Pair Correlation Between Exmo Ethereum and Yobit Ethereum

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

Exmo

Ethereum on Exmo in USD
 947.25 
32.75  3.34%
Market Cap: 1.3 B
(36.31)

Yobit

Ethereum on Yobit in USD
 983.56 
34.40  3.38%
Market Cap: 287.9 M
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Exmo Ethereum USD is expected to under-perform the Yobit Ethereum. But the crypto apears to be less risky and, when comparing its historical volatility, Exmo Ethereum USD is 1.33 times less risky than Yobit Ethereum. The crypto trades about -0.15 of its potential returns per unit of risk. The Yobit Ethereum USD is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  125,404  in Yobit Ethereum USD on January 19, 2018 and sell it today you would lose (23,608)  from holding Yobit Ethereum USD or give up 18.83% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Exmo Ethereum and Yobit Ethereum
0.96

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy96.77%
ValuesDaily Returns

Diversification

Almost no diversification

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

Yobit Ethereum USD

  
0 

Risk-Adjusted Performance

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