Pair Correlation Between Coinbase Bitcoin and Poloniex Augur

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

Coinbase

Bitcoin on Coinbase in USD
 11,009 
703.68  6.01%
Market Cap: 1783.9 B

Poloniex

Augur on Poloniex in USD
 48.00 
2.01  4.02%
Market Cap: 40.2 M
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Coinbase Bitcoin USD is expected to generate 1.17 times more return on investment than Poloniex Augur. However, Coinbase Bitcoin is 1.17 times more volatile than Poloniex Augur USD. It trades about 0.03 of its potential returns per unit of risk. Poloniex Augur USD is currently generating about -0.38 per unit of risk. If you would invest  1,107,001  in Coinbase Bitcoin USD on January 22, 2018 and sell it today you would lose (6,483)  from holding Coinbase Bitcoin USD or give up 0.59% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Coinbase Bitcoin and Poloniex Augur
0.28

Parameters

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

Diversification

Modest diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Coinbase Bitcoin USD

  
1 

Risk-Adjusted Performance

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

Poloniex Augur USD

  
0 

Risk-Adjusted Performance

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