The correlation of bitcoin with the comparison markets, as well as the volatility continues to be low. Unfortunately, this goes hand in hand with a below-average Performance.
Dr. Philipp Giese
At the 1. September 2019BTC$9.568,86 -0.22%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 and 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: Bitcoin stands against the classical markets
A little could soothe the correlations among the crypto-currencies. The rates of the Top 10 run largely in the same step. Accordingly, we focus again on the comparison between Bitcoin and the comparison with assets from the traditional markets.
The image this week is a watered-down Version of the last week: everything up to Gold is correlated more or less anti to Bitcoin rates. Between the rates of Gold and Bitcoin is a correlation of about 25 percent. The Nikkei Index and Oil have a significant anti-correlation, while the Dax and the S&P price run 500 mostly independent to Bitcoin. Furthermore, the strong anti-correlation between the Nikkei Index and Gold:
The correlation of bitcoin to Gold is easy. The same applies to the coupling between the Bitcoin price and the S&P 500 say. While the coupling to the DAX, and Oil changed hardly, the correlation between Bitcoin and the Nikkei-Index is easy:
Overall, the absolute mean correlation with the other markets, at 13 per cent. Thus, the price of Bitcoin has again the lowest coupling to the comparison assets at the classical market. Taking into account compensation effects, the Situation looks somewhat different: a negative correlation to the other markets of 9 percent of Bitcoin is correlated to course almost as anti as the Nikkei Index (-10 percent) and significantly stronger than the Gold to other markets (-3 percent). All other Assets have to the market is a positive correlation.
volatility of Bitcoins in a Plateau
the stabilization of The volatility of Bitcoin exchange rate at about 3.5 percent, despite the recent price fall and increased slightly:
the volatility is still significantly higher than that of the comparison assets. Of which, the Oil Futures have approximately two percent of the highest volatility.
Bitcoin to the last place
pushed to The low volatility and strong anti-correlation to the traditional markets is accompanied by a rather unsightly development. The Performance is significantly dropped below that of Gold. The current monthly Performance is positive, however, there is not much that this falls under the Zero:
Even more depressing is the long-term view is: In the comparison of a hypothetical Once-Investments at the beginning of March 2018, would have currently cut off every other Asset is better than Bitcoin. With respect to the last-place but is not yet spoken the last word with Oil. What is Bitcoin, Oil, the DAX and the Nikkei Index has in common is that they would be in all of these Assets with a one-time investment in March of 2018, currently in the red plug.
The rate drop this week took its toll. Nevertheless, The low volatility and of the comparison markets continues to be strong independent behavior of Bitcoins makes the crypto-currency to an interesting Portfolio addition for institutional investors. The statements of Mike Novogratz, the current rates fall below 10,000 US dollars to get just a breath of large investors see fit.
data, unless otherwise specified, at 30. August cryptocompare.com, finance.yahoo.com and fred.stlouisfed.org used.
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