Correlation Analysis Between Kraken Ethereum and itBit Ethereum

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

Comparative Performance

Kraken Ethereum USD  
00

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. Despite weak performance in the last few months, the Crypto's basic indicators remain somewhat strong which may send shares a bit higher in September 2019. The current disturbance may also be a sign of long term up-swing for the entity investors.
itBit Ethereum USD  
00

Risk-Adjusted Performance

Over the last 30 days itBit Ethereum USD has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of weak performance in the last few months, the Crypto's fundamental drivers remain rather sound which may send shares a bit higher in September 2019. The ongoing tumult may also be a sign of longer-term up-swing for the entity shareholders.

Kraken Ethereum and itBit Ethereum Volatility Contrast

 Predicted Return Density 
      Returns 

Kraken Ethereum USD  vs.  itBit Ethereum USD

Kraken

Ethereum on Kraken in USD

 185.17 
(1.82)  0.97%
Market Cap: 1.4 B
  

itBit

Ethereum on itBit in USD

 184.85 
0.00  0.00%
Market Cap: 202.8 M
 0.32 
0.17% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Kraken Ethereum USD is expected to generate 1.01 times more return on investment than itBit Ethereum. However, Kraken Ethereum is 1.01 times more volatile than itBit Ethereum USD. It trades about -0.16 of its potential returns per unit of risk. itBit Ethereum USD is currently generating about -0.18 per unit of risk. If you would invest  31,527  in Kraken Ethereum USD on July 22, 2019 and sell it today you would lose (12,827)  from holding Kraken Ethereum USD or give up 40.69% of portfolio value over 30 days.

Pair Corralation between Kraken Ethereum and itBit Ethereum

0.85
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy95.35%
ValuesDaily Returns

Diversification Opportunities for Kraken Ethereum and itBit Ethereum

Kraken Ethereum USD diversification synergy

Very poor diversification

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