Bitcoin Signalling Major Risk Off Trade?

rajveersmarketviews.blogspot.in/2018/03/bitcoin-signalling-major-risk-off-trade.html

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:

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

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 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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