Bitcoin and traditional markets – volatility as high as that not in a long time

While the absolute coupling of Bitcoin to the traditional markets of very low, increased volatility in long-not-seen-before heights. Unfortunately, you can't say about the Performance of the Bitcoin price.

Dr. Philipp Giese
21. July 2019BTC$10.591,00 0.53%part Facebook Twitter LinkedIn xing mail

For over half a year, we keep track of how Bitcoin fails in comparison to traditional markets. This is not a trivial comparison of the Performance. Institutional investors are interested in Bitcoins claim to be a non-correlated, stable Asset, extremely. In a guest contribution on the €uro Fund research dedicated to BTC-ECHO the question of whether Bitcoin and the strongly correlated crypto market would be a good addition to classic portfolio. This question is the institutional investors in the crypto-market is interested in, less of a hope of a new Bull Run like the end of 2017. In order to clarify the Suitability of classical Portfolios can be considered an Investor in various sizes:

the correlation between the Bitcoin price and the traditional markets nThe volatility the Bitcoin Kursesdie Performance the Bitcoin course

We pay attention in this series of articles, therefore, on these three sizes. You will be charged for each day on the Basis of the last 30 days. As a comparison, assets in traditional markets, we consider indices S&P 500, Nikkei and Dax, as well as Oil and Gold.

correlation: crypto-currencies vs. traditional market

As it is known in the crypto sector: The crypto-currencies all March in Rank and file, follow the Bitcoin price. The only really notable exception is, as expected, the rate of Tether-USD. Otherwise, the correlations are with each other for significantly more than 50 percent:

The stock market indices, the DAX and the Nikkei, and Oil Futures are correlated to Bitcoin negatively, while Gold to the Bitcoin exchange rate has a positive correlation. The S&P 500, and Bitcoin on the other hand are decoupled almost completely:

it occurred that the coupling between the Bitcoin price and the S&P 500 and Oil has increased since last week. The coupling to the S&P 500 rose again slightly Positive, while the DAX fell back into the negative range:

Overall, the absolute mean correlation Bitcoins with other markets, with 15 per cent, again the lowest on the market. Gold is at 18 percent, close to it, all the other absolute correlations are greater than 20 percent. Taking into account the compensation effects due to any of the anti-correlations, one obtains a different picture: a negative correlation of 8 percent, Bitcoin is clearly anti-correlated, as the Nikkei Index (-2 percent) and virtually the opposite of Gold (8 percent).

volatility as high as it was long, Returns a

break So far, So positive. Of concern is that the volatility know currently no Holding. Meanwhile, the volatility of Bitcoins has risen over six percent, and is aiming for seven percent. The second-largest volatility can produce Oil, but also this is under two percent, and the trend falling:

if the volatility to the beginning of the year, this is no longer have been for Bitcoin since a year is so high. More: bitcoin's volatility is increasing in these realms:

Unfortunately, this increase in volatility is accompanied by an increase in Performance – on the contrary. This fell in the meantime to less than 0.5 percent and, therefore, on the level of the Oil:

Similar to dramatic the image is, if you look at the cumulative Performance since the March 2018 has developed. Directly speaking, investors would have had with any other Asset, more success, if you don't) have invested in March 2018 (and otherwise in this:

The price falls led to that Bitcoin represents to the correlation a less attractive Investment. The currently very high level of volatility, will ensure that institutional investors get in now. You will likely wait to see how the current Situation around Bitcoin is further developed, that is to say, at what Level of Support the Bitcoin begins the course again.

data, unless otherwise specified, at 18. July cryptocompare.com, finance.yahoo.com and fred.stlouisfed.org used.

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