Correlation Analysis Between BitTrex Ethereum and Coinbase Ethereum

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

BitTrex Ethereum USD  vs.  Coinbase Ethereum USD

BitTrex

Ethereum on BitTrex in USD

 211.50 
1.44  0.68%
Market Cap: 14.5 M
  

Coinbase

Ethereum on Coinbase in USD

 209.00 
2.00  0.95%
Market Cap: 4.7 B
 2.50 
1.18% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BitTrex Ethereum USD is expected to under-perform the Coinbase Ethereum. In addition to that, BitTrex Ethereum is 1.65 times more volatile than Coinbase Ethereum USD. It trades about -0.12 of its total potential returns per unit of risk. Coinbase Ethereum USD is currently generating about -0.15 per unit of volatility. If you would invest  27,938  in Coinbase Ethereum USD on August 20, 2018 and sell it today you would lose (6,838)  from holding Coinbase Ethereum USD or give up 24.48% of portfolio value over 30 days.

Pair Corralation between BitTrex Ethereum and Coinbase Ethereum

0.89
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy73.33%
ValuesDaily Returns

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
BitTrex Ethereum USD  
0 

Risk-Adjusted Performance

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

Risk-Adjusted Performance

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

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