Pair Correlation Between BitBay Bitcoin and Exmo Bitcoin

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

BitBay

Bitcoin on BitBay in USD
 12,877 
677.3  5.55%
Market Cap: 1.2 B
(122.6)

Exmo

Bitcoin on Exmo in USD
 13,000 
423.94  3.37%
Market Cap: 112.8 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BitBay Bitcoin USD is expected to under-perform the Exmo Bitcoin. But the crypto apears to be less risky and, when comparing its historical volatility, BitBay Bitcoin USD is 1.19 times less risky than Exmo Bitcoin. The crypto trades about -0.13 of its potential returns per unit of risk. The Exmo Bitcoin USD is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  1,625,011  in Exmo Bitcoin USD on December 20, 2017 and sell it today you would lose (325,011)  from holding Exmo Bitcoin USD or give up 20.0% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between BitBay Bitcoin and Exmo Bitcoin
0.94

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 BitBay Bitcoin USD and Exmo Bitcoin USD in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Exmo Bitcoin USD and BitBay 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 BitBay Bitcoin USD are associated (or correlated) with Exmo Bitcoin. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exmo Bitcoin USD has no effect on the direction of BitBay Bitcoin i.e. BitBay Bitcoin and Exmo Bitcoin go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

BitBay Bitcoin USD

  
0 

Risk-Adjusted Performance

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

BitBay Bitcoin USD

Pair trading matchups for BitBay Bitcoin

Exmo Bitcoin USD

  
0 

Risk-Adjusted Performance

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

Exmo Bitcoin USD

Pair trading matchups for Exmo Bitcoin