This module allows you to analyze existing cross correlation between Coinbase Bitcoin USD and Bitstamp Bitcoin USD. You can compare the effects of market volatilities on Coinbase Bitcoin and Bitstamp 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 Coinbase Bitcoin with a short position of Bitstamp Bitcoin. See also your portfolio center
. Please also check ongoing floating volatility patterns of Coinbase Bitcoin
and Bitstamp Bitcoin
Coinbase Bitcoin USD vs Bitstamp Bitcoin USD
Assuming 30 trading days horizon, Coinbase Bitcoin USD is expected to under-perform the Bitstamp Bitcoin. But the crypto apears to be less risky and, when comparing its historical volatility, Coinbase Bitcoin USD is 1.14 times less risky than Bitstamp Bitcoin. The crypto trades about -0.02 of its potential returns per unit of risk. The Bitstamp Bitcoin USD is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 1,125,972 in Bitstamp Bitcoin USD on January 24, 2018 and sell it today you would lose (97,144) from holding Bitstamp Bitcoin USD or give up 8.63% of portfolio value over 30 days.
|Time Period||1 Month [change]|
No risk reduction
Overlapping area represents the amount of risk that can be diversified away by holding Coinbase Bitcoin USD and Bitstamp Bitcoin USD in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bitstamp Bitcoin USD and Coinbase 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 Coinbase Bitcoin USD are associated (or correlated) with Bitstamp Bitcoin. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bitstamp Bitcoin USD has no effect on the direction of Coinbase Bitcoin i.e. Coinbase Bitcoin and Bitstamp Bitcoin go up and down completely randomly.
Over the last 30 days Coinbase Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Bitstamp Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.