Correlation Analysis Between Exmo Ethereum and Kraken Ethereum

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

Exmo Ethereum USD  vs.  Kraken Ethereum USD

Exmo

Ethereum on Exmo in USD

 188.03 
0.97  0.51%
Market Cap: 76 M
  

Kraken

Ethereum on Kraken in USD

 176.56 
0.30  0.17%
Market Cap: 5.3 B
 11.47 
6.10% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Exmo Ethereum USD is expected to generate 0.85 times more return on investment than Kraken Ethereum. However, Exmo Ethereum USD is 1.17 times less risky than Kraken Ethereum. It trades about -0.16 of its potential returns per unit of risk. Kraken Ethereum USD is currently generating about -0.15 per unit of risk. If you would invest  21,080  in Exmo Ethereum USD on October 16, 2018 and sell it today you would lose (2,569)  from holding Exmo Ethereum USD or give up 12.19% of portfolio value over 30 days.

Pair Corralation between Exmo Ethereum and Kraken Ethereum

0.62
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Exmo Ethereum USD diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Exmo 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 Exmo 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 Exmo 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 Exmo Ethereum i.e. Exmo Ethereum and Kraken Ethereum go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Exmo Ethereum USD  
0 

Risk-Adjusted Performance

Over the last 30 days Exmo 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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