Pair Correlation Between Kraken Bitcoin and Bitstamp Bitcoin

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

Kraken

Bitcoin on Kraken in USD
 9,623 
78.50  0.82%
Market Cap: 903.3 B
(39.78)

Bitstamp

Bitcoin on Bitstamp in USD
 9,663 
33.36  0.34%
Market Cap: 1145.4 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Kraken Bitcoin USD is expected to under-perform the Bitstamp Bitcoin. But the crypto apears to be less risky and, when comparing its historical volatility, Kraken Bitcoin USD is 1.14 times less risky than Bitstamp Bitcoin. The crypto trades about -0.07 of its potential returns per unit of risk. The Bitstamp Bitcoin USD is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  1,155,600  in Bitstamp Bitcoin USD on January 26, 2018 and sell it today you would lose (189,282)  from holding Bitstamp Bitcoin USD or give up 16.38% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Kraken Bitcoin and Bitstamp Bitcoin
1.0

Parameters

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 Kraken 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 Kraken 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 Kraken 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 Kraken Bitcoin i.e. Kraken Bitcoin and Bitstamp Bitcoin go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

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.

Bitstamp Bitcoin USD

  
0 

Risk-Adjusted Performance

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