This module allows you to analyze existing cross correlation between Kraken Bitcoin USD and Bitstamp Bitcoin USD. You can compare the effects of market volatilities on Kraken 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 Kraken Bitcoin with a short position of Bitstamp Bitcoin. See also your portfolio center
. Please also check ongoing floating volatility patterns of Kraken Bitcoin
and Bitstamp Bitcoin
Kraken Bitcoin USD vs Bitstamp Bitcoin USD
Assuming 30 trading days horizon, Kraken Bitcoin USD is expected to under-perform the Bitstamp Bitcoin. In addition to that, Kraken Bitcoin is 1.01 times more volatile than Bitstamp Bitcoin USD. It trades about -0.19 of its total potential returns per unit of risk. Bitstamp Bitcoin USD is currently generating about -0.19 per unit of volatility. If you would invest 1,894,057 in Bitstamp Bitcoin USD on December 17, 2017 and sell it today you would lose (749,929) from holding Bitstamp Bitcoin USD or give up 39.59% of portfolio value over 30 days.
|Time Period||1 Month [change]|
No risk reduction
Overlapping area represents the amount of risk that can be diversified away by holding Kraken 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 Kraken 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 Kraken 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 Kraken Bitcoin i.e. Kraken Bitcoin and Bitstamp Bitcoin go up and down completely randomly.
Over the last 30 days Kraken Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Over the last 30 days Bitstamp Bitcoin USD has generated negative risk-adjusted returns adding no value to investors with long positions.