Pair Correlation Between Poloniex Ethereum and BitTrex Ethereum

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

Poloniex

Ethereum on Poloniex in USD
 933.25 
37.25  3.84%
Market Cap: 9.1 B
 8.25 

BitTrex

Ethereum on BitTrex in USD
 925.00 
42.22  4.37%
Market Cap: 6.4 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Poloniex Ethereum USD is expected to generate 0.96 times more return on investment than BitTrex Ethereum. However, Poloniex Ethereum USD is 1.04 times less risky than BitTrex Ethereum. It trades about -0.06 of its potential returns per unit of risk. BitTrex Ethereum USD is currently generating about -0.06 per unit of risk. If you would invest  115,077  in Poloniex Ethereum USD on January 19, 2018 and sell it today you would lose (20,827)  from holding Poloniex Ethereum USD or give up 18.1% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Poloniex Ethereum and BitTrex Ethereum
0.89

Parameters

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

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Poloniex Ethereum USD

  
0 

Risk-Adjusted Performance

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

BitTrex Ethereum USD

  
0 

Risk-Adjusted Performance

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