Correlation Analysis Between itBit Bitcoin and Bitstamp Bitcoin

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

itBit Bitcoin USD  vs.  Bitstamp Bitcoin USD

itBit

Bitcoin on itBit in USD

 6,446 
41.41  0.65%
Market Cap: 46.4 B
  

Bitstamp

Bitcoin on Bitstamp in USD

 6,446 
20.49  0.32%
Market Cap: 11.9 B
 0.69 
0.010704% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, itBit Bitcoin USD is expected to under-perform the Bitstamp Bitcoin. In addition to that, itBit Bitcoin is 1.13 times more volatile than Bitstamp Bitcoin USD. It trades about -0.09 of its total potential returns per unit of risk. Bitstamp Bitcoin USD is currently generating about -0.09 per unit of volatility. If you would invest  669,442  in Bitstamp Bitcoin USD on September 21, 2018 and sell it today you would lose (24,870)  from holding Bitstamp Bitcoin USD or give up 3.72% of portfolio value over 30 days.

Pair Corralation between itBit Bitcoin and Bitstamp Bitcoin

0.95
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.65%
ValuesDaily Returns

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
itBit Bitcoin USD  
0 

Risk-Adjusted Performance

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

itBit Bitcoin USD

Pair trading matchups for itBit Bitcoin

Bitstamp Bitcoin USD  
0 

Risk-Adjusted Performance

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

Bitstamp Bitcoin USD

Pair trading matchups for Bitstamp Bitcoin

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GOOG - USA Stock
Alphabet
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