the Furthermore, the coupling between Bitcoin and the traditional markets is lower than that of Gold. In addition, the volatility has fallen further. The only fly in the ointment is that the Performance is currently the only negative.
Dr. Philipp Giese
On the 27. January 2019BTC$3.476,50 -2.72%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-korelliertes, 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 what 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 look at the indices the S&P 500, Dow Jones and the Dax, Oil and Gold.
Read also: crypto-and traditional markets KW46 – volatility of Bitcoin
coming back The last week the market was for the crypto rather quiet. Since he did this in the same step, the correlation between the Top 3 crypto currencies are also very high. Even for the relatively little correlated value pair Bitcoin and Ethereum, the coupling is increased again to almost 90 percent:
The warning that one should not overrate the importance of low correlation between Bitcoin and Ethereum, has come true.
correlation: crypto-currencies vs. traditional market
Bitcoins correlation to the classical values has changed since the last week: The easy-to-negative coupling for the DAX has reversed. At all other comparison assets, the Bitcoin is correlated, however, still anti:
these negative pairings, the mean correlation Bitcoins is with all of the observed markets by far continue to be the lowest.
As you can see from the table above, is correlated to Bitcoin to all of the comparison assets, except for the Dax is negative. The coupling of Gold and the DAX cancel nearly each other, while the coupling to the American stock market indices and Gold is significantly lower:
Overall, the average correlation of bitcoin with the rest of the markets just under two percent. Even Gold was within the last month, with nearly 20 percent, a significantly higher average correlation.
Bitcoins volatility approaches a classic market
thanks to the current seitswärts phase, the volatility of Bitcoins has fallen even further:
Read also: Is Bitcoin dead? The the scene
So says the volatility is, of course, significantly higher than that of the comparison assets, which is not surprising. But it is fallen and remains at this Level. Thus it represents, at the least, an uncertain level of safety, with which an Investor can expect.
are exuberant more tones should be avoided. Between September and mid-November, the Bitcoin trended flat. Thereafter, the crypto market knew only one direction and that was downward.
Down the right keyword to describe the average Performance over the last month. This has now fallen significantly under the Performances of the comparison of the assets and as the only negative. Furthermore, Oil Futures are the most profitable:
The long-term Investor who is interested in correlations and volatilities, should not be grieved. On the positive side, the considered sizes up the Performance very well developed. Thus, Bitcoin continues to be a useful addition to classic portfolio.
data on the Basis of cryptocompare.com, finance.yahoo.com and fred.stlouisfed.org