Pair Correlation Between Gemini Ethereum and Bitstamp Ethereum

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

Gemini

Ethereum on Gemini in USD
 839.12 
6.50  0.78%
Market Cap: 12.9 B
(0.88)

Bitstamp

Ethereum on Bitstamp in USD
 840.00 
0.94  0.11%
Market Cap: 23.6 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Gemini Ethereum USD is expected to under-perform the Bitstamp Ethereum. But the crypto apears to be less risky and, when comparing its historical volatility, Gemini Ethereum USD is 1.11 times less risky than Bitstamp Ethereum. The crypto trades about -0.1 of its potential returns per unit of risk. The Bitstamp Ethereum USD is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  112,045  in Bitstamp Ethereum USD on January 26, 2018 and sell it today you would lose (28,951)  from holding Bitstamp Ethereum USD or give up 25.84% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Gemini Ethereum and Bitstamp Ethereum
0.62

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy96.67%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Gemini Ethereum USD

  
0 

Risk-Adjusted Performance

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

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.