Pair Correlation Between Bitstamp Bitcoin and Kraken Bitcoin

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

Bitstamp

Bitcoin on Bitstamp in USD
 11,560 
260.18  2.3%
Market Cap: 4271.2 B
(39.72)

Kraken

Bitcoin on Kraken in USD
 11,600 
339.9  3.02%
Market Cap: 1160.2 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bitstamp Bitcoin USD is expected to under-perform the Kraken Bitcoin. In addition to that, Bitstamp Bitcoin is 1.02 times more volatile than Kraken Bitcoin USD. It trades about -0.13 of its total potential returns per unit of risk. Kraken Bitcoin USD is currently generating about -0.12 per unit of volatility. If you would invest  1,665,380  in Kraken Bitcoin USD on December 19, 2017 and sell it today you would lose (539,380)  from holding Kraken Bitcoin USD or give up 32.39% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Bitstamp Bitcoin and Kraken Bitcoin
0.99

Parameters

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

Diversification

No risk reduction

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Bitstamp Bitcoin USD

  
0 

Risk-Adjusted Performance

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

Bitstamp Bitcoin USD

Pair trading matchups for Bitstamp Bitcoin

Kraken Bitcoin USD

  
0 

Risk-Adjusted Performance

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

Kraken Bitcoin USD

Pair trading matchups for Kraken Bitcoin