Pair Correlation Between Bitstamp Ethereum and BitTrex Ethereum

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

Bitstamp

Ethereum on Bitstamp in USD
 844.88 
4.02  0.47%
Market Cap: 23.6 B
 4.88 

BitTrex

Ethereum on BitTrex in USD
 840.00 
1.90  0.23%
Market Cap: 2.6 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bitstamp Ethereum USD is expected to generate 1.25 times more return on investment than BitTrex Ethereum. However, Bitstamp Ethereum is 1.25 times more volatile than BitTrex Ethereum USD. It trades about -0.07 of its potential returns per unit of risk. BitTrex Ethereum USD is currently generating about -0.11 per unit of risk. If you would invest  112,045  in Bitstamp Ethereum USD on January 26, 2018 and sell it today you would lose (27,557)  from holding Bitstamp Ethereum USD or give up 24.59% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Bitstamp Ethereum and BitTrex Ethereum
0.89

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Bitstamp Ethereum USD

  
0 

Risk-Adjusted Performance

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

BitTrex Ethereum USD

  
0 

Risk-Adjusted Performance

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