Pair Correlation Between Coinbase Ethereum and BitTrex Ethereum

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

Coinbase

Ethereum on Coinbase in USD
 864.68 
57.39  7.11%
Market Cap: 91.3 B
(0.42)
0.048573% Risk Free Arbitrage
All Coins Ethereum Arbitrage Ethereum Correlation

BitTrex

Ethereum on BitTrex in USD
 865.10 
59.10  7.33%
Market Cap: 6.4 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Coinbase Ethereum USD is expected to under-perform the BitTrex Ethereum. But the crypto apears to be less risky and, when comparing its historical volatility, Coinbase Ethereum USD is 1.11 times less risky than BitTrex Ethereum. The crypto trades about -0.08 of its potential returns per unit of risk. The BitTrex Ethereum USD is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  107,026  in BitTrex Ethereum USD on January 24, 2018 and sell it today you would lose (20,516)  from holding BitTrex Ethereum USD or give up 19.17% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Coinbase Ethereum and BitTrex Ethereum
0.72

Parameters

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

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

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.

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.