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 moves out of risky assets:
|
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 |
