30-дневная корреляция Пирсона с биткоином для SP500 и золота.

Биткоин по сравнению с коэффициентом рыночной капитализации традиционных финансовых рынков показывает отношение рыночной капитализации BTC к золоту, S & P 500 и рыночной капитализации традиционных компаний.

Correlation Tools

GOLD vs. BTC

Is Bitcoin an “Uncorrelated Asset”?

Some Bitcoin proponents like to say "Bitcoin“It is an uncorrelated asset,” meaning that its price movement is completely decoupled from the price movement of other asset classes. Investing in combinations of uncorrelated assets can reduce the overall risk in a portfolio and increase overall return. But is this really so?

Pearson correlation coefficient

Коэффициент корреляции Пирсона является полезным механизмом для измерения этой корреляции и оценки силы линейной связи между двумя наборами данных. Он принимает значения от -1 до 1. -1-это сильная отрицательная корреляция, 0 означает отсутствие корреляции вообще (некоррелируемая), а +1 означает сильную положительную корреляцию.

Looking at this research, the factor of 1 is essentially: If one asset goes up, then the one we're comparing it to tends to go up. The same thing happens the other way around. A good example of a coefficient of almost 1 is the index comparisonS & P 500with indexDow Jones. Both track the performance of blue chip stocks. Therefore, it is not surprising that the correlation chart for the S&P and Dow Jones looks like this:

To have enough data at hand, we took into account 5 coins with a long price history. They show a strong positive correlation. This is not news to those who have been following the market over the past two years.

However, it should be noted that this was not always the case.

Bitcoin vs Ethereum

Evaluating the development of the correlation coefficient between BTC and ETH since 2016 with a 180-day rolling window, the analysis returns something like this:

Start with almost no correlation. There were moments between them when they seemed to move uncorrelated. But this trend clearly points to a growing relationship between Bitcoin and Ethereum.

Bitcoin vs. Stocks

Setting aside the recent crash caused by the coronavirus, it is clear that Bitcoin's price movements are also uncorrelated with the stock market. Even though BTC and the S&P 500 took a hit in March 2020, leading to a growing correlation, it is still relatively weak.

If you set aside these short-term trends and look at the 2-year rolling window since 2016, the BTC/S&P 500 ratio looks like this:

The main crypto asset and the stock are completely uncorrelated! By the way, the chart for ETH vs. The S&P 500 looks the same.

Conclusion and disclaimer

• Based on this data, it becomes clear that Bitcoin is an uncorrelated asset, just like gold.
• Just like all other cryptocurrencies except themselves.
• Being an "uncorrelated asset" does not mean that BTC has to go up if stocks go down. This would represent a negative correlation.
• Prices that move in the same direction over several days are not indicative of an existing positive correlation. Longer time frames must be evaluated to obtain significant results.
• Here, the statistical significance of all correlation coefficients was not calculated. However, the stronger ones are significant at a significance level of α = 0.05 and N > 90 days.
• These ideas are not investment advice!

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