Correlation Analysis Between Bitstamp Ethereum and Kraken Ethereum

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

Bitstamp Ethereum USD  vs.  Kraken Ethereum USD

Bitstamp

Ethereum on Bitstamp in USD

 150.56 
9.51  5.94%
Market Cap: 958.7 M
  

Kraken

Ethereum on Kraken in USD

 150.01 
22.24  12.91%
Market Cap: 5.3 B
 0.55 
0.37% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bitstamp Ethereum USD is expected to under-perform the Kraken Ethereum. But the crypto apears to be less risky and, when comparing its historical volatility, Bitstamp Ethereum USD is 1.25 times less risky than Kraken Ethereum. The crypto trades about -0.32 of its potential returns per unit of risk. The Kraken Ethereum USD is currently generating about -0.25 of returns per unit of risk over similar time horizon. If you would invest  19,860  in Kraken Ethereum USD on October 20, 2018 and sell it today you would lose (4,523)  from holding Kraken Ethereum USD or give up 22.77% of portfolio value over 30 days.

Pair Corralation between Bitstamp Ethereum and Kraken Ethereum

0.98
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.45%
ValuesDaily Returns

Diversification

Bitstamp Ethereum USD diversification synergy

Almost no diversification

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

Risk-Adjusted Performance

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

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