Correlation Analysis Between Bitstamp Ethereum and Yobit Waves

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

Bitstamp Ethereum USD  vs.  Yobit Waves USD

Bitstamp

Ethereum on Bitstamp in USD

 89.02 
1.02  1.16%
Market Cap: 52.2 M
  

Yobit

Waves on Yobit in USD

 1.97 
0.20  11.30%
Market Cap: 6.0
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bitstamp Ethereum USD is expected to under-perform the Yobit Waves. But the crypto apears to be less risky and, when comparing its historical volatility, Bitstamp Ethereum USD is 1.56 times less risky than Yobit Waves. The crypto trades about -0.31 of its potential returns per unit of risk. The Yobit Waves USD is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  202.00  in Yobit Waves USD on November 12, 2018 and sell it today you would lose (12.00)  from holding Yobit Waves USD or give up 5.94% of portfolio value over 30 days.

Pair Corralation between Bitstamp Ethereum and Yobit Waves

0.61
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.67%
ValuesDaily Returns

Diversification

Bitstamp Ethereum USD diversification synergy

Poor diversification

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

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Yobit Waves USD are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.

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