Pair Correlation Between Poloniex Augur and Yobit EthereumScrypt

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

Poloniex

Augur on Poloniex in USD
 42.89 
0.29  0.68%
Market Cap: 5 M

Yobit

EthereumScrypt on Yobit in USD
 0.03 
0.01  25.00%
Market Cap: 2.0
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Poloniex Augur USD is expected to under-perform the Yobit EthereumScrypt. But the crypto apears to be less risky and, when comparing its historical volatility, Poloniex Augur USD is 9.88 times less risky than Yobit EthereumScrypt. The crypto trades about -0.42 of its potential returns per unit of risk. The Yobit EthereumScrypt USD is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  3.30  in Yobit EthereumScrypt USD on January 26, 2018 and sell it today you would lose (0.30)  from holding Yobit EthereumScrypt USD or give up 9.09% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Poloniex Augur and Yobit EthereumScrypt
0.14

Parameters

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

Diversification

Average diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

Poloniex Augur USD

  
0 

Risk-Adjusted Performance

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

Yobit EthereumScrypt USD

  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Yobit EthereumScrypt USD are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.