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2020issue C0828-33

Bitcoin correlation regimes across equities and gold

Daily, weekly, rolling-window, and lead-lag readings from late April 2013 through March 2020 show when bitcoin’s link to the S&P 500 tightened, when gold and yields failed as a stable offset, and when shared selloffs undercut a safe-haven-claim.

  • On daily prices from late April 2013 through March 2020, bitcoin’s Pearson correlation with the S&P 500 was 0.85, while gold and the dollar-yuan pair each printed 0.52.
  • Calendar-year bitcoin-equity correlations changed sign more than once, and shared selloffs in late 2018 and March 2020 were used to reject a sample-period safe-haven-claim.
  • Weekly return correlations were weaker than price-level correlations, while a late-sample three-month window showed a 0.84 daily equity link and a sharper inverse link with the VIX.
  • The suggested intermarket-analysis use was to track the currently strongest related market, keep a trend model aligned with that market’s direction, and treat the measured links as average tendencies that can reverse.
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Current trackCorrelation analysis52 readingsIntermarket analysis136 readings

Twelve markets and several windows

The study measured bitcoin’s links to twelve related markets across sub-periods, using contemporaneous, lead-lag, and intradaily windows to see which relationships were strongest. Intermarket-analysis placed bitcoin next to related prices, volatility, yields, and currency pairs rather than treating the name as an isolated series. Correlation-analysis then checked how those series moved together across fixed, rolling, and shifted windows so a diversification story could be tested instead of assumed.

The full-sample daily map

On daily prices from late April 2013 through March 2020, bitcoin’s Pearson correlation with the S&P 500 was 0.85, while gold and the dollar-yuan pair each printed 0.52. Those scores describe an average tendency across the whole stretch. They do not fix the next market-regime.

Sign flips, crash windows, and broken linear clouds

Calendar-year bitcoin-equity correlations changed sign more than once, which is why a rolling-window matters: the moving lookback shows whether a link is stable or only appears in one calendar stretch or stress episode. Near the end of the sample, the three-month daily reading versus the S&P 500 rose to 0.84 after weaker one- and two-year windows.

Shared selloffs in late 2018 and March 2020, when bitcoin fell in tandem with global equities, were used to reject the sample-period claim that bitcoin behaved as an equity safe haven. A safe-haven-claim is treated here as a hypothesis to test, not a standing label.

A seven-year weekly scatter of bitcoin against the S&P 500 showed an r-squared of 0.72, but the linear cloud broke down below 2,000 and above 10,000. A March 2020 15-minute futures overlay still tracked the equity index, with bitcoin lagging peaks by about 45 minutes.

Gold, yields, and lead-lag

Gold’s multiyear daily correlation with bitcoin was only moderately positive and flipped negative in several yearly windows. The seven-year link to 10-year Treasury yields was effectively zero.

Over the two years ending March 2020, weekly-return lead-lag scores were higher when bitcoin was treated as the leading series versus gold and the S&P 500. Shifting one series in time tested whether it typically moved before or after the other market. Bitcoin’s own autocorrelation stayed elevated through three weekly lags, a mark of trend persistence in its recent changes.

Correlations of weekly returns were weaker than price-level correlations across the board. That price-versus-return-correlation gap appears because percentage changes strip out shared trends. The three-month window into early 2020 showed a sharp rise in the inverse link with the VIX.

In the 2013-2020 daily sample, bitcoin’s typical absolute percent move was about five times that of the S&P 500 or gold, and the 95th percentile daily change was 9.91 percent.

The suggested intermarket use was to track the currently strongest related market and keep a trend model aligned with that market’s direction, while treating the measured links as average tendencies that can reverse.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
37 of 37 in the Correlation analysis track
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All readings on this track · 37 readings
  1. 1988Constructing a lead-aware correlation coefficient
  2. 1989A precious-metal price as a changing intermarket equation
  3. 1990Two clocks for copper: a factor regime, a regression baseline, and leftover moving-average timing
  4. 1990Earnings yield, rate correlation and regression for equity value
  5. 1991Name the window, then combine leaders
  6. 1991Constructing a two-market linear correlation check
  7. 1991Constructing a commodity-bond correlation regime filter
  8. 1992Building intermarket context with linear correlation
  9. 1993Inverse-scale overlays as a gold-equity regime filter
  10. 1994Constructing seasonal slots from windows, analog years, and implied volatility
  11. 1995Pin one reference close and roll companion correlations as an overlay
  12. 1995Rolling correlation windows for shifting intermarket regimes
  13. 1998Gold as a cross-market regime barometer
  14. 1999The gold-bond inverse is a regime, not a cause
  15. 1999A nested lag test of gold leading bond yields
  16. 1999Constructing spreads from stock and intermarket correlation
  17. 2000Evaluating headline versus food-and-energy-excluded CPI as bond-yield context
  18. 2005A late EUR/USD fifth wave tested by the Bund-Treasury gap
  19. 2006Intermarket dislocation as context for short-horizon momentum
  20. 2008Map ordinary 12-month outcomes before stacking valuation, rates, and seasonality
  21. 2008A clean-energy theme inside the oil-and-energy regime
  22. 2014Quantitative-easing overlays as fragile belief regimes
  23. 2015Three intermarket checks from the late-2014 crude decline
  24. 2015Basket construction via rank, correlation, and locked rules
  25. 2015Construct a CAD-oil pair from percent-of-range Bollinger maps
  26. 2015CAD/USD and crude: first the correlation, then the band gap
  27. 2017Correlation regime versus moving-average crossover for S&P 500 exposure
  28. 2017Updating intermarket systems after correlation shifts
  29. 2017Constructing a correlation-divergence regime filter for yen and Nikkei context
  30. 2018Clustered negative troughs in an energy-index pairwise correlation
  31. 2018Filter pairwise-correlation before reading an intermarket regime
  32. 2018Moving-average supports in the March 2018 correlation shock
  33. 2020Bond spreads as an equity regime lens
  34. 2020Crash-protection folklore as a correlation regime question
  35. 2020Constructing a bounded correlation-trend-filter
  36. 2020Constructing a correlation-to-line trend filter
  37. 2020Bitcoin correlation regimes across equities and gold
By fieldIntermarket and spreads148 readingsBy year202085 readings
All 52 readings tagged Correlation analysis
Also on Correlation analysis5 readings
1989A precious-metal price as a changing intermarket equation1990Earnings yield, rate correlation and regression for equity value1991Constructing a commodity-bond correlation regime filter1992Real bond yields as a deficit-share regime1993Inverse-scale overlays as a gold-equity regime filter