Correlation Between Citigroup and Baron Asset

Can any of the company-specific risk be diversified away by investing in both Citigroup and Baron Asset at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Citigroup and Baron Asset into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citigroup and Baron Asset Fund, you can compare the effects of market volatilities on Citigroup and Baron Asset and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Citigroup with a short position of Baron Asset. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Baron Asset.

Diversification Opportunities for Citigroup and Baron Asset

0.08

Correlation Coefficient

Citigroup  Baron Asset

Significant diversification

The 3 months correlation between Citigroup and Baron is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Baron Asset Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Baron Asset Fund and Citigroup is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Citigroup are associated (or correlated) with Baron Asset. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Baron Asset Fund has no effect on the direction of Citigroup i.e., Citigroup and Baron Asset go up and down completely randomly.

Pair Corralation between Citigroup and Baron Asset

Taking into account the 90-day investment horizon Citigroup is expected to generate 0.86 times more return on investment than Baron Asset. However, Citigroup is 1.16 times less risky than Baron Asset. It trades about 0.13 of its potential returns per unit of risk. Baron Asset Fund is currently generating about -0.09 per unit of risk. If you would invest  6,205  in Citigroup on September 28, 2024 and sell it today you would earn a total of  895.00  from holding Citigroup or generate 14.42% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Citigroup  vs.  Baron Asset Fund

Citigroup

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of rather uncertain fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

Baron Asset Fund

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Baron Asset Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Citigroup and Baron Asset

The main advantage of trading using opposite Citigroup and Baron Asset positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Baron Asset can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Baron Asset will offset losses from the drop in Baron Asset's long position.

The idea behind Citigroup and Baron Asset Fund pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Fundamental Analysis module to view fundamental data based on most recent published financial statements.