Crypto - and traditional markets KW01 – Monthly return of Bitcoin on almost all Assets

the correlation to Oil fell further, so that Bitcoin and Oil are now correlated to a 40 percent anti. The volatility of Bitcoin falls slightly, while the monthly rate of return is above all the comparison of assets, except Gold.

Dr. Philipp Giese
6. January 2019TeilenFacebookTwitterLinkedInxingemail

What good is Bitcoin and the strongly correlated crypto market as a random Asset? Decoupled from the traditional markets from the crypto-market? And how strong the volatility is bitcoin?

The sizes of the correlation and volatility are just for institutional investors: A low correlation with traditional markets such as the S&P500, the DAX or the Dow Jones would confirm that the crypto-market for institutional investors could be interesting. It would be for a greater diversification of the portfolio is helpful. Another Monitor, the volatility is high volatility and the associated risk scare off institutional investors.

Since the beginning of November, we keep track of how Bitcoin fails in comparison to traditional markets. We, therefore, pay attention to the correlation in the last month, on a sliding correlation of a continuous volatility and a sliding rate of return. The last three values are calculated for each day based on the last 30 days. Since the correlations within the crypto market behavior very similar to BTC for institutional investors, is currently the most interesting, we focus mostly on the Bitcoin price.

With a proper Rebound could be avoided in the last year, further price losses in the case of Bitcoin, XRP, and Ethereum. The volatility is also back, with the sideways movement of Bitcoin and XRP leads to a Decrease of the same. The coupling of the Top 3 crypto currencies is different now:

correlation: crypto-currencies vs. traditional market

Bitcoins correlation to the classical values changed since the KW51 the last year. The coupling to Oil is strongly negative. Similar to the coupling of the American indexes S&P 500 and Dow Jones say:

these negative pairings, the mean correlation among all of the observed markets for Bitcoin in the slightest.

The pairings to Gold and the DAX are at their strongest, whereas the correlations to the S&P 500 index and Dow Jones as well as the correlation with Oil is negative:

volatility of Bitcoin falls slightly

The volatility of Bitcoin is still significantly higher than that of other Assets. Even the Oil faded against bitcoin fluctuations. Positive is however to be noted that the volatility falls, in the meantime, something like this:

The monthly rate of return is currently at Zero, but could grow properly. Although the monthly rate of return could not beat the Gold, but in the meantime, the three indexes S&P 500, DAX and Dow Jones, as well as the monthly return of Oil:

Even if Bitcoins volatility would remain high, that would be at least an uncertainty of how investors can count on. A certain degree of stability can be seen. As in the KW51 the last year, Bitcoin is again attractive to institutional investors.

data on the Basis of cryptocompare.com, finance.yahoo.com and fred.stlouisfed.org