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Volatility of Bitcoin tests annual minimum of 2018

2019-03-31 | 日記

The performance of Bitcoin rose again and is together with that of oil the best in the comparison. The coupling of Bitcoin with the rest of the market is also one of the lowest. Finally, bitcoin volatility is almost as low as early November 2018.

Since the beginning of November, we have been tracking Bitcoin's impact on traditional markets. It's not about a trivial comparison of performance. Institutional investors are extremely interested in Bitcoin's claim to be a non-correlated, stable asset. As part of a guest contribution to € uro Fundresearch, BTC-ECHO addressed the question of whether Bitcoin and the highly correlated crypto market would be a good match for traditional portfolios. This question is for institutional investors to be interested in the crypto market, not so much for hoping for a new bull run as at the end of 2017.

To clarify the suitability for classic portfolios, an investor can look at different sizes. First, it would be interesting to see if and how strongly Bitcoin is linked to traditional markets. On the other hand, a stable asset is attractive for a long-term investment. The volatility of the asset does not have to be extremely low. But it should at least have a certain consistency over a longer period of time.

Therefore, in this article series we look at the correlation in the last month, a sliding correlation, a floating volatility and a sliding performance. The last three values are calculated for each day based on the last 30 days. We consider the S & P 500, Dax and Nikkei indices on oil and gold as comparison assets from traditional markets.

How is the relationship between Bitcoin and traditional markets developing?
In the meantime, the correlation of Bitcoin or Ethereum to XRP has dropped to a new minimum, but was able to return to normal levels the next day.

Since Bitcoin is the key currency within the crypto-ecosystem and institutional investors are the first to look at it, it suffices to focus on the largest of all cryptocurrencies when compared to the traditional market.

Correlation: Cryptocurrencies vs. traditional market
The negative correlation with oil persisted. The coupling between gold and bitcoin continued to fall in the negative, but the coupling between the S & P 500 index and the Bitcoin price is currently hardly available. It is also noticeable that the Nikkei index continues to show a strong anti-gold bias:

The trends of the last week were confirmed. Furthermore, gold and oil are anticorrelated to Bitcoin, while the three indices have a positive coupling to Bitcoin.

Overall, the absolute mean correlation of bitcoins with the remaining markets remains the lowest at 26 percent. The picture looks similar, even if compensation effects due to possible anti-correlation are taken into account. Bitcoin's connection to the rest of the markets is the second largest with 17 percent. Only gold, with a 16 percent link, has a lower correlation to the rest of the market.

Performance of Bitcoin has risen again to that of oil
Due to the current sideways situation, the average volatility of the last 30 days has fallen significantly. Plunging significantly below two percent, it hardly differs from the comparison assets:

Performance fell below that of the peers on 25 March, but rose sharply. Therefore, it is now almost at the height of the performance of Öl, which is the top performer on the market.

The overall picture is better than last week: Performance is one of the best on the market and the correlation is one of the lowest on the market. Although one could cheer about the low volatility, but one should be careful: The low volatility we know from the sideways phase between September and mid-November - that is, before the dramatic fall in prices, which drove the Bitcoin price below $ 4,000. Let's hope it does not come to that.


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