Correlation Analysis Between Bitstamp Ethereum and Kraken Augur

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

Bitstamp Ethereum USD  vs.  Kraken Augur USD

Bitstamp

Ethereum on Bitstamp in USD

 213.65 
6.40  2.91%
Market Cap: 931.1 M
  

Kraken

Augur on Kraken in USD

 12.54 
0.63  4.78%
Market Cap: 66.4 K
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bitstamp Ethereum USD is expected to generate 1.27 times more return on investment than Kraken Augur. However, Bitstamp Ethereum is 1.27 times more volatile than Kraken Augur USD. It trades about -0.12 of its potential returns per unit of risk. Kraken Augur USD is currently generating about -0.32 per unit of risk. If you would invest  28,319  in Bitstamp Ethereum USD on August 26, 2018 and sell it today you would lose (6,954)  from holding Bitstamp Ethereum USD or give up 24.56% of portfolio value over 30 days.

Pair Corralation between Bitstamp Ethereum and Kraken Augur

0.88
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 Bitstamp Ethereum USD and Kraken Augur USD in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Kraken Augur USD and Bitstamp 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 Bitstamp Ethereum USD are associated (or correlated) with Kraken Augur. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kraken Augur USD has no effect on the direction of Bitstamp Ethereum i.e. Bitstamp Ethereum and Kraken Augur go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 
Bitstamp Ethereum USD  
0 

Risk-Adjusted Performance

Over the last 30 days Bitstamp Ethereum USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Kraken Augur USD  
0 

Risk-Adjusted Performance

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

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