A look at the relationship between bitcoin returns and other asset class returns over the last year throws up some interesting details. There is a weak inverse relationship between bitcoin returns and the 10 year bond yield changes but the relationship between other asset class returns and bitcoin returns is not statistically significant. This suggests a continued melt down in bitcoin is a precursor to higher bond yields which could trigger a move out of risky assets:
A look at the relationship of bitcoin itself with other asset classes over the last year reveals some additional info. We can see that bitcoin shows a strong positive relationships with most asset classes and the ten year bond yield and a strong negative relationship with copper. This suggests that the recent sell off in bitcoin could be a precursor to a major risk off trade:
Bitcoin Returns Vs Other Asset Class Returns
|
Correlation
|
Significance
|
S & P 500
|
0.156
|
0.273
|
Ten Year Bond Yield
|
-0.340
|
0.015
|
Euro
|
0.034
|
0.813
|
Gold
|
0.047
|
0.743
|
Copper
|
-0.160
|
0.261
|
Crude
|
-0.180
|
0.207
|
A look at the relationship of bitcoin itself with other asset classes over the last year reveals some additional info. We can see that bitcoin shows a strong positive relationships with most asset classes and the ten year bond yield and a strong negative relationship with copper. This suggests that the recent sell off in bitcoin could be a precursor to a major risk off trade:
Bitcoin Vs Other
Asset Classes
|
Correlation
|
Significance
|
S & P 500
|
0.860
|
0.000
|
Ten Year Bond Yield
|
0.530
|
0.000
|
Euro
|
0.673
|
0.000
|
Gold
|
0.476
|
0.000
|
Copper
|
-0.879
|
0.000
|
Crude Oil
|
0.800
|
0.000
|
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