Pair Correlation Between Poloniex Ethereum and Bitstamp Ethereum

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

Poloniex

Ethereum on Poloniex in USD
 682 
(15.18)  2.18%
Market Cap: 389.3 M
(3.67)

Bitstamp

Ethereum on Bitstamp in USD
 685.67 
(16.69)  2.38%
Market Cap: 746.3 M
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Poloniex Ethereum is expected to generate 1.01 times less return on investment than Bitstamp Ethereum. But when comparing it to its historical volatility, Poloniex Ethereum USD is 1.16 times less risky than Bitstamp Ethereum. It trades about 0.36 of its potential returns per unit of risk. Bitstamp Ethereum USD is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  33,173  in Bitstamp Ethereum USD on November 16, 2017 and sell it today you would earn a total of  34,777  from holding Bitstamp Ethereum USD or generate 104.84% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Poloniex Ethereum and Bitstamp Ethereum
0.91

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 Poloniex 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 Poloniex 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 Poloniex 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 Poloniex Ethereum i.e. Poloniex Ethereum and Bitstamp Ethereum go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Poloniex Ethereum USD

  
23 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Poloniex Ethereum USD are ranked lower than 23 (%) of all global equities and portfolios over the last 30 days.

Bitstamp Ethereum USD

  
20 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Bitstamp Ethereum USD are ranked lower than 20 (%) of all global equities and portfolios over the last 30 days.