Correlation Analysis Between Kraken Ethereum and Bitstamp Ethereum

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

Kraken Ethereum USD  vs.  Bitstamp Ethereum USD

Kraken

Ethereum on Kraken in USD

 209.16 
11.96  6.06%
Market Cap: 3.6 B
  

Bitstamp

Ethereum on Bitstamp in USD

 209.84 
13.90  7.09%
Market Cap: 48.5 M
(0.68)
0.33% Risk Free Arbitrage
All Coins Arbitrage Correlation
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Kraken Ethereum USD is expected to under-perform the Bitstamp Ethereum. But the crypto apears to be less risky and, when comparing its historical volatility, Kraken Ethereum USD is 1.06 times less risky than Bitstamp Ethereum. The crypto trades about -0.17 of its potential returns per unit of risk. The Bitstamp Ethereum USD is currently generating about -0.15 of returns per unit of risk over similar time horizon. If you would invest  27,916  in Bitstamp Ethereum USD on August 19, 2018 and sell it today you would lose (6,726)  from holding Bitstamp Ethereum USD or give up 24.09% of portfolio value over 30 days.

Pair Corralation between Kraken Ethereum and Bitstamp Ethereum

1.0
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

No risk reduction

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

Comparative Volatility

 Predicted Return Density 
      Returns 
Kraken Ethereum USD  
0 

Risk-Adjusted Performance

Over the last 30 days Kraken Ethereum USD has generated negative risk-adjusted returns adding no value to investors with long positions.
Bitstamp Ethereum USD  
0 

Risk-Adjusted Performance

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

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