Pair Correlation Between Coinbase Bitcoin and BitBay Bitcoin

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

Coinbase

Bitcoin on Coinbase in USD
 11,921 
(678)  5.38%
Market Cap: 1659.4 B
(543.42)

BitBay

Bitcoin on BitBay in USD
 12,464 
(135.58)  1.08%
Market Cap: 1.2 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Coinbase Bitcoin USD is expected to generate 1.25 times more return on investment than BitBay Bitcoin. However, Coinbase Bitcoin is 1.25 times more volatile than BitBay Bitcoin USD. It trades about -0.06 of its potential returns per unit of risk. BitBay Bitcoin USD is currently generating about -0.09 per unit of risk. If you would invest  1,581,799  in Coinbase Bitcoin USD on December 22, 2017 and sell it today you would lose (367,318)  from holding Coinbase Bitcoin USD or give up 23.22% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Coinbase Bitcoin and BitBay Bitcoin
0.98

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy96.77%
ValuesDaily Returns

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Coinbase Bitcoin USD

  
0 

Risk-Adjusted Performance

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

Coinbase Bitcoin USD

Pair trading matchups for Coinbase Bitcoin

BitBay Bitcoin USD

  
0 

Risk-Adjusted Performance

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

BitBay Bitcoin USD

Pair trading matchups for BitBay Bitcoin