Pair Correlation Between Kraken Bitcoin and Exmo Bitcoin

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

Kraken

Bitcoin on Kraken in USD
 11,147 
610.3  5.79%
Market Cap: 365.9 B
(1,509)
13.53% Risk Free Arbitrage
All Coins Bitcoin Arbitrage Bitcoin Correlation

Exmo

Bitcoin on Exmo in USD
 12,656 
535.66  4.42%
Market Cap: 112.8 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Kraken Bitcoin USD is expected to under-perform the Exmo Bitcoin. In addition to that, Kraken Bitcoin is 1.08 times more volatile than Exmo Bitcoin USD. It trades about -0.19 of its total potential returns per unit of risk. Exmo Bitcoin USD is currently generating about -0.14 per unit of volatility. If you would invest  1,905,157  in Exmo Bitcoin USD on December 17, 2017 and sell it today you would lose (578,825)  from holding Exmo Bitcoin USD or give up 30.38% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Kraken Bitcoin and Exmo Bitcoin
0.95

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

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.

Kraken Bitcoin USD

Pair trading matchups for Kraken Bitcoin

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