Cryptocurrency Correlation Matrix – Sifr Gegevens LLC

Cryptocurrency Correlation Matrix - Sifr Data LLC

Correlation amongst assets is the degree to which they budge ter tandem. The values range inbetween -1 and +1, where a value of -1 means that the comes back budge ter opposite directions (e.g. BTC up 0.2% and ETH down -0.2%) and a value of +1 means the comes back stir te the same direction (e.g. BTC up 0.2% and ETH up 0.2%). A value of zero denotes no (linear) dependence inbetween the assets. The results can be interpreted spil goes after:

  • 0.Five to 1: Strong positive relationship
  • 0.Three to 0.Five: Moderate positive relationship
  • 0.1 to 0.Trio: Feeble positive relationship
  • -0.1 to 0.1: No linear relationship
  • -0.1 to -0.Three: Powerless negative relationship
  • -0.Trio to -0.Five: Moderate negative relationship
  • -0.Five to -1.0: Strong negative relationship

The matrices above voorstelling Pearson correlations and p-values that are computed from log-returns of volume-weighted average daily prices overheen 90, 180, and 365 days. Visualizing thesis correlations can be facilitated with a cryptocurrency correlation graph. Rolling correlations demonstrate how thesis values switch overheen time which can be seen here. Thesis matrices are updated daily.

A typical investment portfolio consists of equities, hedging instruments on equities, commodities, and treasuries/bonds. To give an indication of the relationship of a typical portfolio to cryptocurrencies, the S&P 500 index (^SPX), CBOE Volatility Index (^VIX), SPDR Gold Shares (^GLD), and CBOE 10-year treasury-note yield (^TNX) are shown above.

P-values quantify the statistical significance of a result. Ter the case of correlations, the p-values can be interpreted spil goes after:

  • p-value &le, 0.05: the correlation is statistically significant and you can conclude that the correlation is different from 0.
  • p-value >, 0.05: the correlation is not statistically significant and you cannot conclude that the correlation is different from 0.

The p-values are rounded to the nearest 1/100th value, i.e. a p-value less than Five/1000 will be displayed spil 0.

BTC = Bitcoin, ETH = Ethereum, BCH = Bitcoin Metselspecie, XRP = Ripple, LTC = Litecoin, DASH = Dash, XMR = Monero, XEM = NEM, ETC = Ethereum Classic, XLM = Stellar Lumens, ZEC = Zcash, NXT = Nxt, SC = Siacoin, REP = Augur, LSK = Lisk, FCT = Factom, ^SPX = S&P 500 Index, ^VIX = CBOE Volatility Index, ^GLD = SPDR Gold Shares, ^TNX = CBOE 10-year treasury-note yield.

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