Crypto and Equity Correlation: A Measurement Guide
Is bitcoin a risk asset or a diversifier? The answer depends on the window, the sampling, and the time-zone alignment used to measure it.
Whether crypto behaves like a high-beta technology stock or like an independent asset is one of the most debated questions in allocation. Reported answers vary widely, and much of that variation comes from measurement choices rather than from the markets themselves.
The alignment problem
Equity index closes occur at a fixed time on trading days. Crypto has no close. Computing daily correlation using a crypto price at midnight UTC against an equity close hours earlier introduces asynchrony that biases correlation toward zero. Weekend crypto moves, which have no equity counterpart, add further noise.
- Sample the crypto price at the same timestamp as the equity close.
- Aggregate weekend crypto returns into the following Monday’s observation.
- Consider weekly returns to reduce timing effects, accepting a smaller sample.
- Report the window length and sampling frequency with every figure.
A moving relationship
In recent years crypto–equity correlation has at times been meaningfully positive, particularly during macro-driven markets, and at other times close to zero. Rolling estimates reveal these shifts; a single full-period number conceals them.
This publication is provided for informational purposes only and does not constitute investment, legal, or tax advice, or an offer or solicitation to buy or sell any asset. Live figures are computed from third-party public market data and may be delayed, incomplete, or inaccurate.
