribute 13.5%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0111096.738885490779
2016-05-0111166.274989537393
2016-06-0110164.021504684031
2016-07-0110542.57476740817
2016-08-0111488.33016772366
2016-09-0111365.579628496927
2016-10-0111827.608408717766
2016-11-0113614.750667997296
2016-12-0114348.74287737823
2017-01-0113479.541576795544
2017-02-0114481.827254289672
2017-03-0114484.241702346844
2017-04-0114352.960113318097
2017-05-0114697.7111032418
2017-06-0116236.905643369928
2017-07-0116618.066509995813
2017-08-0116592.60213115282
2017-09-0117741.364324115508
2017-10-0117926.729549624957
2017-11-0118493.706338730968
2017-12-0118226.700576248273
2018-01-0119223.674468016612
2018-02-0118566.26855100924
2018-03-0116601.19756623636
2018-04-0116790.554679200337
2018-05-0116479.605962077072
2018-06-0116536.425973022568
2018-07-0117764.54302546438
2018-08-0117714.90197340888
2018-09-0117839.229952032965
2018-10-0116277.597141293501
2018-11-0116221.903872774683
2018-12-0113034.607088819497
2019-01-0116139.265363937804
2019-02-0116131.70009335866
2019-03-0115687.956733090816
2019-04-0117826.063161961178
2019-05-0115771.174709461417
2019-06-0117770.78839777227
2019-07-0118057.52824904227
2019-08-0116452.177832147572
2019-09-0117661.494382384186
2019-10-0118372.243505134727
2019-11-0119343.01258732254
2019-12-0120571.2584103274
2020-01-0119287.222740881436
2020-02-0116448.95856807134
2020-03-0110917.586839648457
2020-04-0112586.839648456362
2020-05-0112550.172230628079
2020-06-0113385.796606895663
2020-07-0113232.94594855616
2020-08-0113526.671602871584
2020-09-0111407.172520361846
2020-10-0111095.80529890867
2020-11-0114752.470785178508
2020-12-0116517.818626661945
2021-01-0115667.09590187683
2021-02-0117798.731609953968
2021-03-0119654.798313105624
2021-04-0119380.710169655216
2021-05-0121412.90281041754
2021-06-0119247.400444258445
2021-07-0118533.238901587098
2021-08-0119709.042912790137
2021-09-0119234.8775070019
2021-10-0119092.714805395484
2021-11-0117585.39097962206
2021-12-0116671.602871583556
2022-01-0117977.40076618485
2022-02-0116480.15323697003
2022-03-0114858.030454238162
2022-04-0113552.135981714582
2022-05-0115013.875028168562
2022-06-0112928.081640536973
2022-07-0114733.283971284163
2022-08-0113856.098895792424
2022-09-0111829.218040755884
2022-10-0113018.67173164215
2022-11-0113901.587097189582
2022-12-0112988.410649325566
2023-01-0114995.68618613785
2023-02-0114699.868010172873
2023-03-0113597.881724237839
2023-04-0113799.729581817597
2023-05-0112993.49708656601
2023-06-0113497.762611467018
2023-07-0113972.700640633551
2023-08-0112245.629849016515
2023-09-0112198.177896532852
2023-10-0111711.811479895698
2023-11-0113849.69256028072
2023-12-0115453.980620030261
2024-01-0116874.995975919905
2024-02-0116829.797508289605
2024-03-0119180.343173550526
2024-04-0118601.03660303255
2024-05-0119062.453723078906
2024-06-0119414.254901329557
2024-07-0119848.69458841709
2024-08-0119347.80929079612
2024-09-0119335.447316743393
2024-10-0119820.365064546244
2024-11-0122083.926214467374
2024-12-0121934.359205485627
2025-01-0125374.561375269615
2025-02-0125085.889965553877
2025-03-0122274.50664778032
2025-04-0121455.558059427618
2025-05-0123822.13565978817
2025-06-0126921.64311238451
2025-07-0129635.32176544442
2025-08-0130743.90754273573
2025-09-0132313.42755046197
2025-10-0132227.473199626565
2025-11-0133178.63696359012
2025-12-0137370.794836300425
2026-01-0137056.94878150855
2026-02-0135473.07085600232
2026-03-0136509.67388854908
2026-04-0141637.96156198694
Annual Return Matrix
YearAnnual Return
20170.27026463098616826
2018-0.2848619510540892
20190.5782031840432309
2020-0.19704384159748356
20210.009310203023623398
2022-0.22092610114507505
20230.18982845840593465
20240.4193339402183536
20250.7037559422731738
20260.11418453218291091
Total Factor Risk
0.4111502287499074
VTI.US Exposure
0.9467668391674225
VEA.US Exposure
0.08643046915799572
VWO.US Exposure
0.010503567353781666
QQQ.US Exposure
-0.08887139654271732
VTV.US Exposure
0.02082914672422272
IJR.US Exposure
-0.001188848415406802
QUAL.US Exposure
-0.10828041819264132
SHV.US Exposure
0.012045504678082974
TLT.US Exposure
-0.0038532368561076747
LQD.US Exposure
0.05521073353555697
HYG.US Exposure
-0.007475787381438386
GLD.US Exposure
-0.0037532563233330274
USO.US Exposure
-0.0004823828255249894
VNQ.US Exposure
-0.05593793021474079
BTC-USD.CC Exposure
0.00003850887831998377
CPER.US Exposure
-0.0012520973946230838
VIX.INDX Exposure
-0.012602465966777597
UUP.US Exposure
-0.004714825767144989
TIP.US Exposure
0.021848826018496047
Idiosyncratic Exposure
0.13473905036657752
Value Score
43.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
24.1
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
41.1%

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 →16.5x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.01%
Market Cap$201.6B
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 →
+12.9%
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 →
+23.9%
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 →
1.8% 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 →
1.08
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Citigroup Inc. a high-risk investment?

Citigroup Inc. (C.US) has an annualized volatility of 41.1% and experienced a maximum drawdown of 46.9% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, C.US has generated a Compound Annual Growth Rate (CAGR) of 14.2%. 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.

Run a Full Backtest on Citigroup Inc.

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest