Pair Correlation Between LakeBTC Bitcoin and itBit Bitcoin

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

LakeBTC

Bitcoin on LakeBTC in USD
 12,646 
663.87  5.54%
Market Cap: 447.4 B
 1,346 
10.64% Risk Free Arbitrage
All Coins Bitcoin Arbitrage Bitcoin Correlation

itBit

Bitcoin on itBit in USD
 11,300 
951.01  9.19%
Market Cap: 311.3 B
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, LakeBTC Bitcoin USD is expected to generate 0.89 times more return on investment than itBit Bitcoin. However, LakeBTC Bitcoin USD is 1.13 times less risky than itBit Bitcoin. It trades about -0.12 of its potential returns per unit of risk. itBit Bitcoin USD is currently generating about -0.13 per unit of risk. If you would invest  1,693,974  in LakeBTC Bitcoin USD on December 19, 2017 and sell it today you would lose (495,763)  from holding LakeBTC Bitcoin USD or give up 29.27% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between LakeBTC Bitcoin and itBit Bitcoin
0.97

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

Comparative Volatility

 Predicted Return Density 
      Returns 

LakeBTC Bitcoin USD

  
0 

Risk-Adjusted Performance

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

LakeBTC Bitcoin USD

Pair trading matchups for LakeBTC Bitcoin

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