This module allows you to analyze existing cross correlation between Bitstamp Bitcoin USD and Coinbase Bitcoin USD. You can compare the effects of market volatilities on Bitstamp Bitcoin and Coinbase 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 Bitstamp Bitcoin with a short position of Coinbase Bitcoin. See also your portfolio center
. Please also check ongoing floating volatility patterns of Bitstamp Bitcoin
and Coinbase Bitcoin
Bitstamp Bitcoin USD vs Coinbase Bitcoin USD
Assuming 30 trading days horizon, Bitstamp Bitcoin USD is expected to under-perform the Coinbase Bitcoin. In addition to that, Bitstamp Bitcoin is 1.04 times more volatile than Coinbase Bitcoin USD. It trades about -0.07 of its total potential returns per unit of risk. Coinbase Bitcoin USD is currently generating about -0.06 per unit of volatility. If you would invest 1,371,801 in Coinbase Bitcoin USD on December 23, 2017 and sell it today you would lose (316,801) from holding Coinbase Bitcoin USD or give up 23.09% of portfolio value over 30 days.
|Time Period||1 Month [change]|
No risk reduction
Overlapping area represents the amount of risk that can be diversified away by holding Bitstamp Bitcoin USD and Coinbase Bitcoin USD in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Coinbase Bitcoin USD and Bitstamp 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 Bitstamp Bitcoin USD are associated (or correlated) with Coinbase Bitcoin. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Coinbase Bitcoin USD has no effect on the direction of Bitstamp Bitcoin i.e. Bitstamp Bitcoin and Coinbase Bitcoin go up and down completely randomly.
Over the last 30 days Bitstamp Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Coinbase Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.