Correlation Analysis Between itBit Bitcoin and Kraken Bitcoin

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

itBit Bitcoin USD  vs.  Kraken Bitcoin USD

itBit

Bitcoin on itBit in USD
 6,663 
3.89  0.06%
Market Cap: 64.2 B
  

Kraken

Bitcoin on Kraken in USD
 6,739 
85.10  1.28%
Market Cap: 104 B
(76.43)
1.15% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, itBit Bitcoin USD is expected to generate 0.97 times more return on investment than Kraken Bitcoin. However, itBit Bitcoin USD is 1.03 times less risky than Kraken Bitcoin. It trades about -0.11 of its potential returns per unit of risk. Kraken Bitcoin USD is currently generating about -0.11 per unit of risk. If you would invest  751,839  in itBit Bitcoin USD on May 23, 2018 and sell it today you would lose (85,572)  from holding itBit Bitcoin USD or give up 11.38% of portfolio value over 30 days.

Pair Corralation between itBit Bitcoin and Kraken Bitcoin

1.0
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy96.77%
ValuesDaily Returns

Diversification

No risk reduction

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

Risk-Adjusted Performance

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

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Alphabet
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