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Cryptocurrency Correlation Tool

Correlation Tool – Show Correlation Over The Last…

BTCETHBNBADAXRPLTCXMRDOGESOLDOTLUNAAVAXGOLDSP500DOW
BTC1
ETH0.861
BNB0.770.821
ADA0.70.730.721
XRP0.760.770.760.751
LTC0.830.830.780.820.831
XMR0.640.650.60.60.60.661
DOGE0.670.690.710.650.690.690.551
SOL0.620.770.720.720.680.70.590.641
DOT0.730.760.770.760.770.770.640.660.711
LUNA0.060.150.060.10.130.120.150.090.170.011
AVAX0.580.640.630.640.670.650.470.540.710.670.161
GOLD-0.06-0.040.02-0.04-0.04-0.030.08-0.09-0.10.020.13-0.111
SP5000.520.570.430.520.420.480.330.350.470.510.010.43-0.141
DOW0.460.520.380.470.380.420.330.30.420.450.030.38-0.150.951

This is an interactive tool. You can click on the values in the table to see the trend or change the timeframe above the table.

Correlation over time: SP500 vs. BTC (Rolling 180 days)

Is Bitcoin An “Uncorrelated Asset”?

  • We investigated the correlation between the returns of some Cryptocurrencies, gold and big stock indices (S&P 500 and Dow Jones).
  • The Pearson correlation coefficient shows the extend to which two data sets (in this case: daily returns) are related.
  • It takes values between -1 and 1:
    1positive correlation (if one goes up, the other one goes up as well)
    0not correlated
    -1negative correlation (if one goes up, the other one goes down)

Key Takeaways

  • Gold is not correlated with any of the other data sets including Bitcoin
  • Cryptocurrencies amongst each other are positively correlated
  • Bitcoin and the S&P 500 showed no correlation until the Coronacrisis hit both stocks and Bitcoin hard, resulting in a growing correlation. With a coefficient of about 0.4 over the last 180 days, it is still very weak.

Is Bitcoin An “Uncorrelated Asset”?

Some bitcoiners like to say “Bitcoin is an uncorrelated asset”, implying that its price movement is completely decoupled from the price movement of other asset classes. Investing in combinations of uncorrelated assets can reduce the overall risk in a portfolio and event boost the overall return. But is that really the case? With this tool, data is analyzed with the aim to back up or dismiss the claim.

The Pearson Correlation Coefficient

The Pearson correlation coefficient is a beneficial mechanism to measure this correlation and assess the strength of a linear relationship between two data sets. It takes values between -1 and 1. -1 is a strong negative correlation, 0 implies no correlation at all (uncorrelated) and +1 stands for a strong positive correlation.

Looking at this tool, a coefficient of 1 essentially equates: if one asset goes up, the one we are comparing it to tends to go up, as well. This also happens vice versa. A good example for a coefficient of almost 1 is the comparison between the S&P 500 and the Dow Jones stock index. Both track the performance of blue-chip stocks. Consequently, it comes as no surprise that the correlation chart for S&P vs. Dow Jones looks like the following:

A Pearson correlation of 0 means there is not correlation between the two assets whatsoever.

Disclaimer: Der Handel mit Kryptowährungen birgt ein hohes Risiko und kann bis zum Totalverlust des eingesetzten Kapitals führen. Keine der hier aufgeführten Informationen sind als Anlageberatatung zu verstehen. Alle genannten Kurse sind ohne Gewähr. Bitte beachten Sie dazu auch den den Haftungsausschluss im Impressum.
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