Crypto - and traditional markets KW6 – Bitcoin for institutional investors is interesting

the the coupling between The Bitcoin price and the traditional markets is still minimal. With the recent price jump in the volatility increased again slightly, but this rise will change nothing to the downward trend of volatility and Performance.

Dr. Philipp Giese
11. February 2019BTC$3.629,12 -0.27% part Facebook Twitter LinkedIn xing mail

For some months now, we keep track of how Bitcoin fails in comparison to traditional markets. This is not simply a comparison of the Performance. Institutional investors are interested in Bitcoins claim to be a non-correlated, stable Asset, extremely. Some time ago, I have dedicated myself to the part of a guest contribution on the €uro Fund research, 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. to clarify

the Suitability of classical Portfolios can be considered an Investor in various sizes. For one, it would be interesting to see whether, and if so, how strong is Bitcoin linked to traditional markets. On the other, a stable Asset for a long-term Investment is attractive. The volatility of the asset do not need to be extremely small, but it should have at least over a longer period of time, a certain degree of stability.

How to develop the relationship between Bitcoin and the traditional markets?

Since the beginning of November, we are therefore pursuing, and how Bitcoin compares 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 Performance. 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. As a comparison, assets in traditional markets we have considered so far, the S&P 500 index, the Dow Jones and the Dax, Oil and Gold. Since the Dow Jones Index and the S&P 500 have consistently high correlation, we exchanged only referred to by the Japanese Nikkei Index. The Nikkei is significantly decoupled from the American market, so that we obtain overall a more complete Overview of the traditional markets.

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The correlations of the Top 3 crypto currencies are still very high :

It is enough, if we focus for a comparison of the traditional and the crypto-market on Bitcoin.

correlation: crypto-currencies vs. traditional market

The correlation of Bitcoin to be considered in traditional markets is still very weak and correlated to each individual Asset. Regarding Oil, it is currently as good as non-existent. Overall, it is decoupled Bitcoin significantly more by the market than is Gold:

in Absolute terms, Bitcoin has currently the lowest correlation to the market and developed quite independently from classical Assets.

As you can see from the table above, is correlated to Bitcoin to all of the comparison assets is negative. With the Nikkei Index Bitcoin up to 8. February positive, but the coupling with the gap fell rapidly:

Overall, the mean correlation Bitcoins is correlated with the other markets about 25 percent. Even Gold was within the last month, with 31 per cent, a significantly higher average correlation.

Performance and volatility of Bitcoin, thanks to rate jump slightly

increased thanks to the previously tracked sideways phase has decreased the volatility of the Bitcoins even further and could fall to under three percent. Yesterday's price jump was also that the increase in volatility, however, it is currently still under three percent:

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Furthermore, the volatility is not higher than that of the comparison assets, which is not surprising. The downward trend that has persisted since mid-January, has not been broken yet, however. Thus it represents, at the least, an uncertain level of safety, with which an Investor can expect.

what is Nice is that the Performance is bitcoin with the recent price jump again. Unfortunately, Bitcoin is on a month average, still worse than that of the benchmark assets:

Up to this Performance remains Bitcoin, however, as a Supplement to traditional Portfolios of interest: For some time the coupling is to the classic markets, is very low and the volatility is decreasing. In addition, the recent development in the hope that the much-cited ground was reached. So it's no wonder that the interest on the part of institutional investors is increasing.

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

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