Correlation Analysis Between Exmo Bitcoin and Kraken Bitcoin

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

Exmo Bitcoin USD  vs.  Kraken Bitcoin USD

Exmo

Bitcoin on Exmo in USD
 6,740 
92.40  1.39%
Market Cap: 21.8 B
  

Kraken

Bitcoin on Kraken in USD
 6,735 
121.20  1.83%
Market Cap: 104 B
 5.00 
0.07% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Exmo Bitcoin USD is expected to under-perform the Kraken Bitcoin. But the crypto apears to be less risky and, when comparing its historical volatility, Exmo Bitcoin USD is 1.2 times less risky than Kraken Bitcoin. The crypto trades about -0.22 of its potential returns per unit of risk. The Kraken Bitcoin USD is currently generating about -0.18 of returns per unit of risk over similar time horizon. If you would invest  805,680  in Kraken Bitcoin USD on May 21, 2018 and sell it today you would lose (143,200)  from holding Kraken Bitcoin USD or give up 17.77% of portfolio value over 30 days.

Pair Corralation between Exmo Bitcoin and Kraken Bitcoin

1.0
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

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

Comparative Volatility

 Predicted Return Density 
      Returns 
Exmo Bitcoin USD  
0 

Risk-Adjusted Performance

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

Risk-Adjusted Performance

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

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