Illustration of the correlation changes between Bitcoin and global macro assets
Illustration of correlation changes between Bitcoin and global macro assets.
The correlation between Bitcoin and global macro assets is strong in 2020 and 2022, and weak in other times.
Written by: Alex
Translated by: Luffy, Foresight News
I spent some time this weekend researching the correlation between Bitcoin and other global macro assets. Here are some of the conclusions:
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The correlation between Bitcoin and the technology industry has steadily decreased over the past few months; the correlation between Bitcoin and gold has remained relatively stable over the past few months.
Since mid-March, the gap between the correlation of Bitcoin with the technology industry and with gold has been gradually narrowing. This phenomenon may be driven by Bitcoin as a safe-haven asset. However, Bitcoin’s correlation with the technology industry is still slightly higher.
I calculated the 60-day rolling regression of Bitcoin with gold and the technology industry. The R-value reflects the variance of the correlation between Bitcoin and gold and the technology industry.
When the variance percentage of global macro assets is small, it indicates that Bitcoin’s trend is more “special” because its correlation is low.
The above chart shows the correlation between Bitcoin and macro assets over the past five years:
2018-2019: Bitcoin’s trading performance was special because it was a relatively small asset.
2020: Bitcoin showed correlation with technology, gold, and oil.
2021: Bitcoin’s correlation with global macro assets was weak.
2022: Bitcoin’s correlation with the technology industry is strong.
Generally, as the market capitalization of an asset increases, the variance of its correlation with global macro assets also increases. The correlation variance value of Bitcoin in 2023 is higher than that in 2020, and its market capitalization has also tripled.