Pair Correlation Between Kraken Ethereum and Bitstamp Ethereum

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

Kraken

Ethereum on Kraken in USD
 703 
70.46  11.14%
Market Cap: 5.2 B
 52.26 

Bitstamp

Ethereum on Bitstamp in USD
 650.74 
(67.84)  9.44%
Market Cap: 746.3 M
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Kraken Ethereum is expected to generate 1.05 times less return on investment than Bitstamp Ethereum. But when comparing it to its historical volatility, Kraken Ethereum USD is 1.17 times less risky than Bitstamp Ethereum. It trades about 0.39 of its potential returns per unit of risk. Bitstamp Ethereum USD is currently generating about 0.35 of returns per unit of risk over similar time horizon. If you would invest  32,955  in Bitstamp Ethereum USD on November 15, 2017 and sell it today you would earn a total of  38,903  from holding Bitstamp Ethereum USD or generate 118.05% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Kraken Ethereum and Bitstamp Ethereum
0.98

Parameters

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

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Kraken Ethereum USD

  
25 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Kraken Ethereum USD are ranked lower than 25 (%) of all global equities and portfolios over the last 30 days.

Bitstamp Ethereum USD

  
22 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bitstamp Ethereum USD are ranked lower than 22 (%) of all global equities and portfolios over the last 30 days.