Pair Correlation Between Exmo Bitcoin and BitBay Bitcoin

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

Exmo

Bitcoin on Exmo in USD
 12,935 
120.26  0.94%
Market Cap: 112.8 B
 1,136 

BitBay

Bitcoin on BitBay in USD
 11,800 
(100.5)  0.84%
Market Cap: 1.2 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Exmo Bitcoin USD is expected to generate 1.17 times more return on investment than BitBay Bitcoin. However, Exmo Bitcoin is 1.17 times more volatile than BitBay Bitcoin USD. It trades about -0.07 of its potential returns per unit of risk. BitBay Bitcoin USD is currently generating about -0.16 per unit of risk. If you would invest  1,625,011  in Exmo Bitcoin USD on December 20, 2017 and sell it today you would lose (345,101)  from holding Exmo Bitcoin USD or give up 21.24% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Exmo Bitcoin and BitBay Bitcoin
0.95

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 Exmo 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 Exmo 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 Exmo 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 Exmo Bitcoin i.e. Exmo Bitcoin and BitBay Bitcoin go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 
      Returns 

Exmo Bitcoin USD

  
0 

Risk-Adjusted Performance

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

Exmo Bitcoin USD

Pair trading matchups for Exmo 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