Correlation Analysis Between Bitstamp Bitcoin and Coinbase Bitcoin

This module allows you to analyze existing cross correlation between Bitstamp Bitcoin USD and Coinbase Bitcoin USD. You can compare the effects of market volatilities on Bitstamp Bitcoin and Coinbase Bitcoin 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 Bitstamp Bitcoin with a short position of Coinbase Bitcoin. See also your portfolio center. Please also check ongoing floating volatility patterns of Bitstamp Bitcoin and Coinbase Bitcoin.
Horizon     30 Days    Login   to change
Symbolsvs

Bitstamp Bitcoin USD  vs.  Coinbase Bitcoin USD

Bitstamp

Bitcoin on Bitstamp in USD

 6,400 
9.70  0.15%
Market Cap: 11.9 B
  

Coinbase

Bitcoin on Coinbase in USD

 6,402 
15.66  0.25%
Market Cap: 51.6 B
(1.73)
0.027032% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bitstamp Bitcoin USD is expected to generate 0.9 times more return on investment than Coinbase Bitcoin. However, Bitstamp Bitcoin USD is 1.11 times less risky than Coinbase Bitcoin. It trades about -0.11 of its potential returns per unit of risk. Coinbase Bitcoin USD is currently generating about -0.13 per unit of risk. If you would invest  672,479  in Bitstamp Bitcoin USD on September 20, 2018 and sell it today you would lose (30,950)  from holding Bitstamp Bitcoin USD or give up 4.6% of portfolio value over 30 days.

Pair Corralation between Bitstamp Bitcoin and Coinbase Bitcoin

0.97
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.65%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding Bitstamp Bitcoin USD and Coinbase Bitcoin USD in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Coinbase Bitcoin USD and Bitstamp Bitcoin 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 Bitstamp Bitcoin USD are associated (or correlated) with Coinbase Bitcoin. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Coinbase Bitcoin USD has no effect on the direction of Bitstamp Bitcoin i.e. Bitstamp Bitcoin and Coinbase Bitcoin go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Bitstamp Bitcoin USD  
0 

Risk-Adjusted Performance

Over the last 30 days Bitstamp Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Coinbase Bitcoin USD  
0 

Risk-Adjusted Performance

Over the last 30 days Coinbase Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.

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